Greeks.Live & Deribit Options Market Observation 0807 — The Delivery Day of the Week

Remarks:

Today is the delivery day of the week, the time when 21,000 BTC options and 110,000 ETH options are delivered. The delivery volume of this week is relatively large compared with other weeks, which is because there is a large scale up-and-down price change this week. Currently Bitcoin price is in a sideways trend near the new high price this year, and there is a lot of space for price to go up or down.

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

【BTC Options】

BTC historical volatility:

10d 86%

30d 53%

90d 56%

1Y 81%

The BTC open interest is US$1.5 billion, and options volume is US$178 million. At present, the price maintains high and the volume continues to shrink. The strength of short positions is weak, and the market is still in an upward channel.

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

Today: 1m 60%, 3m 68%, 6m 70%

8/6: 1m 61%, 3m 68%, 6m 70%

The implied volatility has not changed much before, but dropped significantly this afternoon. Generally speaking, the sellers are now more dominant and are gaining profits to make up the losses of the previous days.

Figure 1: BTC ATM Implied Volatility

Figure 2: BTC ATM Volatility Term Structure

Skew:

Today: 1m +9.4%, 3m +12.5%, 6m +15.3%

8/6: 1m +11.2%, 3m +13.6%, 6m +17.8%

The trading volume is small, the price has not changed much, and the basis and skew are relatively stable.

Figure 3: BTC 25d Skew

It can be seen from BTC Option Flows that the trading volume is not large, which is in line with the general characteristics of the delivery day. Thus, we expect trading volume on this weekend to be at an average level.

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

From the perspective of open interest changes, there are more short-term options trading, and more people are making a bet on the next week.

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

The BTC Options Open Interest is shown in the figure 6 & 7. Today, 21,000 BTC options are expired, and the open interest of options expiring on August 28th are 45,500 Bitcoins. The market inertia is very strong, and the positions that expired next week are increasing significantly.

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

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

【ETH Options】

The IV of each standardized expiry date:

10d 89%

30d 71%

90d 69%

1Y 102%

ETH options open interest today reached 347 million U.S. dollars, which falls slightly. This is because the sellers roll their positions and both buyers and sellers are unwilling to open new positions before delivery. The trading volume of ETH options has declined. The trading volume of buying and selling calls accounted for 65% of all. Recently, the trading volume of call options has been high.

Skew:

Today: 1m 81%, 3m 83%, 6m 81%

8/6: 1m82%, 3m84%, 6m 82%

ETH IV is the same as yesterday, and the price change on the delivery date is not significant, so the power of both buyers and sellers are relatively balanced. Today, 110,000 ETH option are expired.

Figure 8: ETH ATM Implied Volatility

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

ETH term structure has finally returned to its normal state, but due to inertia, IV of distant months is still relatively low. The habits of ETH option traders are indeed different from Bitcoin. Different markets, different trading skills.

Jeff Liang

CEO of Greeks.Live

Aug 7, 2020