Greeks.Live & Deribit Options Market Observation 0727–Bull
Remarks:
After a week of rising eth, Bitcoin finally had a bull session, surpassing 10,300, just one step away from the highest price this year. The rise in the price of Bitcoin brought a number of data increases, open interest, trading volume and basis, with breakout increases on the IV and Skew.
This report is jointly published by Deribit and Greeks. Live.
【BTC Options】
BTC historical volatility:
10d 26%
30d 25%
90d 57%
1Y 81%
Open interest rose to $1.3 billion, at a new high. Daily options trading volume has been above $100 million in recent days, including $161 million on the Jul-23rd, which is close to the volume traded on the June 26th, the expiry day. The volatility in Bitcoin has increased significantly, but are still on the low side compared to the average level this year.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 58%, 3m 64%, 6m 68%
7/26：1m 53%, 3m 60%, 6m 66%
Short-term volatility steps up, with a rise of 10% to 58%, mid- and long-term rise of about 3%. The volatility has a significant rise. As mentioned before, IV is hard to keep rising without a big market in Bitcoin, because although the current market direction change is big, the volatility level is not enough to maintain IV needs a bigger market. Wish a bull!
Skew:
Today:1m +15.4%, 3m +13.5%, 6m +17.3%
7/26：1m +7.2%, 3m +5.6%, 6m +7.8%
The data shows that there is a very large Left-Skew today. On the one hand, sellers are in a wait-and-see attitude towards selling Call when the big upside comes, and will generally choose to open a position when the market is trading sideways or on a pullback; on the other hand, the 0.25D sample point shifted upward due to price movement, which is volatility smile, and it will take some time for the market to correct IV. All in all, the current data shows traders are buying call options.
Flows:
BTC Option Flows shows that buying calls is still dominant today. In general, sellers have also started to open positions, with little difference in power between the two sides.
OI Change
In terms of position changes, the largest trading volume is the 31Jul OTM call options. All the traders wait for a signal.
The distribution of positions is shown in the chart, with open interest surpassing 68,400 BTC at the end of the month for 31Jul-expiry.
【ETH Options】
ETH historical volatility:
10d 27%
30d 45%
90d 62%
1Y 100%
The IV of each standardized expiry date:
Today: 1m 79%，3m 76%，6m 76%
7/26: 1m 70%，3m 72%，6m 75%
The short-term volatility rises much, more than the mid- and long-term volatility.
Skew:
today:1m +24.3%, 3m +20.8%, 6m +20.1%
7/27： 1m +15.3%, 3m +15.0%, 6m +14.1%
For the ETH market, the skew is amazing, over 20% for the same 0.25D. The traders buy calls without considering the cost, which is largely directly related to high basis spreads.
Have a good time.
Jeff Liang
CEO of Greeks. Live
July 27, 2020
