Few weeks ago I published a post on pricing DVOL futures. Today is their first day of trading on Deribit, and we can draw some conclusions.
1 - The term structure is really flat
a single future was listed with month to expiration and spot @ 63.34 future @ 63.40 this is far flatter than what I would expected. The charts that I posted would have the 1-month future trading at least 3-5 points higher than the index.
2 - Market makers are point-wide in size.
In the oderbook you can see someone is 1 point wide, 1000 up, but small sizes are quoted quite tightly.
3 - Trading in small size is brisk. The launch looks like a success.
Congratulations, Deribit! We will be watching the contract very closely!
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