Deribit Options Market Report: 0813 - Bull Spreads

特邀专栏作者

2020-08-13 19:10 (UTC+8)

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The option open interest was US$1.6 billion, and the option trading volume was US$110 million. The price of Bitcoin fell to around US$11,300, showing a slightly weak trend.

AI Summary

The option open interest was US$1.6 billion, and the option trading volume was US$110 million. The price of Bitcoin fell to around US$11,300, showing a slightly weak trend.

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 60%

30d 55%

90d 52%

1Y 81%

Implied volatility for each normalized term:

Today: 1m 55%, 3m 64%, 6m 68%

8/12：1m 61%, 3m 67%, 6m 69%

Skewness:

Today: 1m +1.4%, 3m +7.5%, 6m +13.3%

8/12：1m -0.9%, 3m +6.3%, 6m +12.8%

Judging from the current skew, the price of short-term out-of-the-money call options has returned to rationality, but it is still at a high level in the medium and long term. The construction of bull market spreads must be carried out when IV is cost-effective.

It can be seen from BTC Option Flows that Call Sells accounted for 35% of the transaction volume. Generally speaking, the transaction volume is not large.

Judging from the changes in open interest, short-term out-of-the-money call options have a large trading volume, but options that are too short-term are not suitable for spread combinations.

secondary title

ETH Historical Volatility

10d 63%

30d 75%

90d 66%

1Y 101%

Each standardized period IV:

Today: 1m 74%, 3m 80%, 6m 82%

8/12 : 1m 78%，3m 83%，6m 81%

Ethereum IV is declining. In the past two days, it has fluctuated in the range of $20. Recently, Ethereum has been greatly affected by DeFi. If you focus on trading ETH-related products, you must pay attention to the information of DeFi.