Greeks.Live & Deribit Options Market Observation 0625 — Open Interest Reached New Highs
3 min readJun 25, 2020



The open interest of Bitcoin option continued to reach new highs.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 41.02%

14d 33.49%

30d 55.45%

60d 67.78%

1Y 88.64%

ETH historical volatility:

7d 54.77%

14d 46.05%

30d 68.70%

60d 71.84%

1Y 104.72%

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

【BTC Options】

BTC options OI is USD 1.3 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 69%, 6m 74%

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

IV has remained stable.

Figure 1: BTC ATM Implied Volatility


Today: 1m -11%, 3m -2.7%, 6m +4.1%

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

Left-skew is growing quickly, and the Put is becoming more and more expensive.

Figure 2: BTC 25d Skew

The Put/Call Ratio is 0.46, which is maintained at a relatively low level.

It is estimated that the Put buyers are competing to increase their bids and raise the marked price, but the actual transactions are still relatively small.

Figure 3: BTC Put/Call Ratios

Judging from the exercise price with the largest change in position, Deribit is mainly Put due one week later.

Observe CME’s new positions, mostly covered strategy, the transaction volume is relatively heroic. The expiration date is at the end of July.

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

Various options exchanges will settle 117,000 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 63%,3m 73%,6m 78%

6/24:1m 61%,3m 72%,6m 78%

IV has slightly improved.


Today: 1m -3.3%, 3m +4.2%, 6m +6.4%

6/24:1m -3.8%, 3m +2.6%, 6m +6.5%

Skewness remains stable.

The Put/Call Ratio of OI remains.

From the analysis of position changes, the 280 Call position at the end of June dropped rapidly. Put positions at the end of June and the end of July 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.

The download link for new users:

Jeff Liang

CEO of Greeks.Live

June 25, 2020