Greeks.Live & Deribit Options Market Observation 0716 — Thursday For Rolling

Remarks:

As mentioned in previous observation, a large number of traders chose to roll over on Thursday. As the current data shows, a similarly large number of OTM options were moved into the 24Jul. Friday’s IV decline has now become a regular, as it is not uncommon for sellers to hold expirations and open new positions on Friday. It is a passive action against spreads, and it is better to take the pin-risk than to lose spreads and fees. For traders who are not subject to the above restrictions, they can take advantage of this by trading, for example, opening positions early.

This report is jointly published by Deribit and Greeks. Live.

【Performance of the underlying assets】

BTC historical volatility:

10d 27%

30d 28%

90d 61%

1Y 81%

ETH historical volatility:

10d 45%

30d 43%

90d 72%

1Y 100%

The current RV of short-term bitcoin options is significantly lower than IV, while the RV of medium- and long-term contracts is slightly lower than IV. This is because in recent times The RV is indeed below average, due to the reluctance of sellers to continue lowering their selling prices.

【BTC Options】

BTC options open interest was down slightly at $1.1 billion.

The implied volatility (IV) of each standardized expiry date is as follows:

Today: 1m 54%, 3m 66%, 6m 72%

7/15：1m 53%, 3m 66%, 6m 72%

Implied volatility is unchanged from yesterday, for the short term remains around 54% and the long term remains around 72%, a difference of 18% between the two It is also already among the larger gaps in the historical data.

Figure 1: BTC ATM IV

Skew:

Today:1m -3.9%, 3m +1.4%, 6m +4.0%

7/15：1m -2.8%, 3m +0.9%, 6m +3.5%

Figure 2: BTC 25d skew

PCR

The Put/Call Ratio is 0.52.

Figure 3: BTC Put/Call Ratios

In terms of position changes, traders are making rollovers.

Figure 4: BTC IO Change

The distribution of positions is shown in the chart, with More than 50,000 BTC of options positions expiring on the 31st. Short- and medium-term options positions grow at the fastest rate.

Figure 5: BTC OI by Strike

Figure 6: BTC OI by expiry

【ETH Options】

ETH options open interest is USD 164million.

Trading volumes are stable.

The IV of each standardized expiry date:

Today: 1m 58%，3m 68%，6m 74%

7/15 : 1m 55%，3m 67%，6m 74%

The short-term volatility rises slowly and the long-term volatility is stable.

Skew:

today：1m +4.0%, 3m +10.9%, 6m +11.1%

7/15： 1m +3.2%, 3m +9.6%, 6m +11.1%

ETH’s data is increasingly diverging from BTC’s, and there may be opportunities to trade in different coins.

Have a good time.

Jeff Liang

CEO of Greeks.Live

July 16, 2020