【Target Performance】

BTC historical volatility

7d 16.08%  

14d 38.41%

30d 55.72%

60d 66.49%

1Y 89.24%

ETH Historical Volatility

7d 27.86%  

14d 48.87%

30d 66.23%

60d 70.25%

1Y 104.67%

Deribit Deri's trading class (ID: deri_trader)

【BTC Options】

, published with permission.

secondary title

Implied volatility for each normalized term:

【Target Performance】

6/19：1m 61%, 3m 69%, 6m 74%

ETH Historical Volatility

Skewness:

Realized volatility continues to trend lower. The K-line in the past 10 days is almost flat.

6/19：1m -11%, 3m -0.6%, 6m +4.7%

secondary title

Trading volumes were lower.

【ETH Options】

Implied volatility for each normalized term:

Implied volatility was slightly lower. With the market's adherence to volatility expectations and the decline in realized volatility, VRP has gradually increased.

Each standardized period IV:

Skewness:

6/19：1m 65%，3m 71%，6m 77%

Skewness is stable. In recent months, the left deviation is obvious.

Skewness:

The Put/Call Ratio was at 0.45, again low. This indicator has been cited by the futures speculative market outside the options market as one of the indicators for judging ups and downs expectations.

6/19：1m -3.6%, 3m +2.9%, 6m +7.2%

secondary title

【ETH Options】

The open interest is 150 million US dollars, which is at a relatively high level.

Trading volumes were lower. The disappearance of volatility is not conducive to active trading.

Jeff Liang

CEO of Greeks.Live

In the Skew.com website, the opposite difference is applied, which is the Put IV minus the Call IV of 0.25 Delta. So the sign needs to be adjusted. However, after rotating its coordinate axis counterclockwise by 90%, the distinction between left and right is still very clear.

【Glossary】

Implied Volatility (IV)

It is the volatility value derived by substituting the option trading price in the market into the BSM option pricing model. That is, what is the implied volatility value in the option quotation. The name is very vivid.

BSM is the abbreviation of the last names of the three authors of the model, namely Black-Scholes-Merton.

Historical Volatility (HV) or Realized Volatility (RV)

Both terms have the same meaning.

It is a measure of the past volatility of the underlying price.

Specifically, it is to take the daily rate of return of the target (the logarithmic rate of return of the closing price to the closing price), within the specified date sample interval (such as the past 7 days, 30 days, 60 days, etc.), calculate the daily return rate of this series of days The standard deviation of returns. Multiply by the square root of the transaction time included in a year (the stock market is multiplied by the root sign 250, and the digital currency market is multiplied by the root sign 365) for annualization. The resulting value is the historical volatility.

Skewness

An indicator to measure the value of false value Call and false value Put.

Take the IV of Call whose delta absolute value is also 0.25 and subtract the IV of Put. If a positive value is obtained, the false value Call will be more expensive, which is called right bias (observe the coordinate axis of the strike price, if the right is on the right, the strike price will be higher) .

If a negative value is obtained, the false value of Put is more expensive, which is called left bias (observe the coordinate axis of the strike price, if left, the strike price is lower).

In the Skew.com website, the opposite difference is applied, which is the Put IV minus the Call IV of 0.25 Delta. So the sign needs to be adjusted. However, after rotating its coordinate axis counterclockwise by 90%, the distinction between left and right is still very clear.

Balance (At the Money, ATM)

Options with a strike price near the current underlying price are called at-the-money options.

The absolute value of the Delta of the (near-month) at-the-money option is close to 0.50, and the absolute values ​​of Gamma, Theta, and Vega are all maximized around this area.

Out of the Money (OTM)

Call: The exercise price is above the spot price, such as the spot price is 7,000, and the strike price is 10,000.

Put: The exercise price is below the spot price, such as the spot price is 7000, and the strike price is 6000.

The out-of-the-money option price returns to zero at expiration.

The delta absolute value of the (near-month) out-of-the-money option is between 0 and 0.50, and the absolute values ​​of Gamma, Theta, and Vega are relatively small.

Real value (In the Money, ITM)

Balance (At the Money, ATM)

Options with a strike price near the current underlying price are called at-the-money options.

The absolute value of the Delta of the (near-month) at-the-money option is close to 0.50, and the absolute values ​​of Gamma, Theta, and Vega are all maximized around this area.

Out of the Money (OTM)

Call: The exercise price is above the spot price, such as the spot price is 7,000, and the strike price is 10,000.

Put: The exercise price is below the spot price, such as the spot price is 7000, and the strike price is 6000.

The out-of-the-money option price returns to zero at expiration.

The delta absolute value of the (near-month) out-of-the-money option is between 0 and 0.50, and the absolute values ​​of Gamma, Theta, and Vega are relatively small.

Real value (In the Money, ITM)