Greeks.Live & Deribit Options Market Observation 0703 — A Peaceful Expiration Day

Remarks:

Today is the expiration day and there are a large number of short-term OTM options expiring. The price of Bitcoin fluctuated less than $100 throughout the day. The options market data shows that options positions are increasingly concentrated in the 31Jul that expires at the end of this month.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 21.30%

14d 32.80%

30d 35.23%

60d 63.63%

1Y 85.31%

ETH historical volatility:

7d 39.62%

14d 48.57%

30d 46.46%

60d 67.58%

1Y 103.54%

Realised volatility continued to drop.

【BTC Options】

BTC options open interest is USD 858 million, increases steadily.

The trading volume is stable.

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

Today: 1m 46%, 3m 63%, 6m 71%

7/2：1m 49%, 3m 64%, 6m 72%

IV is stable, but the VRP is not low considering the actual RV is lower than that in last month.

Figure 1: BTC ATM IV

Skew:

Today: 1m -7.5%, 3m -1.3%, 6m +2.1%

7/2：1m -8.2%, 3m+0.3%, 6m +3.0%

Skew is stable, the market is frozen.

Figure 2: BTC 25d skew

PCR

The Put/Call Ratio is 0.50, 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 31Jul20–8000p added as many as 615 bitcoins, with almost all of the large new positions concentrated in the 31Jul contract.

Figure 4: BTC IO Change

The distribution of positions is shown in the chart.Many of today’s otm options are expiring and the market is becoming more and more concentrated in its positions.

Figure 5: BTC OI by Strike

Figure 6: BTC OI by expire

【ETH Options】

ETH options open interest is USD 134 million.

Trading volumes have fallen.

The IV of each standardized expiry date:

Today: 1m 50%，3m 65%，6m 73%

7/2：1m 51%，3m 65%，6m 73%

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

Skew:

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

7/2：1m -3.6%, 3m +3.8%, 6m +4.6%

Skew has been stable.

About ETH market, a large number of calls with a strike price of 230 were traded and IV wholesale price was very low.

Have a good time.

Jeff Liang

CEO of Greeks.Live

July 3, 2020