Greeks.Live & Deribit Options Market Observation 0705 — Low Volume，Low Volatility

Remarks:

The cryptocurrency market has been stable , with low volumes and low volatility.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 18.34%

14d 33.14%

30d 34.71%

60d 60.46%

1Y 85.28%

ETH historical volatilit:

7d 31.12%

14d 50.07%

30d 47.01%

60d 67.33%

1Y 103.55%

Realised volatility is in unstable equilibrium. The digital currency market was a bit quiet as other asset markets were active.

【BTC Options】

BTC options open interest were down slightly at $798 million.

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

Today: 1m 50%, 3m 63%, 6m 71%

7/4：1m 46%, 3m 63%, 6m 71%

IV is stable as yesterday.

Figure 1: BTC ATM IV

Skew:

Today: 1m -7.2%, 3m +0.9%, 6m +4.1%

7/4：1m -6.2%, 3m-0.1%, 6m +2.9%

Skew is stable, which is in unstable equilibrium too.

Figure 2: BTC 25d skew

PCR

The Put/Call Ratio is 0.52.

Figure 3: BTC Put/Call Ratios

The CME data has been updated in terms of changes in positions, and essentially all of them are filled with OTM call options.

Figure 4: BTC IO Change

The distribution of positions is shown in the chart, and the options Open Interset now has some periodic trends, with CME positions concentrated in OTM calls and other positions largely concentrated in Deribit.

Figure 5: BTC OI by Strike

Figure 6: BTC OI by expire

【ETH Options】

ETH options open interest is USD 130 million.

Trading volumes have fallen.

The IV of each standardized expiry date:

Today: 1m 51%，3m 65%，6m 73%

7/4： 1m 48%，3m 63%，6m 72%

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

Skew:

Today: 1m -4.4%, 3m +5.3%, 6m +4.8%

7/4： 1m -5.7%, 3m +4.9%, 6m +5.6%

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 5, 2020