Greeks.Live & Deribit Options Market Observation 0801–The New High

Remarks:

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 Options】

BTC historical volatility:

10d 71%

30d 44%

90d 56%

1Y 81%

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.

Figure 1: BTC ATM IV

Skew:

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.

Figure 2: BTC 25d skew

Flows:

BTC Option Flows shows little difference in power between the four sides.

Figure 3: BTC Option Flows

OI Change

In terms of position changes, a large number of OTM options are closed.

Figure 4: BTC OI Change

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.

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

Have a good time.

Jeff Liang

CEO of Greeks. Live

Aug 1, 2020

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