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

3 min readJun 28, 2020

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.

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

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.