Greeks.Live & Deribit Options Market Observation 0615 — Skew Reversal

The skew has reversed in recent months, with Puts getting more expensive quickly and Put Skew growing faster than the extent BTC fall.

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

【Performance of the underlying assets】

BTC historical volatility:

7d 50.48%

14d 51.60%

30d 59.91%

60d 69.50%

1Y 89.80%

ETH historical volatility:

7d 62.01%

14d 53.72%

30d 72.46%

60d 77.50%

1Y 105.16%

The BTC/ETH volatility is still low. No major fluctuations occurred.

【BTC Options】

The open interest is USD 1 billion, remaining at a high level.

The trading volume has contracted.

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

Today: 1M 66%, 3M 70%, 6M 75%

12 June: 1M 66%, 3M 70%, 6M 74%

On Saturday the IVs hit their low points (61/67/73). The slight price drop over the past two days has broken the crypto price stagnation, leading to increased IVs.

Figure 1: BTC ATM Implied Volatility

Skew:

Today: 1M -8.4%, 3M +0.9%, 6M +7.2%

12 June: 1M -4.9%, 3M +2.6%, 6M +5.4%

The distribution has been more left-skewed in front months, which coexists with the right-skewed distribution in back months, forming quite an interesting phenomenon.

Figure 2: BTC 25d Skew

Volume for today, the Calls sold have been dominant, taking up 30%.,

Figure 3: BTC Options Flows (DBT, OKX) — Current Day

Put/Call Ratio has fallen back again, remaining at 0.42 now.

Yet the volume of newly traded Puts has started to increase, becoming 1.79 times of that of Calls.

In terms of the trading details, the open interest of slightly out of money (OTM) Puts has been increasing relatively faster.

Figure 4: BTC Put/Call Ratios

BTC options open interest by strike is shown in Figure 5 below, with the open interest of OTM Calls increasing significantly. The open interest of deep OTM Calls seems to have significantly increased too.

Figure 5: BTC Options Open Interest by Strike (k3)

BTC options open interest by expiry is indicated in Figure 6 below, with the majority of expiry dates concentrated in June. It is worth looking forward to how the positions will be rolled after delivery.

Figure 6: BTC Options Open Interest by Expiry (k3)

【ETH options】

The open interest is USD 144 million, remaining at a relatively high level.

The trading volume has been stable.

The IV of each standardized expiry date:

Today: 1M 68%, 3M 74%, 6M 79%

12 June: 1M 72%, 3M 75%, 6M 79%

On Saturday the IVs hit their low points (66/73/78) and have seen a slight boost following the crypto price drop over the past two days.

Skew

Today: 1M -0.7%, 3M +7.9%, 6M +8.9%

12 June: 1M +3.1%, 3M +8.1%, 6M +7.5%

The right-skewed distribution in front months has converged rapidly, whereas the right-skewed distribution in back months persists.

Active close:

Call Sells 35%

Put Buys 35%

The Put/Call Ratio of the open interest has reached 0.89, a high level over the past six months.

ETH options open interest by strike is shown in Figure 7 below, with at-the-money (ATM) options, slightly OTM Calls and Puts taking up relatively larger percentages.

Figure 7: ETH Options Open Interest by Strike (k3)

Most of the open interest by expiry is significantly concentrated in June, accounting for over 50% of the total.

Figure 8: ETH Options Open Interest by Expiry (k3)

Jeff Liang

CEO of Greeks.live

June 15, 2020