Delphi Daily

Data Digest

  • Change in BTC options OI by strike price
  • Deribit futures flash crash amidst put buying
  • BTC OI declines with price, but volume increases
  • BTC options implied volatility rockets

Key Takeaways

  • A barrage of put buying ensued over the weekend as BTC closed the week down 20%.
  • Puts for the Dec. 2021 expiry have been the biggest hit amongst insurance buyers.

Key Takeaways

  • Deribit’s Dec. 2021 futures witnessed a flash crash earlier today. Futures on the exchange were in contango, but briefly traded at a discount to spot.
  • Given heavy put buying on the Dec. 2021 expiry, it’s likely that the futures crash was caused by market makers who sold puts hedged their positions by shorting the Dec. 2021 futures contract.

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