【Deribit Options Market Broadcast】0616——The skew increases

Deribit德瑞课堂

特邀专栏作者

2021-06-17 10:11 (UTC+8)

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As an important price point, $40,000 is worth oscillating for a while.

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As an important price point, $40,000 is worth oscillating for a while.

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#daily options broadcast

【Daily Review】

【BTC Options】

Options volume was $440 million and options open interest was $6.5 billion.

【Historical Volatility】

10d 107%

30d 117%

90d 90%

1Y 75%

【IV】

Implied volatility for each normalized term:

【Historical Volatility】

6/15：1m 89%, 3m 92%, 6m 94%，DVol 100%

Today: 1m 85%, 3m 91%, 6m 93%, DVol 96%

【Option Flows&Bulk Transaction】

【Option position distribution】

【ETH Options】

The trading volume of Ethereum options is 120 million US dollars, and the open interest is 3.7 billion US dollars.

【Historical Volatility】

10d 85%

30d 192%

90d 132%

1Y 105%

【IV】

Each standardized period IV:

【Historical Volatility】

6/14：1m 93%，3m 109%，6m 113%

Today: 1m 110%, 3m 116%, 6m 118%

【Option Flows&Bulk Transaction】

Ethereum is significantly weaker than Bitcoin in terms of trading volume and price fluctuations, and the downturn in DeFi is the main reason. The short-term IV decline is relatively obvious, and it is now close to the level of April, and the medium- and long-term IV is not low, still higher than April.

【Option Flows&Bulk Transaction】

Judging from the Option Flows data, the option transactions of Ethereum are also more balanced. After all, the market is in front of us, and neither the long side nor the short side has the motivation to promote the market. Large transactions are cooling down, and the market needs news or capital stimulation.