Crypto Derivatives 15 October 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.

We’ve seen evidence of increasingly positive sentiment in the derivatives markets over the last week. The futures implied yields term structure has inverted, with a dramatic rise at the front end that signals increased demand for near-term long exposure. The perp swap funding rate has remained positive for both BTC and ETH, reflecting bullish sentiment as traders are willing to pay to hold long positions. Additionally, volatility smile skews have grown towards calls, reflecting the increasing appetite for upside exposure that we see in futures. At the same time, while pre-election implied volatility has remained subdued, reflecting relatively stable spot price movements, this positive market sentiment suggests expectations for a continued rise in spot prices that we have not seen in some time.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Volatility has slightly risen at the front end of the term structure, which remains flat post-election.

BTC 25-Delta Risk Reversal

Smiles have skewed strongly towards calls in the past week across all tenors.

ETH Options

ETH SVI ATM Implied Volatility

Implied volatility levels have moved sideways as a whole, despite fluctuations in volatility for short-tenor options.

ETH 25-Delta Risk Reversal

ETH’s skews have sharply risen and smiles are exhibiting call-skew across tenors.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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