Greeks.Live & Deribit Options Market Observation 0706 — The Flat Market
The cryptocurrency market remains flat, with the basis of a future at around 3% annualized and options markets similarly flat.
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
ETH historical volatility:
The digital currency market was a bit quiet as other asset markets were active. Other markets, such as the stock market, are hot right now, with the IV of some stock index options as high as 40%.
BTC options open interest were down slightly at $808 million.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 50%, 3m 64%, 6m 71%
7/5：1m 50%, 3m 63%, 6m 71%
IV is stable as yesterday.
Today: 1m -5.2%, 3m-0.1%, 6m +1.9%
7/5：1m -7.2%, 3m +0.9%, 6m +4.1%
Skew is stable, which is moving closer to zero.
The Put/Call Ratio is 0.53.
In terms of position changes, the market volume is stable and most traders are in a holding position mode.
The distribution of positions is shown in the chart, with options positions becoming increasingly concentrated, many of which are structured positions.
ETH options open interest is USD 131 million.
Trading volumes are stable.
The IV of each standardized expiry date:
Today: 1m 51%，3m 65%，6m 73%
7/5：1m 53%，3m 68%，6m 75%
There was a small positive line today and implied volatility was up a bit.
Today: 1m -3.5%, 3m +6.1%, 6m +7.2%
7/5：1m -4.4%, 3m +5.3%, 6m +4.8%
Have a good time.
CEO of Greeks.Live
July 6, 2020