Deribit Option Market Announcement 0712-Dealing Freezing Point

The volatility has dropped to its lowest level since March, and the IV is also approaching March.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

The broadcast data is provided by Greeks.live Gezhi Data Lab and Deribit official website.

【Daily Comment】

The volatility has dropped to its lowest level since March, and the IV is also approaching March. However, it is obviously different from the time when the bull market was on the way up, but now it has experienced multiple rounds of decline, and the transaction has dropped significantly, only one-third of the previous few days.

【BTC Option】

The trading volume of options was 110 million US dollars, which was a significant drop from the previous average of 300 million US dollars.

【Historical Volatility】 

10d 53%

30d 85%

90d 96%

1Y 76%

【IV】

Implied volatility of each standardized period:

Today: 1m 80%, 3m 86%, 6m 89%, DVol 91%

7/11 : 1m 79%, 3m 85%, 6m 88% , DVol 90%

Bitcoin continues to oscillate around $33,000, and trading volume continues to shrink. Bitcoin’s RV has dropped significantly, and it may not be long before it continues to trade sideways in the near future. The IV of the entire market continues to decline, and the monthly period has fallen below 80%.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction
World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

【Option Flows&Bulky Transaction】

According to Option Flows data, under the circumstance of a decline in overall trading volume, the total transaction volume of option buyers is only 1,100, and the block trade is only 500. The overall transaction volume of the sellers has also declined, and the sellers who are difficult to deal actively push down the IV, causing the IV to collapse.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

【Distribution of Option Positions】

The July term options holdings are about 31,000 yuan, of which call options holdings are 17,000 yuan.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction
World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

【ETH Option】

The trading volume of Ethereum options was US$57 million, which was the same as yesterday, which was one-third of the 178 million the day before yesterday, and the open interest was US$2.3 billion.

【Historical Volatility】

10d 94%

30d 108%

90d 139%

1Y 109%

【IV】 

Each standardization period IV:

Today: 1m 94%, 3m 101%, 6m 104%

7/11 : 1m 95% , 3m 103% , 6m 105%

Ethereum options trading is still sluggish today, only one-third of Saturday’s. The IV of each period continues to fall, which has been cut in half compared to the highest level during the sharp plunge in May. But the example is in front of you, the last wave of IV drop lasted longer.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction
World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

【Option Flows&Bulky Transaction】

From Option Flows, the volume of Call Sell is similar to yesterday, with 8,200 contracts accounting for 31%, and the main transactions are out-of-value call options of the month. The trading volume in the past two days has plummeted, and the turnover in the Put direction is scarce. Under the current IV situation, both parties do not want to trade Put.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

【Distribution of Option Positions】

July options are about 230,000 yuan, of which 145,000 yuan is call options. The position held in the month exceeded the quarter and was still lower than the end of the year.

World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction
World of Coins-Deribit Option Market Broadcast 0712-Freezing Point of Transaction

Posted by:CoinYuppie,Reprinted with attribution to:https://coinyuppie.com/deribit-option-market-announcement-0712-dealing-freezing-point/
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