Greeks.Live & Deribit Options Market Observation 0801–The New High
Today is the first trading day of August and after the expiry of JUL31, there is a significant drop in positions. The price of Bitcoin crossing $11,700 at one point today, a new high for the year.
This report is jointly published by Deribit and Greeks. Live.
BTC historical volatility:
Open interest rose to $1.3 billion with over $300 million of positions closed.
The implied volatility (IV) of each standardized expiry date is as follows:
Today: 1m 61%, 3m 65%, 6m 67%
7/31：1m 53%, 3m 63%, 6m 65%
The price of Bitcoin crossing $11,700 at one point today, a new high for the year.
Today:1m +15.4%, 3m +12.5%, 6m +14.3%
7/31：1m +12.2%, 3m +11.6%, 6m +13.8%
Today’s data shows that skew continues to remain high.
BTC Option Flows shows little difference in power between the four sides.
In terms of position changes, a large number of OTM options are closed.
The distribution of positions is shown in the chart, with open interest surpassing 42,100 BTC at the end of the month for 28Aug-expiry.
Have a good time.
CEO of Greeks. Live
Aug 1, 2020