Greeks.Live & Deribit Options Market Observation 0717 — Hard Times For Sellers

Remarks:

As mentioned in the observations yesterday, IV is likely to fall on Friday as sellers’ positions expire and the margin is released. Since there still wasn’t much movement today, IV also saw the expected drop. The sellers faced hard times.

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

【Performance of the underlying assets】

BTC historical volatility:

10d 27%

30d 28%

90d 59%

1Y 81%

ETH historical volatility:

10d 47%

30d 44%

90d 68%

1Y 100%

Even if IV had a dip today, it would be significantly higher than RV. It’s honest to say that now, even if Bitcoin didn’t have any volatility, RV would not keep falling anymore.

【BTC Options】

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

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

Today: 1m 50%, 3m 64%, 6m 71%

7/16：1m 53%, 3m 66%, 6m 72%

Implied volatility is clearly on a downward spiral today, with short-term volatility being depressed around the expiry while driving intermediate to long-term Volatility is down slightly. But buyers shouldn’t be discouraged, volatility will come back.

Figure 1: BTC ATM IV

Skew:

Today:1m -10.1%, 3m -2.4%, 6m +2.3%

7/16：1m -3.9%, 3m +1.4%, 6m +4.0%

Figure 2: BTC 25d skew

Short-term Skew is as high as 10%, and this is obviously due to the massive selling of OTM call options, and as the margin is released, some sellers begin to sell regardless of price.

PCR

The Put/Call Ratio is 0.52.

Figure 3: BTC Put/Call Ratios

In terms of position changes, more than 75% of orders were sell orders, and it is particularly important to note that block trades are starting to appear in more and more portfolio.

The distribution of positions is shown in the chart, with open interest surpassing 52,000 BTC at the end of the month for 31Jul-expiry.

19,000 BTC options expired, most of which were voided.

Figure 5: BTC OI by Strike

Figure 6: BTC OI by expiry

【ETH Options】

ETH options open interest is USD 162million.

Trading volumes drop.

The IV of each standardized expiry date:

Today: 1m 53%，3m 67%，6m 74%

7/16 : 1m 58%，3m 68%，6m 74%

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

Skew:

today: 1m -0.2%, 3m +6.6%, 6m +8.1%

7/16： 1m +4.0%, 3m +10.9%, 6m +11.1%

For ETH market, sell call trading is up to 57% and total selling is over 80%. There are undoubtedly coin-whales who are starting to apply options for revenue enhancement.

Have a good time.

Jeff Liang

CEO of Greeks.Live

July 17, 2020