Greeks.Live & Deribit Options Market Observation 0625 — Open Interest Reached New Highs
Remarks:
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.
Skew:
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.
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.
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.
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.
Skew:
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: https://greeks.live/download/app/greeks.apk
Jeff Liang
CEO of Greeks.Live
June 25, 2020
