Greeks.Live & Deribit Options Market Observation 0728–Bull!Bull!Bull!

Remarks:

Bitcoin rises in the middle of the night today, reaching a new high for the year. The rise in the price of Bitcoin resulted in a number of data increases, open interest, trading volume and basis, with breakout growth in both IV and Skew for options. The market was extremely optimistic, driven by the rising price.

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

【BTC Options】

BTC historical volatility:

10d 69%

30d 44%

90d 61%

1Y 81%

Open interest rose to $1.5 billion, at a new high. Daily options trading volume has been above $527 million today. Bitcoin reaches a new high for the year.

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

Today: 1m 76%, 3m 72%, 6m 71%

7/27:1m 58%, 3m 64%, 6m 68%

Spurred by Bitcoin prices setting new highs, a number of data on the options market changed significantly. Short-term implied volatility rose to 76%, higher than medium- and long-term volatility. The term structure of bitcoin options has also reversed. Bitcoin can only cause a rise in implied volatility if it continues to pull up; however, if this rise ends into a sideways market, implied volatility will be suppressed quickly. In short, now is a good time to trade volatility.

Skew:

Today:1m +15.4%, 3m +13.5%, 6m +17.3%

7/27:1m +12.2%, 3m +11.6%, 6m +15.8%

The data shows that there is a very large Left-Skew as yesterday. On the one hand, sellers start to open positions when the market stops rising; on the other hand, implied volatility is higher than the average level.

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 67,000 BTC at the end of the month for 31Jul-expiry.

【ETH Options】

ETH historical volatility:

10d 83%

30d 59%

90d 67%

1Y 101%

The IV of each standardized expiry date:

Today: 1m 83%,3m 80%,6m 78%

7/27: 1m 79%,3m 76%,6m 76%

Eth was the leader of the pullback, with open interest reaching $281 million today. But the star today was Bitcoin. The data maintained yesterday’s levels, one trading day ahead of Bitcoin, and if Bitcoin goes into a sideways trade today, the Eth options market is likely to be tomorrow’s Bitcoin options market.

Skew:

today:1m +17.3%, 3m +19.0%, 6m +22.1%

7/27: 1m +24.3%, 3m +20.8%, 6m +20.1%

For the ETH market, the skew is still amazing, over 20%. The traders sell calls much. As you can see, the options market is now becoming more mature.

Have a good time.

Jeff Liang

CEO of Greeks. Live

July 28, 2020

A professional options App for options traders Join us at Telegram: https://t.me/greekslive