Greeks.Live & Deribit Options Market Observation 0806 — Price Rises with Volume Shrinking

Remarks:

Yesterday both BTC and ETH price increased a bit, but the trading volume was not large. The current price maintains at the high price level of recent days, and IV continues to be higher than HV. In this round of bull market, the seller was less affected than in the previous bull market, because the price rising force has not been maintained strong, so there is more flexible space for the sellers.

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

【BTC Options】

BTC historical volatility:

10d 87%

30d 54%

90d 58%

1Y 81%

The BTC open interest is 1.4 billion US dollars, and BTC options trading volume is 172 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 61%, 3m 68%, 6m 70%

8/5: 1m 63%, 3m 69%, 6m 69%

The implied volatility has declined. The price is high, but IV has been lower than HV, indicating that the seller is dominating the market.

Figure 1: BTC ATM Implied Volatility

Figure 2: BTC ATM Volatility Term Structure

Skew:

Today: 1m +11.2%, 3m +13.6%, 6m +17.8%

8/5: 1m +8.4%, 3m +11.5%, 6m +16.3% Both basis and skew have risen slightly, and the impact of the rise is not significant.

Figure 3: BTC 25d Skew

We can see from the BTC Option Flows that the seller fully take the initiative, but the skew has not been effectively corrected.

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

From the perspective of open interest changes, there are more short-term options tradings. Also, given the fact that short-term skew rises, it seems that someone is buying options a lot.

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. The market inertia is very strong. Once the position structure is formed, it will last for a while.

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

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

【ETH Options】

ETH historical volatility:

10d 89%

30d 74%

90d 70%

1Y 102%

ETH today’s option open interest reaches 351 million U.S. dollars, a new high. It has become a normal phenomenon that ETH open interest reaches a new high every day. The trading volume of ETH options is still above average, and the trading volume of buying and selling calls accounted for nearly 70% of the overall trading volume.

The IV of each standardized expiry date:

Today: 1m82%, 3m84%, 6m 82%

8/5: 1m 89%, 3m 87%, 6m 82%

ETH IV experienced a slight dive, mainly because the force of selling calls is strong. Also, ETH’s price increasing yesterday was less than expected.

Figure 8: BTC ATM Volatility Term Structure

Figure 9: ETH Option Flows (DBT, OKX) — Current Day

The distribution of ETH’s open interest is in a stepped increase, and it is difficult to change significantly in a short time. There is a block transaction of 7AUG-320P-S (3000 ETH). A number of extremely OTM put options were traded, each worth 0.0005 ETH. It seems that the nominal value is great, but in fact there is not much realistic value.

Jeff Liang

CEO of Greeks.Live

Aug 6, 2020