Deribit Options Market Report: 0624 - Collar Strategies

Editor's Note: This article comes fromDeribit Deri's trading class (ID: deri_trader), published with permission.

This broadcast is jointly presented by Deribit and Greeks.live.

Deribit Deri's trading class (ID: deri_trader)

BTC historical volatility

7d 32.33%  

14d 43.68%

30d 53.92%

60d 67.18%

1Y 89.09%

ETH Historical Volatility

7d 47.33%  

14d 57.03%

30d 67.35%

60d 71.20%

1Y 104.82%

secondary title

【BTC Options】

【Target Performance】

ETH Historical Volatility

Implied volatility for each normalized term:

The continuation of the market downturn is a typical phenomenon of volatility clustering.

6/23：1m 60%, 3m 68%, 6m 74%

【BTC Options】

Skewness:

The open interest is 1.2 billion US dollars, and the open interest continues to reach a new high.

6/23：1m -5.6%, 3m +0.1%, 6m +5.8%

Trading volume was steady.

Implied volatility for each normalized term:

Today: 1m 59%, 3m 68%, 6m 74%

Today: 1m -6.1%, 3m +0.2%, 6m +5.3%

【ETH Options】

Skewness remains stable.

Judging from the strike price with the largest change in the position volume, the deep out-of-the-money positions increased significantly in December, which seems to be the form of a collar strategy (Collar, Long Spot Long Put Short Call).

Each standardized period IV:

【ETH Options】

6/23：1m 61%，3m 72%，6m 78%

Hidden waves are stable.

Skewness:

The open interest is 170 million US dollars, which continues to hit a new high.

6/23：1m -1.4%, 3m +5.7%, 6m +7.2%

Trading volumes contracted.

Each standardized period IV:

Today: 1m 61%, 3m 72%, 6m 78%