The broadcast data is provided by Greeks.live Data Lab and Deribit official website.

【Brief Comment】

Generally, there will be a period of stability after quarterly delivery. Although the current market is fragile, various market data are relatively stable, and the overall market sentiment is relatively stable. Bitcoin plunged 20% earlier this week, snapping a fragile rally. The IV of each period only rose slightly during the decline, and soon fell back. At present, many periods are lower than before the sharp drop.

【Market Heat】

The settlement price of Bitcoin yesterday was 42,417 US dollars, the price ratio of Reddit fans was 80, and the annualized growth rate of fans compounded in seven days was 29%

The settlement price of Ethereum yesterday was 2,898 US dollars, and the price-to-currency ratio of Reddit fans was 385. The annualized growth rate of fan interest compounded in seven days was 20%

The above parameters are indicators used by individuals to observe the market heat. For details, please refer to the previous article "Currency Valuation Indicator: Reddit Followers Token Price Ratio》

【BTC Options】

The open interest of options is 132,000, worth 5.6 billion US dollars, and the trading volume of options is 5,000.

【Historical Volatility】

10d 93%

30d 77%

90d 70%

1Y   79%

【IV】

Implied volatility for each normalized term:

Today: 1m 76%, 3m 84%, 6m 86%, DVol 86%

9/25：1m 79%, 3m 85%, 6m 88%，DVol 87%

Generally, there will be a period of stability after quarterly delivery. Although the current market is fragile, various market data are relatively stable, and the overall market sentiment is relatively stable. Bitcoin plunged 20% earlier this week, snapping a fragile rally. The IV of each period only rose slightly during the decline, and soon fell back. At present, many periods are lower than before the sharp drop.

【Option Flows&Bulk Transaction】

According to the Option Flows data, the option trading volume is only 5,000 contracts, which is slightly lower than other weekends, but it is also normal during the quarterly delivery period. The volume of trading this week is relatively large, especially around the quarterly delivery period, there are many positions moved and built.

【Option position distribution】

There are about 23,000 option positions in October and about 57,000 options in December.

【ETH Options】

The open interest of Ethereum options is 1.11 million, with a value of 3.2 billion US dollars, and the trading volume is 40,000.

【Historical Volatility】

10d 128%  

30d 107%

90d 91%

1Y  108%

【IV】 

Each standardized period IV:

Today: 1m 89%, 3m 100%, 6m 102%, DVol 101%

9/25：1m 92%，3m 100%，6m 103%，DVol 100%

Ethereum is waiting to fall below $2,900, and the market sentiment is relatively low now. The trading volume due to superimposed weekend effects is relatively low, and the IV of each term has little change. At present, the position at the end of the year is relatively high, and the term structure is stable.

【Option Flows&Bulk Transaction】

From the perspective of Option Flows, the trading volume of Ethereum options has decreased, and the market is relatively balanced.

【Option position distribution】

The October option position is about 160,000, and the December option position is about 480,000.