Deribit Options Market Podcast 0701 – Shallow Void

In theory, generally IV is the lowest for same-term parity options, but currently both Bitcoin and Ether have the lowest IV with shallow vanilla, which is a very common phenomenon in the digital currency market.

Podcast data provided by Greeks.live Gecko Data Lab and Deribit’s official website.

[Brief Daily Commentary

In theory, generally the same term parity option IV is the lowest, but currently both Bitcoin and Ether have the lowest shallow vanilla IV, which is a very common phenomenon in the digital currency market.

[BTC Options].

Options volume was $316 million and options position was $4.4 billion.

[Historical Volatility].

10d 110%

30d 100%

90d 96%

1Y 76%

[IV

Implied volatility by normalized maturity.

Today: 1m 92%, 3m 94%, 6m 93%, DVol 104%

6/30: 1m 87%, 3m 91%, 6m 93%, DVol 100%

Generally IV is the lowest for same maturity parity options, currently the current month contract is the lowest at 45,000 and quoted at 87%, while the quarterly contract is the lowest at 44,000 and quoted at 92%. Of course IVs for flat and shallow vanilla options are currently closer overall, but this structure indicates stronger Call Sell strength.

Deribit Options Market Podcast 0701 - Shallow Void
Deribit Options Market Podcast 0701 - Shallow Void

Option Flows & Block Trade]

From Option Flows data, Call Sell direction options are traded more, other directions are close, the recent overall view is similar structure, which matches with the Skew structure mentioned earlier. The block trade has cooled down, with a call block of 1300 coins, accounting for 14%, and a put block of only 500 coins, accounting for 5%.

Deribit Options Market Podcast 0701 - Shallow Void

[Options Position Distribution].

July term option positions are about 27,000 coins, including call option positions of 15,600 coins.

Deribit Options Market Podcast 0701 - Shallow Void
Deribit Options Market Podcast 0701 - Shallow Void

[ETH Options].

Ether options volume of $127 million and position of $2.4 billion.

[Historical Volatility

10d 142%

30d 113%

90d 139%

1Y 109%

[IV].

Each standardized term IV.

Today: 1m 103%, 3m 106%, 6m 108%

6/30: 1m 97%, 3m 104%, 6m 108%

Ether has the lowest option IV at 2800 strike price for the month at 99%, while the quarter has the lowest IV at 2560 strike price at 106%. Bitcoin was closer, with the lowest IV at shallow vanilla, while IV picked up across the maturities.

Deribit Options Market Podcast 0701 - Shallow Void
Deribit Options Market Podcast 0701 - Shallow Void

[Option Flows & Block Trade

From the Option Flows data, today’s Call Sell transaction in Ether is more, and the transaction in other directions is close, which is directly related to the current sideways market. Yesterday’s bulk transaction was over 30,000 coins, and today’s transaction of only 7,000 coins is a stark contrast.

Deribit Options Market Podcast 0701 - Shallow Void

[Options Position Distribution].

The current month’s options are about 209,000 coins, of which 134,000 coins are call options.

Deribit Options Market Podcast 0701 - Shallow Void
Deribit Options Market Podcast 0701 - Shallow Void

Posted by:CoinYuppie,Reprinted with attribution to:https://coinyuppie.com/deribit-options-market-podcast-0701-shallow-void/
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