Friday's expiry represents 44% of the total expiry-wide open interest on Deribit, the largest ever in the exchange's history.Vol-of-vol indicates directional uncertainty ahead of the expiry, while the outlook is more bearish for ETH.
On Friday at 8:00 UTC, 146,000 bitcoin options contracts, valued at nearly $14 billion and sized at one BTC each, will expire on the crypto exchange. The notional amount represents 44% of the total open interest for all BTC options across different maturities, marking the largest expiry event ever on Deribit.
It should also be noted that the put-call open interest ratio for Friday's expiry is 0.69, meaning seven put options are open for every 10 calls outstanding. A relatively higher open interest in calls, which provides an asymmetric upside to the buyer, indicates that leverage is skewed to the upside. "The previously dominant bullish momentum has stalled, leaving the market highly leveraged to the upside. This positioning increases the risk of a rapid snowball effect if a significant downside move occurs," Deribit's Chief Executive Officer Luuk Strijers told CoinDesk.
The volatility of volatility is a measure of fluctuations in the volatility of an asset. In other words, it measures how much the volatility or the degree of price turbulence in the asset itself fluctuates. If an asset's volatility changes significantly over time, it has a high vol-of-vol. A volatility smile is a graphical representation of the implied volatility of options with the same expiration date but different strike prices. The drop in implied volatility for ETH calls means decreased demand for bullish bets, indicating a subdued outlook for Ethereum's native token.
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