Greeks.Live & Deribit Options Market Observation 0628 —The Quadruple Witching Day

Remarks:

Quadruple witching day refers to when market index futures, market index options, stock options, and stock futures all expire on the same day.

The quarterly futures and options of all BTC &ETH exchanges expire on June 26, so we can call June 26 the Quadruple witching day of Bitcoin. Simultaneous delivery of these derivatives will generally cause severe market volatility, and all traders play against each other.

The market has indeed experienced some volatility in the past two days, but the implied volatility and realized volatility are still falling.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 56.75%

14d 41.59%

30d 52.17%

60d 67.97%

1Y 86.83%

ETH historical volatility:

7d 61.56%

14d 47.81%

30d 65.81%

60d 72.05%

1Y 104.18%

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

Although there are many long black lines around the day of quarter delivery, there is no major volatility . The short-term historical volatility is slightly higher, but the medium-term and long-term historical volatility is still low.

【BTC Options】

Open Interest fell from $1.3 billion to $670 million, returning to the market state in early May and starting to rebound rapidly.

Trading is relatively active.

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

Today: 1m54%, 3m 66%, 6m 73%

6/26:1m 55%, 3m 68%, 6m 73%

IV has remained stable.

Figure 1: BTC ATM Implied Volatility

Skew:

Today: 1m -15%, 3m +5.5%, 6m +2.2%

6/26:1m -11%, 3m -2.7%, 6m +4.1%

The left-skew of mid-term has been rising, and put has obvious price advantage.

Figure 2: BTC 25d Skew

Put / call ratio is 0.48, which is rebounding slowly, but it is still low in the long term.

Figure 3: BTC Put/Call Ratios

According to the data of position change, a large number of OTM call options have been traded, indicating that the hedgers using the covered strategy on deribit began to build a large number of new term options.

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

Various options exchanges settled options more than $670 million contracts on June 26 alone.

【ETH Options】

Open Interest fell from $165 million to $108 million(35%), less than bitcoin (48%), because traders of Ethereum could move more earlier.

The IV of each standardized expiry date:

Today: 1m 53%,3m 65%,6m 72%

6/26:1m 62%,3m 73%,6m 78%

Around the day of delivery, the implied volatility fell rapidly, and ETH IV was close to the level of BTC IV.

Skew:

Today: 1m -6.2%, 3m +1.9%, 6m +5.4%

6/26:1m -5.2%, 3m +2.9%, 6m +6.3%

The overall skewness returned to the average level of last month.

The Put/Call Ratio of OI remains at 1.01.

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

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Jeff Liang

CEO of Greeks.Live

June 28, 2020

A professional options App for options traders Join us at Telegram: https://t.me/greekslive