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Crypto Derivatives 5 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.

In the days leading up to the election we’ve observed a decline in both futures implied yields and perpetuals funding rates. With election-related uncertainty and recent spot price fluctuations, it’s clear that traders are now hesitant to pursue leveraged exposure in BTC and ETH as aggressively as they did last week, when the buildup of leverage was evident. This points to a reduced appetite for high-stakes directional bets, as BTC’s implied volatility remains elevated and continues to rise. Despite this, BTC’s volatility smiles keep signalling a bullish sentiment. In contrast, ETH’s implied volatility levels have slowed and moved sideways over recent days, with options’ skew reflecting a more bearish short-term sentiment. The spotlight therefore remains on BTC as the election cycle reaches its conclusion.

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 volatility remains inverted and shows growing levels across tenors, especially at the front end.

BTC 25-Delta Risk Reversal

Fig4 OKX BTC SVI PC skew

Skew levels are positive across all tenors, indicating a stronger bullish sentiment in the long term.

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, though levels are not rising as fast as BTC's.

ETH 25-Delta Risk Reversal

Fig7 OKX ETH SVI PC skew

ETH’s volatility smiles now indicate demand for downside exposure in the short term, while longer tenors remain more bullish.

Market Composite Volatility Surface

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

Listed Expiry Volatility Smiles

Fig10 BTC BTC-29NOV24 Listed Expiry
Fig11 ETH ETH-29NOV24 Listed Expiry

Constant Maturity Volatility Smiles

Fig12 BTC-SVI Constant Maturity
Fig13 ETH-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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