Greeks.Live & Deribit Options Market Observation 0701 — A Long Sideways Trend

Remarks:

It has been more than 2 months since the price of Bitcoin rebounded above 9000 on April 30. Bitcoin has ushered in the longest sideways quarter of this year. The impact of 312-crash has not been completely eliminated, but the short- and medium-term volatility has fallen to the lowest level in history.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 17.29%

14d 31.66%

30d 41.99%

60d 60.48%

1Y 85.82%

ETH historical volatility:

7d 32.73%

14d 46.23%

30d 48.38%

60d 67.45%

1Y 103.99%

Realised volatility continues to drop, approaching the volatility level of March 2019.

【BTC Options】

BTC options open interest is USD 764 million, increases steadily.

The trading volume is stable.

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

Today: 1m 51%, 3m 65%, 6m 72%

6/30: 1m 52%, 3m 65%, 6m 72%

IV is stable.

Figure 1: BTC ATM IV

Skew:

Today: 1m -12%, 3m -1.8%, 6m +1.9%

6/30:1m -14%, 3m -2.8%, 6m +0.4%

The phenomenon of homogeneous strategy competition is very obvious. After the annualized futures basis is around 2%, the pricing of the entire market is obviously suppressed by the covered strategy.

Figure 2: BTC 25d skew

PCR

The Put/Call Ratio is 0.49, at a low level again. The trader is waiting for a big move.

Figure 3: BTC Put/Call Ratios

In terms of changes in positions, the newly-opened positions are concentrated on short- and medium-term OTM options.
Of particular note are the top two contracts in terms of volume change: one is the 03Jul-9250C, which appears to be a stand-alone bet on short-term volatility. The other is that there was a large amount of 8125p that expiried yesterday and it looks like a bad bet.
The long sideways is all the more reason to expect the big move to come.

Figure 4: BTC IO Change

The distribution of positions as shown in the chart shows that the 10,000 and 11,000 round number levels are of great interest, and indeed contracts at these prices are the stars of the covered strategy.

Figure 5: BTC OI by Strike

The distribution of positions as shown in the chart shows that the most active contracts short-term and positions become increasingly concentrated.

Figure 6: BTC OI by expire

【ETH Options】

ETH options open interest is USD 126 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 65%,6m 72%

6/30:1m 50%,3m 64%,6m 71%

This IV has dropped to the lowest level over the past year.

Skew:

Today: 1m -3.4%, 3m +4.3%, 6m +8.2%

6/30: 1m -1.3%, 3m +4.8%, 6m +5.7%

Skew has been stable.

Jeff Liang

CEO of Greeks.Live

July 1, 2020

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