Greeks.Live & Deribit Options Market Observation 0707 — Increasing Open Interest
Compared to other markets that have been on a hot streak, the cryptocurrency market has been relatively flat lately.
But a change in the market may only require a small trigger. After all, Bitcoin is still the most promising asset.
Bitcoin had a 3% gain yesterday, and OTM call options are being traded in large amounts.
【Performance of the underlying assets】
BTC historical volatility:
ETH historical volatility:
Bitcoin had a 3% gain yesterday, and OTM call options are being traded in large amounts. Short-term historical volatility is up slightly, but still less than stock index options. Wait patiently, new volatility may not be far off.
BTC options open interest were down slightly at $904million.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 53%, 3m 65%, 6m 72%
7/6： 1m 50%, 3m 64%, 6m 71%
Short-term IV is up slightly, and mid-term and long-term IV is stable as yesterday.
Today: 1m +2.6%, 3m +3.9%, 6m +4.5%
7/6：1m -5.2%, 3m-0.1%, 6m +1.9%
Short-term skew is back in positive territory, medium-term and long-term skew is still around zero. Clearly there are buyers of short-term call options coming in.
The Put/Call Ratio is 0.52.
In terms of changes in positions, traders opened a large number of short-term OTM call options and the IV was high enough. The data shows a high level of enthusiasm for the purchase of wide straddles and naked calls.
The distribution of positions is shown in the chart, many of which are structured positions.
ETH options open interest is USD 146 million.
The trading volume is up.
The IV of each standardized expiry date:
Today: 1m 57%，3m 68%，6m 75%
7/6： 1m 51%，3m 65%，6m 73%
The implied volatility was up a bit.
Today: 1m +1.1%, 3m +7.7%, 6m +6.8%
7/6： 1m -3.5%, 3m +6.1%, 6m +7.2%
Have a good time.
CEO of Greeks.Live
July 7, 2020