Greeks.Live & Deribit Options Market Observation 0706 — The Flat Market

Remarks:

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:

7d 18.34%

14d 33.14%

30d 34.97%

60d 56.46%

1Y 85.26%

ETH historical volatility:

7d 32.12%

14d 37.87%

30d 47.51%

60d 65.63%

1Y 103.35%

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】

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.

Figure 1: BTC ATM IV

Skew:

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.

Figure 2: BTC 25d skew

PCR

The Put/Call Ratio is 0.53.

Figure 3: BTC Put/Call Ratios

In terms of position changes, the market volume is stable and most traders are in a holding position mode.

Figure 4: BTC IO Change

The distribution of positions is shown in the chart, with options positions becoming increasingly concentrated, many of which are structured positions.

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

【ETH Options】

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.

Skew:

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.

Jeff Liang

CEO of Greeks.Live

July 6, 2020

A professional options App for options traders Join us at Telegram: https://t.me/greekslive