Deribit Options Market Report: 0908 — IV High

特邀专栏作者

2020-09-08 21:26 (UTC+8)

This article is about 818 words, reading the full article takes about 2 minutes

The option open interest is 1.2 billion US dollars, and the option trading volume is 37 million US dollars. Bitcoin has fallen below 10,000 US dollars for the fourth consecutive day. The support of this integer mark is very strong at present, and it seem

AI Summary

BTC historical volatility

【BTC Options】

BTC historical volatility

10d 81%

30d 56%

90d 49%

1Y 81%

Implied volatility for each normalized term:

Today: 1m 68%, 3m 75%, 6m 76%

9/7： 1m 65%, 3m 73%, 6m 75%

Skewness:

Today: 1m-11.1%, 3m+2.0%, 6m +10.0%

9/7：1m -8.9%, 3m +1.3%, 6m +12.8%

The skew structure continues to be stable, and every big market brings a structural change.

ETH Historical Volatility

【ETH Options】

ETH Historical Volatility

10d 150%

30d 105%

90d 80%

1Y 104%

Each standardized period IV:

Today: 1m98%, 3m95%, 6m90%

9/5: 1m 100%，3m100%，6m 89%

Ethereum’s short-to-medium-term IV remains high. The current price position of Ethereum is very embarrassing. It has fallen below the two-month moving average, but there is still a 40% increase from the price before the launch. No matter whether it rises or falls, it will be a very big market.

The main position of options is around $400, and the option positions below $330 are not large. The market is now in a state of balance, waiting for the market to come.

BTC

ETH

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