Greeks.Live & Deribit Options Market Observation 0723 — Big Win For Buyers
Remarks:
After a recent price increase, the price of bitcoin rose to $9,600 and the price of ethereum rose to $275. With a marked change in market data for ethereum options, OI surpassing $200 million for the first time. While implied volatility rose significantly and some short-term option prices rose more than tenfold, the market finally moved. Today’s theme: a big win for the buyer!
This report is jointly published by Deribit and Greeks.Live.
【Performance of the underlying assets】
BTC historical volatility:
10d 20%
30d 29%
90d 58%
1Y 81%
ETH historical volatility:
10d 55%
30d 53%
90d 65%
1Y 101%
Bitcoin rose 4.5%, driving a small increase in historical volatility; ethereum rose 15%, driving a large increase in short-term historical volatility. The impact of the 15% rise should not be underestimated, ethereum futures & options markets are active.
【BTC Options】
BTC option's open interest was up slightly at $1.2 billion.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 51%, 3m 62%, 6m 69%
7/22：1m 49%, 3m 62%, 6m 70%
IV rises, just about 2%.
Skew:
Today: 1m 0.7%, 3m 0.5%, 6m +1.9%
7/22：1m -5.6%, 3m -2.6%, 6m +0.4%
The most obvious change in today’s data is that the 0.25D Skew of all expiry-date has fallen back to zero. On the upside, the OTM call options have become less OTM level or even close to ATM, while the put options are the opposite. There is now no premium on Put versus Call, and the basis of the future rises a little, which shows that the market is starting to spread with enthusiasm for the long side.
PCR&FLOW
The Put/Call Ratio is 0.51, which is starting to rise quickly, and the put volume is starting to Significant rise.
In terms of position changes, a large number of OTM options are sold.
The distribution of positions is shown in the chart, with open interest surpassing 60,300 BTC at the end of the month for 31Jul-expiry.
【ETH Options】
ETH options open interest is USD 201 million. With $200 million for the first time and OI volume accelerating, the ethereum options market is active.
Trading volumes have fallen.
The IV of each standardized expiry date:
Today: 1m 61%，3m 69%，6m 75%
7/22 : 1m 54%，3m 67%，6m 75%
The IV rises much, especially the short-term options.
Skew:
Today: 1m -4.3%, 3m +7.6%, 6m +8.0%
7/21： 1m +8.3%, 3m +8.8%, 6m +10.1%
About ETH market, the Skew of all the expiry in the Etherium is significantly right-skew, so Calls have gotten more expensive, which indicates that the market is buying calls. Some short-term call options are up more than 10x spurring the market forward.
Have a good time.
Jeff Liang
CEO of Greeks.Live
July 23, 2020
