Greeks.Live & Deribit Options Market Observation 0624 — Collar Option Strategy

Remarks:

Seen from the strike price with the biggest change in BTC options open interest (OI), the OI of the deep out of the money (OTM) options expiring in December has increased significantly. It looks like a collar (long spot + long put + short call).

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

【Performance of the underlying assets】

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%

The market downturn continues, a typical phenomenon of volatility clustering.

【BTC Options】

BTC options OI is USD 1.2 billion, continuing to hit new highs.

Trading volume has been stable.

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

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

23 June: 1m 60%, 3m 68%, 6m 74%

IV has remained stable.

Figure 1: BTC ATM Implied Volatility

Skew:

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

23 June: 1m -5.6%, 3m +0.1%, 6m +5.8%

Skew has remained stable.

Figure 2: BTC 25d Skew

The Put/Call Ratio is 0.45, remaining at a low level.

Figure 3: BTC Put/Call Ratios

Seen from the strike price with the biggest OI change, the OI of the deep OTM options expiring in December has increased significantly. It looks like a collar (long spot + long put + short call).

Figure 4: Top BTC Options OI Change ( , Prev. Day)

Various options exchanges will settle 114,500 BTC options contracts on June 26 alone.

【ETH Options】

ETH options OI is USD 170 million, continuing to set new records.

Trading volume has contracted.

The IV of each standardized expiry date:

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

23 June: 1m 61%, 3m 72%, 6m 78%

IV has been stable.

Skew:

Today: 1m -3.8%, 3m +2.6%, 6m +6.5%

23 June: 1m -1.4%, 3m +5.7%, 6m +7.2%

A slightly left-skewed distribution in front months

The Put/Call Ratio of OI remains at 0.84.

The OI of the OTM Calls expiring at the end of July has increased rapidly.

Greeks.Live Upgrade Announcement

Greeks.Live Version 1.0.1 is released!

New features:

1. Browse mode;

2. Three-dimensional volatility surface;

3. A few bug fixes.

Existing users may access the notice of the app to confirm the upgrade.

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Jeff Liang

CEO of Greeks.Live

June 24, 2020