【Deribit Options Market Report】0625——Quarterly Delivery
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#daily options broadcast
Broadcast data is provided by Greeks.live Gezhi Data Lab and Deribit official website.
【Daily Review】
#daily options broadcast
【BTC Options】
0625 is the second quarterly delivery this year. This year has experienced a strong first quarter and a roller coaster second quarter. The open interest of Bitcoin options due today is as high as 70,000. The open interest of Ethereum options due today is as high as 620,000, which is more than twice the second position of 1231. It is a veritable big delivery day. Generally, the market before the delivery is relatively stable, and there will be a small increase after the completion of the big delivery. Let us wait and see for this big delivery day.
【Historical Volatility】
10d 108%
30d 101%
90d 91%
1Y 75%
【IV】
Implied volatility for each normalized term:
【BTC Options】
6/24：1m 94%, 3m 94%, 6m 94%，DVol 103%
【Historical Volatility】
【Option Flows&Bulk Transaction】
Today: 1m 90%, 3m 93%, 6m 94%, DVol 101%
【Option position distribution】
【Option Flows&Bulk Transaction】
【ETH Options】
The June term is about 70,000 coins, of which call options account for 40,000 coins, and nearly 40% of the options will be delivered today.
【Historical Volatility】
10d 127%
30d 122%
90d 139%
1Y 108%
【IV】
Each standardized period IV:
【ETH Options】
6/24：1m 112%，3m 112%，6m 112%
【Historical Volatility】
【Option Flows&Bulk Transaction】
Each standardized period IV:
Today: 1m 108%, 3m 110%, 6m 110%
The period IV of Ethereum continues to decline, and the current sideways position is above the sideways area in March, but it is almost at the low point of Ethereum since April, and there are great resistances in both directions. The skew of each deadline is positively biased, and all forces are moving in a stable direction.
