In 2017, the BTC bull run was brought by retail investors. In 2020, institutional demand has been the catalyst. And it has brought not only a new all time high for BTC, but for Deribit as well. In November, our total turnover reached USD 37.8 billion – a 108% increase versus our previous high in June 2019.

Increased volatility has also fueled the demand for options. In November, multiple new records were achieved. A new monthly notional turnover record – USD 14.3 billion, a new average daily BTC options turnover record – 25k BTC contracts, and the largest options OI – USD 4.8 billion, a 100% increase versus October.

It took BTC nearly 3 years, but finally, a new ATH was reached! December started with

BTC reaching USD 19,850, followed by a slight retrace. However, the market remains bullish, predicting a 38% probability of BTC exceeding USD 20,000.00 by the end of the month.

In November both BTC and ETH experienced a significant price rally. BTC is demonstrating a 40% monthly increase, and ETH a 56% increase. Due to continuing adoption by institutions, it is expected that this rally might be more sustainable than the one in 2017.

November Statistics

In November the average daily volume traded reached USD 1.3 billion. And total turnover was USD 37.8 billion, up 123% versus October 2020.

Significant growth was also experienced in options markets, with 750,123 BTC options contracts traded in November 2020, up 77% versus October 2020. And 3,270,065 ETH options contracts traded in November 2020, up 95% versus October 2020.

Total options turnover was USD 14.3 billion in November 2020, up 145% versus October 2020.

Options Data

Options growth has been significant not only in volume terms but also in open interest terms. On November 25, right before the monthly expiry, Deribit reached a new total options OI record of USD 4.8 billion, of which USD 4.0 billion was in BTC and 0.8 billion in ETH. This is a staggering 135% MoM growth for BTC and 88% for ETH.

The high volatility has also made traders more risk-averse. The current put-call ratio for BTC contracts expiring until the end of Q4 is 1.04, while for contracts expiring in 2021 it is only 0.3. This significant difference shows that traders are hedging the possibility of a potential sell-off, as expected after a new ATH. A similar pattern can also be observed in ETH market, with the current put-call ratio for contracts expiring until the end of Q4 at 1.2 and 0.6 for the contracts expiring in 2021.

For both cryptocurrencies, December currently is the largest expiry, with 31% of the total BTC OI and 44% of ETH OI.

Data By Skew

Expected Volatility

In November, volatility nearly doubled, reaching 84% for BTC versus 49% a month ago. As ETH remains to be more volatile than BTC, the jump in ETH volatility has been even more pronounced, reaching 118% versus 53% at the end of October.

However, volatility itself has also been changing rapidly, with the volatility term structure inverting from upward to downward sloping in just a few days.

Data By Skew

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