Greeks.Live & Deribit Options Market Observation 0808 — An up-and-down Price Change

Remarks:

There is an up-and-down price change today. The price dropped at 22:00 yesterday, which swallowed the price rise of nearly two days. And today, BTC has risen back to 11,700 US dollars, and ETH has risen back to 392 US dollars.

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

【BTC Options】

BTC historical volatility:

10d 59%

30d 53%

90d 56%

1Y 81%

The BTC open interest is 1.4 billion U.S. dollars and option volume is 137 million U.S. dollars. From the hourly level, there are up-and-down price changes continuously. From the daily level, it is currently stagflation and sideways.

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

Today: 1m 59%, 3m 68%, 6m 70%

8/7: 1m 61%, 3m 68%, 6m 70%

The implied volatility has not changed much, and the short-term and long-term IVs are gradually expanding, but the magnitude cannot be called a trading opportunity.

Figure 1: BTC ATM Implied Volatility

Figure 2: BTC ATM Volatility Term Structure

Skew:

Today: 1m +7.2%, 3m +10.6%, 6m +13.8%

8/7: 1m +9.4%, 3m +12.5%, 6m +15.3%

Basis and skew are returning, and every time the price is up-and-down, it returns a few percentage points. This is constantly consuming the price spread.

Figure 3: BTC 25d Skew

It can be seen from BTC Option Flows that the trading volume is not large, mainly selling.

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

From the perspective of open interest change, a lot of OTM options were expired yesterday. The buyers continue to buy OTM options at the end of this week.

Figure 5: Top BTC Options OI Change (฿, Prev. Day)

The BTC Options Open Interest is shown in the figure 6 & 7. There are 12,700 BTC options this week. The open interest of options expiring on August 28th are 48,600 Bitcoins, and the following month is 38,900.

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

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

【ETH Options】

ETH historical volatility:

10d 90%

30d 73%

90d 69%

1Y 102%

ETH today’s option open interest reached 317 million U.S. dollars, which fell at the delivery day. Today’s up-and-down price change drove an increase in trading volume.

The IV of each standardized expiry date:

Today: 1m 79%, 3m 81%, 6m 80%

8/7: 1m 81%, 3m 83%, 6m 81%

ETH IV continued to fall, returning to the level before the plunge at the beginning of the month. It is worth noting that the skew of ETH, especially the long-term skew, has been maintained at a very high level, while the basis is falling.

Figure 8: ETH ATM Implied Volatility

Figure 9: ETH Options Open Interest by Expiry (k฿)

The proportion of ETH short-term positions is relatively low, and the medium and long-term positions account for the main part, which is unimaginable in the Bitcoin market. Different markets, different trading skills.

Jeff Liang

CEO of Greeks.Live

August 8, 2020