Greeks.Live & Deribit Options Market Observation 0704 — Big Win For Sellers
Remarks:
As mentioned in yesterday’s observation, there were a large number of short-term OTM options expiring. For sellers with positions, this is a big win for sure. But for sellers who want to open new positions now, the volatility makes sellers face a difficult choice.
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
7d 17.70%
14d 32.54%
30d 34.81%
60d 60.45%
1Y 85.30%
ETH historical volatilit:
7d 28.22%
14d 48.57%
30d 46.46%
60d 67.58%
1Y 103.52%
Realised volatility continued to drop. The expected volatility did not come after the big expiry on June 26. The digital currency market was a bit quiet as other asset markets were active.
【BTC Options】
BTC options open interest were down slightly at $771 million, due to the expiry.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 46%, 3m 63%, 6m 71%
7/3: 1m 46%, 3m 63%, 6m 71%
IV is stable.
Skew:
Today: 1m -6.2%, 3m-0.1%, 6m +2.9%
7/3: -7.5%, 3m -1.3%, 6m +2.1%
Skew is stable, the market is frozen.
PCR
The Put/Call Ratio is 0.62, which is starting to rise quickly, and the put volume is starting to Significant rise.
In terms of position changes, a large number of OTM options expired yesterday. The recent market has been uncomfortable for buyers and sellers.
The distribution of positions is shown in the chart. With many of OTM options expiring, the overall market position is still declining.
【ETH Options】
ETH options open interest is USD 127 million.
Trading volumes have fallen.
The IV of each standardized expiry date:
Today: 1m 48%，3m 63%，6m 72%
7/3：1m 50%，3m 65%，6m 73%
The IV has dropped to the lowest level over the past year.
Skew:
Today: 1m -5.7%, 3m +4.9%, 6m +5.6%
7/3：1m -3.4%, 3m +4.3%, 6m +8.2%
Skew has been stable.
About ETH market, a large number of OTM options expired. This is a big win for the sellers.
Have a good time.
Jeff Liang
CEO of Greeks.Live
July 4, 2020
