Greeks.Live & Deribit Options Market Observation 0708 — Straddle And Strangle
Remarks:
Bitcoin is getting less and less volatile after more than two months of sideways trading. Options market data suggest that more and more large trades are being traded in strangle portfolios, with traders It is possible to bet on the coming of big volatility in this form. Because straddle portfolios are too expensive to bear a high time value (Theta) of money loss, some Traders expect bitcoin volatility to come, but don’t want to take too much time value loss, so a strangle is a great choice.
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
7d 26.45%
14d 23.34%
30d 36.15%
60d 56.28%
1Y 85.00%
ETH historical volatility:
7d 47.92%
14d 44.61%
30d 51.35%
60d 67.02%
1Y 103.50%
The digital currency market was a bit quiet as other asset markets were active.
【BTC Options】
BTC options open interest was down slightly at $919 million.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 53%, 3m 65%, 6m 71%
7/7： 1m 53%, 3m 65%, 6m 72%
IV is stable as yesterday.
Skew:
Today: 1m +3.1%, 3m+3.6%, 6m +3.7%
7/7：1m +2.6%, 3m +3.9%, 6m +4.5%
Skew is stable, which is moving closer to zero.
PCR
The Put/Call Ratio is 0.52.
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】
ETH options open interest is USD 146 million.
Trading volumes are stable.
The IV of each standardized expiry date:
Today: 1m 56%，3m 68%，6m 75%
7/7： 1m 57%，3m 68%，6m 75%
There was a small positive line today and implied volatility was up a bit.
Skew:
Today: 1m +4.5%, 3m +10.1%, 6m +5.6%
7/7： 1m +1.1%, 3m +7.7%, 6m +6.8%
Have a good time.
Jeff Liang
CEO of Greeks.Live
July 8, 2020
