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Crypto Derivatives 24 September 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.

Following the cut in the Fed funds interest rate on September 18, 2024 we have seen an increase in spot prices for both major coins and an overall positive sentiment in the derivatives markets. The futures implied yields term structure was largely inverted over the last week, with yields showing high levels for the short term. However, the curve has now disinverted, having returned to similar levels as of last week. Perp swaps funding rates have fully recovered for both tokens, after a long period of stagnant negative rates. While ATM implied volatility levels have been on a slight decline for both BTC and ETH options, skews have been on the rise across all tenors, indicating a general increase in preference towards calls, adding to the evidence of a growing bullish sentiment in derivatives markets after the interest rate cut.

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

Implied volatility has overall been on the decline across the term structure.

BTC 25-Delta Risk Reversal

Fig4 OKX BTC SVI PC skew

BTC skew has been rising for short-dated options

ETH Options

Fig5ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

Fig6 OKX ETH SVI ATM volatility

Implied volatility has oscillated similarly to BTC’s and has fallen for short-tenor options.

ETH 25-Delta Risk Reversal

Fig7 OKX ETH SVI PC skew

ETH’s skews have increased significantly after the interest rate cut

Market Composite Volatility Surface

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

Listed Expiry Volatility Smiles

Fig10 BTC BTC-25OCT24 Listed Expiry
Fig11 ETH ETH-25OCT24 Listed Expiry

Constant Maturity Volatility Smiles

Fig12 BTC-SVI Constant Maturity
Fig 13ETH-SVI Constant Maturity

The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.

This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.

The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.

Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.

Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.

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