Greeks.Live & Deribit Options Market Observation 0719 — Discovering Patterns II

3 min readJul 19, 2020

Remarks:

As mentioned in the observations yesterday, IV is likely to fall on Friday as sellers’ positions expire and the margin is released. The data shows that such a market this week is in line with the forecast. Discovering regular market patterns may save a percentage point or two. But discovering only superficial patterns is not enough; these patterns have the logic (Friday expiry and rollover), as well as a stable market.

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

【Performance of the underlying assets】

BTC historical volatility:

10d 20%

30d 28%

90d 59%

1Y 81%

ETH historical volatility:

10d 31%

30d 44%

90d 65%

1Y 100%

Even if IV fell so much, it would be significantly higher than RV. Even traders who are new to the market should know that the coin toss has several positives in a row and the probability of the next negative is still one-half. But market movements are not independent events, which is why the discovery of regular patterns is so much controversy.

【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 63%, 6m 70%

7/18：1m 48%, 3m 62%, 6m 69%

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.

Skew:

Today:1m -10.2%, 3m -3.1%, 6m +0.4%

7/18：1m -10.1%, 3m -2.4%, 6m +2.3%

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.

At times like this, we can take advantage of PCP synthesis. For example, if I wish to purchase a Jul31–9000C, at the current skew, I can choose to purchase a Jul31- 9000p while long equivalent futures.

Flows:

The Put/Call Ratio is 0.52. More than 67% of orders were called orders.

In terms of position changes, a large number of OTM options expired Friday, about 19,000 BTC options expired, most of which were voided. It is particularly important to note that block trades are starting to appear in more and more portfolios.