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:

7d 26.99%

14d 28.94%

30d 36.13%

60d 56.63%

1Y 85.03%

ETH historical volatility:

7d 50.82%

14d 48.21%

30d 51.51%

60d 67.13%

1Y 103.51%

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】

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.

Figure 1: BTC ATM IV


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.

Figure 2: BTC 25d skew


The Put/Call Ratio is 0.52.

Figure 3: BTC Put/Call Ratios

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.

Figure 4: BTC IO Change

The distribution of positions is shown in the chart, 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 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.

Jeff Liang

CEO of Greeks.Live

July 7, 2020

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