Crypto Derivatives 3 December 2024

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.

Over the past week the derivatives market has shown a slight preference for ETH. The ATM implied volatility term structure for ETH inverted twice, reflecting demand for short-tenor optionality while BTC’s term structure has remained relatively steep. Implied volatility skew for both currencies indicates a preference for OTM calls across all tenors, signalling bullish sentiment. However, BTC’s skew sharp drops, whereas ETH’s skew has been more resilient, supporting a steadier positive outlook. Perpetual funding rates are similar for both assets, but ETH demonstrates a slight edge with higher levels favouring leveraged long exposure. Futures yields also align closely, except for short tenors where ETH shows higher levels.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Short-term implied volatility have risen recently, resulting in a ever-so-slightly steep term structure.

BTC 25-Delta Risk Reversal

Skew has dropped again at the front-end while remaining high at the far-end, indicating contrasting sentiment across tenors.

ETH Options

ETH SVI ATM Implied Volatility

ETH's short tenor implied volatility levels have lost their momentum as the term structure becomes less inverted.

ETH 25-Delta Risk Reversal

Skew levels remain above BTC’s, showing a more bullish stance across tenors.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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