Greeks.Live & Deribit Options Market Observation 0630 — So High THE Put Skew
Remarks:
One result of the high Put-Skew is that Short ATM Put and Long OTM Put, then the theta of the portfolio is negative.
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
7d 28.10%
14d 31.67%
30d 50.29%
60d 60.57%
1Y 86.20%
ETH historical volatility:
7d 38.83%
14d 45.86%
30d 54.56%
60d 68.01%
1Y 103.45%
Realised volatility continues to drop.
【BTC Options】
BTC options open interest is USD 727 million, increases steadily.
The trading volume is stable.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 52%, 3m 65%, 6m 72%
6/29：1m 53%, 3m 65%, 6m 72%
IV is stable.
Skew:
Today: 1m -14%, 3m -2.8%, 6m +0.4%
6/29：1m -15%, 3m -4.8%, 6m +2.0%
The left-skew of short-term options is still serious. If you use the position builder and construct the bull-spread of Short ATM Put Long OTM Put, you will find that the theta of this portfolio is negative.
The Put/Call Ratio is 0.49, at a low level again. This indicator has been cited by the futures speculative market outside the options market as one of the indicators for judging price change expectations.
Judging from the Strike Price with the largest change in position volume, the newly added positions in the head are concentrated on the call options at the end of August.The covered-call strategy starts crowding.
The positions after the Quadruple Witching Day is shown in the figure. Call position is significant.
【ETH Options】
ETH options open interest is USD 125 million.
IV has been stable,and IV of ETH is close to the level of BTC.
The IV of each standardized expiry date:
Today: 1m 50%，3m 64%，6m 72%
6/29：1m 51%，3m 65%，6m 71%
The IV in front months continues to decrease. This IV has dropped to the lowest level over the past year.
Skew:
Today: 1m -1.3%, 3m +4.8%, 6m +5.7%
6/29：1m -5.8%, 3m +3.9%, 6m +7.6%
Skew has been stable.
Jeff Liang
CEO of Greeks.Live
June 30, 2020
