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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
Volatility has fallen across the term structure in both majors over the past week as they continue to trade near range highs of $68.9K and $3.9K. Following the news of an upgrade in the probability of an Ethereum ETF, implied vol spiked at the front-end, inverting the term structure. This inversion has since corrected itself, with implied vol at the front-end falling. BTC’s vol smile skew has fallen to more neutral levels as implied vol for OTM calls falls, indicating reduced short-term bullish sentiment. However, ETH is heavily skewed towards calls due to implied vol for OTM puts falling, as investors reposition themselves due to the recent ETF news. Demand for leveraged long exposure, which is stronger in ETH, fell at the start of the week, as indicated by spot yields, before rising again at the front-end.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Futures
BTC Annualised Yields
Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC spot reached range highs.
ETH Annualised Yields
Yields at short-dated tenors initially fell, following a muted reaction to the ETH ETF news, before rising again.
Perpetual Swap Funding Rates
BTC Funding Rate
Continued to trade positively over the past week as BTC spot price approached range highs, with more volatility compared to the rest of the month.
ETH Funding Rate
Has traded at similar levels to BTC, however, there does appear to be some dislocation between the USD, and more-illiquid USDC margined tokens.
BTC Options
BTC SVI ATM Implied Volatility
Vol at the front-end fell to monthly lows as BTC appeared to reject from range highs, before recovering.
BTC 25-Delta Risk Reversal
Skew has fallen at all tenors, particularly at short-dated tenors as implied volatility for OTM calls falls, indicating reduced short term bullish sentiment.
ETH Options
ETH SVI ATM Implied Volatility
The heavy inversion seen at the front-end following the news of an upgrade in the probability of an ETH ETF has since corrected itself, with implied vol falling to pre-news levels.
ETH 25-Delta Risk Reversal
Is heavily skewed towards calls due to implied volatility for OTM puts falling more than OTM calls.
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
ETH, 1-Month Tenor, SVI Calibration
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
ETH, 1-Month Tenor, 25-Delta SVI Calibration
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Cross-Exchange Volatility Smiles
Constant Maturity Volatility Smiles
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