Greeks.Live & Deribit Options Market Observation 0702 —Opening Transaction

Remarks:

Bitcoin’s price is getting less and less volatile from the intraday, but the options market data shows that someone is taking a Opening Transaction.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 19.36%

14d 32.12%

30d 35.34%

60d 60.48%

1Y 85.54%

ETH historical volatility:

7d 38.62%

14d 47.29%

30d 48.06%

60d 67.58%

1Y 103.99%

Small positive line didn’t change the sideways trend and mid-term volatility fell to new lows for the year.

【BTC Options】

BTC options open interest is USD 784 million, increases steadily.

The trading volume is stable, and the trading volume in deribit accounted for 93% of the total market volume yesterday.

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

Today: 1m 49%, 3m 64%, 6m 72%

7/1:1m 51%, 3m 65%, 6m 72%

IV is stable, which falls to new lows for the year.

Figure 1: BTC ATM IV

Skew:

Today: 1m -8.2%, 3m+0.3%, 6m +3.0%

7/1:1m -12%, 3m -1.8%, 6m +1.9%

Skew is frozen.

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, new positions remain concentrated in a few of the most active contracts.

Figure 4: BTC IO Change

The distribution of positions as shown in the chart shows the increasing concentration of positions in the OTM call option 31Jul20–10500C can be described as a standout.

Figure 5: BTC OI by Strike
Figure 6: BTC OI by expire

【ETH Options】

ETH options open interest is USD 134 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 51%,3m 65%,6m 73%

7/1:1m 50%,3m 65%,6m 72%

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

Skew:

Today: 1m +0.6%, 3m +5.2%, 6m +5.6%

7/1:1m -3.4%, 3m +4.3%, 6m +8.2%

Skew has been stable.

Have a nice day.

Jeff Liang

CEO of Greeks.Live

July 1, 2020

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