Greeks.Live & Deribit Options Market Observation 0805 — ETH on a strong rise

Remarks:

In this bull market round, ETH is obviously stronger than BTC. On the one hand, the price increasing is greater; on the other hand, the ETH bull market starts earlier. After the price calling back on August 2nd, the ETH price holds strong above 390 US dollars, and the ETH option open interest reaches a new high, above 333 million US dollars. All the ETH options data are on a strong rise.

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

【BTC Options】

BTC historical volatility:

10d 83%

30d 52%

90d 58%

1Y 81%

The BTC options open interest is 1.4 billion US dollars, and options volume is 103 million US dollars. At present, the trend of shrinking volume is continuing and it is near the highest price at the end of last month.

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

Today: 1m 63%, 3m 69%, 6m 69%

8/4: 1m 63%, 3m 66%, 6m 66%

Currently, the price is near the highest price in the sideways trend these days. The trading volume is not large, and the short-term implied volatility has declined a little bit.

Figure 1: BTC ATM Implied Volatility

Figure 2: BTC ATM Volatility Term Structure

Skew:

Today: 1m +8.4%, 3m +11.5%, 6m +16.3%

8/4: 1m +6.2%, 3m +8.6%, 6m +12.8%

The basis has not changed much, and skew has risen slightly.

Figure 3: BTC 25d Skew

It can be seen from BTC Option Flows that the sellers act promptly as soon as the market become stable.

Figure 4: BTC Option Flows (DBT, OKX) — Current Day

From the perspective of open interest changes, there is more short-term options trading than long-term options trading.

Figure 5: Top BTC Options Volumes (DBT, OKX) — Current Day (฿)

The BTC Options Open Interest is shown in the figure 6 & 7. The open interest of options that expire on Aug 28th is 45,500 bitcoins, and the open interest of ATM options is the largest. Overall, the positions of options are quite a bit scattered.

Figure 6: BTC Options Open Interest by Strike (k฿)

Figure 7: BTC Options Open Interest by Expiry (k฿)

【ETH Options】

ETH historical volatility:

10d 103%

30d 73%

90d 70%

1Y 102%

ETH today’s option open interest reached 333 million US dollars, a new high. The trading volume of ETH options has declined. Shorting Puts accounts for nearly half of the trading volume, especially the put with the strike price 390.

The IV of each standardized expiry date:

Today: 1m 89%, 3m 87%, 6m 82%

8/4: 1m92%, 3m87%, 6m 80%

ETH IV continues to maintain the level of yesterday, but long-term IV is low due to puts shorting. It may be difficult for the long-term IV to return in a short time.

Figure 8: ETH ATM Implied Volatility

Figure : ETH Options Open Interest by Expiry (k฿)

The distribution of ETH’s option open interest is in a stepped increase, with 102,000 ETH in the week, 165,000 ETH in the month, 247,000 ETH in the quarter, and 308,000 ETH at the end of the year. This open interest structure greatly affects other data of ETH options, and it is difficult to change significantly in a short time.

Jeff Liang

CEO of Greeks.Live

Aug 5, 2020