Greeks.Live & Deribit Options Market Observation 0618 — Open Interest Hits a New Record

Remarks:

Despite the lack of eye-catching performance of the underlying assets, BTC options open interest has been continuously hitting new records.

This report is jointly published by Deribit and Greeks.Live.

【Performance of the underlying assets】

BTC historical volatility:

7d 22.56%

14d 38.82%

30d 58.88%

60d 68.67%

1Y 89.65%

ETH historical volatility:

7d 34.14%

14d 47.10%

30d 70.35%

60d 73.10%

1Y 105.06%

The low short-term volatility trend of BTC and ETH has been persisting, rather discouraging.

【BTC Options】

BTC options open interest has reached USD 1.2 billion, hitting a new record high.

The trading volume has been stable.

The implied volatility (IV) of each standardized expiry date is as follows:

Today: 1m 63%, 3m 69%, 6m 74%

17 June: 1m 64%, 3m 70%, 6m 74%

Despite a slight decrease, IV has been stable overall.

Figure 1: BTC ATM Implied Volatility

Skew:

Today: 1m -8.4%, 3m -0.3%, 6m +4.7%

17 June: 1m -8.0%, 3m -1.2%, 6m +5.4%

Skew has been stable.

Figure 2: BTC 25d Skew

The Put/Call Ratio has reached 0.62, higher than the average ratio (0.58) of the past 3 months.

In terms of the trading details, the open interest of Calls expiring at the end of July has increased significantly. Covered calls have been notable.

Figure 3: BTC Put/Call Ratios

BTC options open interest by strike is shown in Figure 4 below, with significant open interest of OTM Calls.

Figure 4: BTC Options Open Interest by Strike (k3)

BTC options open interest by expiry is indicated in Figure 5 below, with the majority of expiry dates concentrated in June. The open interest with expiry dates in July, September and December has increased.

Figure 5: BTC Options Open Interest by Expiry (k3)

【ETH Options】

ETH options open interest is USD 156 million, remaining at a high level.

The trading volume has been stable.

The IV of each standardized expiry date:

Today: 1m 68%，3m 72%，6m 77%

17 June: 1m 69%, 3m 73%, 6m 76%

IV has been stable.

Skew:

Today: 1m -3.5%, 3m +2.0%, 6m +7.2%

17 June: 1m +0.3%, 3m +3.5%, 6m +6.8%

A left-skewed distribution

The Put/Call Ratio of the open interest has reached 0.85, a high level over the past six months.

ETH options open interest by strike is shown in Figure 6 below, with ATM options, slightly OTM Calls and Puts taking up relatively larger percentages.

Figure 6: ETH Options Open Interest by Strike (k3)

Most of the open interest by expiry is significantly concentrated in June. The open interest of ETH options expiring at the end of September and the end of December is also significant.

Figure 7: ETH Options Open Interest by Expiry (k3)

Jeff Liang

CEO of Greeks.Live

June 18, 2020