Greeks.Live & Deribit Options Market Observation 0729–The Seller Was Relieved.


Bitcoin broke out to new highs on the 27th and went into a brief sideways move on the 28th. Iv was quickly suppressed, the long-term IV was back to a low level, the short-term was nearly 20% lower, and the term-structure returned to the norm. For the sellers, if they had sold more in the last two days, they would have been relieved by now.

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

【BTC Options】

BTC historical volatility:

10d 68%

30d 45%

90d 60%

1Y 81%

Open interest rose to $1.6 billion, at a new high. Daily options trading volume has been above $263 million today.

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

Today: 1m 61%, 3m 64%, 6m 65%

7/28:1m 76%, 3m 72%, 6m 71%

As the observation says yesterday, if bitcoin price went into a brief sideways, the data would change to what it was before. Bitcoin can only cause a rise in implied volatility if it continues to pull up. If this rise ends in a sideways market, implied volatility will be suppressed quickly. In short, now is a good time to trade volatility.

Short-term implied volatility is down to 61%, lower than medium- and long-term volatility.

Figure 1: BTC ATM IV


Today:1m +9.2%, 3m +10.6%, 6m +13.8%

7/28:1m +15.4%, 3m +13.5%, 6m +17.3%

The skew is down. On the one hand, sellers start to open positions when the market stops rising; on the other hand, implied volatility could not lead such a left-skew.

Figure 2: BTC 25d skew


BTC Option Flows shows that most traders have started to open positions, with little difference in power between the two sides.

Figure 3: BTC Option Flows

OI Change

In terms of position changes, the largest trading volume is the OTM options.

Figure 4: BTC OI Change

The distribution of positions is shown in the chart, with open interest surpassing 68,900 BTC at the end of the month for 31Jul-expiry.

Figure 5: BTC OI by Strike
Figure 6: BTC OI by the expiry

【ETH Options】

ETH historical volatility:

10d 83%

30d 57%

90d 68%

1Y 101%

The IV of each standardized expiry date:

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

7/28 : 1m 83%,3m 80%,6m 78%

Eth was the leader of the pullback, with open interest reaching $285 million today. The data maintained yesterday’s levels, one trading day ahead of Bitcoin, and Bitcoin goes into a sideways trade today, the Eth options market follows the bitcoin market.


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

7/28: 1m +15.3%, 3m +15.8%, 6m +16.1%

For the ETH market, the skew is still amazing, almost 20%. The traders sell a large number of options. As you can see, the options market is now becoming more mature.

Have a good time.

Jeff Liang

CEO of Greeks. Live

July 29, 2020

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