Cryptocurrency derivatives exchange Deribit said on the 4th that despite the imminent Ethereum merger (The Merge), Ethereum option positions have not increased significantly, and the market is increasingly pessimistic about the follow-up trend of Bitcoin. In the last few days, 1,500 Bitcoin put options with December strike prices ranging from $10,000 to $15,000 have been added. (Recap:Short comment | Analyst: Ethereum merger risk is bigger than thought! 70% correlation between ETH and Nasdaq within 30 days) (background supplement:Ethereum merger is imminent” 10 key points you can’t help but know! Can it reduce the deflation of Gas and ETH?)
Cryptocurrency derivatives exchange Deribit tweeted on the 4th that the U.S. non-farm payrolls data (NFP) released last week did not bring surprises, optimism in the global risk asset market continued to be suppressed, and the merger-related Ethereum option Positions remain open, but there is little evidence of a substantial increase in positions.
In terms of market trends, Deribit pointed out that the difference between the implied volatility of Bitcoin’s out-of-the-money put options minus the implied volatility of at-the-money put options (Put Skew) is constantly expanding, which means that the option market has a strong interest in the follow-up trend. increasingly pessimistic.
“1,500 bitcoin options with a strike price of $18,000 will expire on September 9, and more than 2,000 bitcoin options with a strike price of $10,000 to $15,000 will expire in December.”
It said that the September call butterfly spread strategy of Ethereum, which was bought a few months ago, undoubtedly hoped for a rally before the merger of Ethereum, and immediately showed a positive reaction. Ethereum needs to rise by 2 in less than 4 weeks. In order to bring about the success of the in-the-money option (ITM), the call butterfly spread strategy in December this year and March next year gives the market time to see the success of this strategy and the realization of the narrative.
However, Deribit pointed out that there has been some hesitation in the recent euphoria surrounding the ethereum merger, with ethereum’s December strike price of $800 put option buying and short-term call option selling rising, with October broadly seen A buyer of Strangle’s option trading strategy, betting by buying out-of-the-money (OTM) put options + call options, etc., and the Ethereum volume depth (DVOL) is 35% higher than the Bitcoin volume depth , maintaining a premium status in the short term.
In a few days, the sudden influx of BTC, ETH put options?
Deribit also said that in terms of implied volatility (IV), Bitcoin is trading at a discount compared to Ethereum, and on September 9, when the US stock market closed, there will be 1,800 put options with a strike price of $18,000. , and in the last few days, 1,500 bitcoin put options with a December strike price of $10,000 to $15,000 have been added.
Deribit finally mentioned that when the Bitcoin spot fell to $19,500 to $19,700, there were buyers who bought the December strike price of $17,000 – $28,000 and $17,000 – $30,000 call options The spread to offset the change in option delta value.
Deribit also noted:
Note that the call option with a strike price of $17,000 is an in-the-money option (ITM) and is therefore technically a synthetic put option. And Put Skew is widening due to buyers of the September put, December put, and December call spreads.
Separately, Deribit shared options expiry data on the Ethereum merger day on September 16 and asked:
The September 16th option expiry date (combination date) looks interesting. The biggest pain point price is $1,600, the strike price of the super put option is $ 1,100, and the strike price of the super call option is $ 2,100. Which way will it go?
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