【Deribit Options Market Report】0617——IV Fall

Deribit德瑞课堂

特邀专栏作者

2021-06-18 14:07 (UTC+8)

This article is about 892 words, reading the full article takes about 2 minutes

It is worth noting that today Ethereum has traded a lot of put options below 2000.

AI Summary

Expand

It is worth noting that today Ethereum has traded a lot of put options below 2000.

included in topic

#daily options broadcast

【Daily Review】

【BTC Options】

Options volume was $420 million and options open interest was $6.3 billion.

【Historical Volatility】

10d 109%

30d 117%

90d 90%

1Y 75%

【IV】

Implied volatility for each normalized term:

【Historical Volatility】

6/16：1m 85%, 3m 91%, 6m 93%，DVol 96%

Today: 1m 82%, 3m 90%, 6m 93%, DVol 95%

【Option Flows&Bulk Transaction】

【Option position distribution】

【ETH Options】

The trading volume of Ethereum options is 200 million US dollars, and the open interest is 3.3 billion US dollars.

【Historical Volatility】

10d 86%

30d 182%

90d 132%

1Y 105%

【IV】

Each standardized period IV:

【Historical Volatility】

6/16：1m 110%，3m 116%，6m 118%

Today: 1m 97%, 3m 107%, 6m 112%

【Option Flows&Bulk Transaction】

The volatility of Ethereum is too small to be ridiculous, and the low volatility has caused the full-term IV to drop. It is currently at the same level as in March, and the short-term IV has dropped significantly, which is close to the April level.

【Option Flows&Bulk Transaction】

According to Option Flows data, there are more put option transactions on Ethereum, mainly due to the 12,700 transactions of Put Block accounting for 16%. Most of the big transactions are bearish in the next month, and they are all relatively deep options, which deserves attention.