Greeks.Live & Deribit Options Market Observation 0724–New Record High For ETH Options Volume
Remarks:
The IV of Bitcoin fell again on Friday, even below the past. In the past, ethereum has more or less followed bitcoin’s price, but this time it was different, with ethereum leading the market. The options market has exploded, with one-day trading volume in ethereum options hitting a new high, nearly double the previous high. OI reached $225 million, 150% of the previous high.
This report is jointly published by Deribit and Greeks. Live.
【Performance of the underlying assets】
BTC historical volatility:
10d 20%
30d 26%
90d 57%
1Y 81%
ETH historical volatility:
10d 60%
30d 50%
90d 65%
1Y 101%
As we can see from the data, mid- and long-term historical volatility is still falling, BTC short-term volatility has risen slightly and ETH short-term historical volatility has risen. Because prices have risen in recent days, there hasn’t been much volatility, most of the increase in ETH’s RV is attributed to the change in delta. For buyers, the big win was mostly in direction.
【BTC Options】
BTC options open interest was down slightly at $1.3billion.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 47%, 3m 60%, 6m 67%
7/23：1m 51%, 3m 62%, 6m 69%
The short-term implied volatility had risen for some hours and then fell fast.
The mid- and long-term implied volatility has been down slightly. traders sell more in a higher IV, and rollover to sell on Friday.
Skew:
Today:1m -0.6%, 3m +2.6%, 6m +5.4%
7/23：1m +0.7%, 3m +0.5%, 6m +1.9%
The most significant change in today’s data is that the long-term 0.25D Skew rose to 5.4%, Call is much more expensive, the premium is at a higher level, and the previously mentioned PCP portfolio can be reversed.
Flows:
The Put/Call Ratio is 0.52. The four trading forces were relatively close today, and the block trade was hot again, with many trades sell options.
OI Change
In terms of position changes, the options with the trading volume of the long-term are higher.
The distribution of positions is shown in the chart, with open interest surpassing 62,300 BTC at the end of the month for 31Jul-expiry,the trading OI of the long-term is higher.
【ETH Options】
ETH options open interest is USD 208 million, amazing growth in trading volume and Open Interest. Two data charts today show how terrifying the growth of current Eth options has been.
The IV of each standardized expiry date:
Today: 1m 64%，3m 70%，6m 74%
7/23: 1m 61%，3m 69%，6m 75%
The short-term volatility and long-term volatility are both up. Unlike Bitcoin’s IV decline, the options market for eth has come out of a strong independent trend.
Skew:
today:1m +10.3%, 3m +12.8%, 6m +13.1%
7/23： 1m -4.3%, 3m +7.6%, 6m +8.0%
For the ETH market, the right-skew is obvious, which is different from BTC. The expensive Calls mean that there are a lot of traders long the ETH.
Have a good time.
Jeff Liang
CEO of Greeks. Live
July 24, 2020
