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Crypto Derivatives 20 November 2024

Block Scholes -Bl

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

Derivatives markets continue to reflect the bullish momentum of recent weeks. Spot yields are approaching the positive highs observed last week, signalling robust demand as traders are willing to pay a premium for leveraged long exposure via the futures contracts. Skew levels and perpetual contracts funding rates remain firmly positive, reinforcing the optimistic sentiment and indicating that market participants are seeking exposure to upwards price action. Meanwhile, implied volatility remains within a range-bound pattern, while the term structure remains inverted. Current levels of inversion have yet to surpass the heightened activity seen during the pre-election period, but remain closely linked to spot movements.

ATM Implied Volatility, 1-Month Tenor

Fig1 OKX Currency-Combined-1M-ATM-VOL-ETH

BTC Options

Fig2 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

Fig3 OKX BTC SVI ATM volatility

The term structure of implied volatility remains inverted and shows range-bound movements across tenors.

BTC 25-Delta Risk Reversal

Fig4 OKX BTC SVI PC skew

Skew levels are positive across all tenors, indicating a strong bullish sentiment.

ETH Options

Fig5 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

Fig6 OKX ETH SVI ATM volatility

ETH's implied volatility term structure remains heavily inverted and mirrors BTC’s rangebound activity.

ETH 25-Delta Risk Reversal

Fig7 OKX ETH SVI PC skew

ETH’s volatility smiles indicate demand for upside exposure across all tenors, but not as strongly as for BTC.

Market Composite Volatility Surface

Fig8 okx snap BTC SMILES.moneyness
Fig9 okx snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

Fig10 BTC BTC-Listed Expiry
Fig11 ETH ETH-Listed Expiry

Constant Maturity Volatility Smiles

Fig12 BTC-SVI Constant Maturity
Fig13 ETH-SVI Constant Maturity

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