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Crypto Derivatives 9 July 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.

The latest venture of spot prices down to the bottom of their range has seen volatility levels at short tenors spike while traders rush to protect against further downside price action. While funding rates has remained steadily positive and short tenor future-implied yields have recovered some of their lost ground, volatility smiles remain skewed towards OTM puts and short tenor volatility has not fallen back from the levels of longer dated tenors. ETH retains its 10 vol point premium over BTC volatility at equivalent tenors and its term structure trades much flatter, continuing a trend that we have seen several times over the past month of range-bound price action.

Futures Implied Yield, 1-Month Tenor

fig1 Currency-Combined-Spot-Yields

ATM Implied Volatility, 1-Month Tenor

fig2 Currency-Combined-1M-ATM-VOL-ETH

Crypto Senti-Meter Index

BTC Sentiment

fig3 btc senti 20240709 close

ETH Sentiment

fig4 eth senti 20240709 close

Futures

fig5 Futures term structure

BTC Annualised Yields

Short tenor yields rally but do not recover the levels that they traded at before the selloff in spot

fig6 BTC-Spot-Yields

ETH Annualised Yields

Trade at similar levels to BTC across the board having spiked further negative in the selloff

fig7 ETH-Spot-Yields

Perpetual Swap Funding Rates

BTC Funding Rate

We see some sporadic greenshoots of excess long demand in BTC but nothing like levels seen as recently as late June

fig8 BTC USDC Perpetual

ETH Funding Rate

Does not show the same sparks of bullish demand as BTC despite spot following the rally higher

fig9 ETH USDC Perpetual

BTC Options

fig10 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

Short tenor volatility levels have rallied more than 10 points, compressing the term structure

fig11 Composite BTC SVI ATM volatility

BTC 25-Delta Risk Reversal

The rally in vol was matched by a strong tilt towards OTM puts, which has persisted in the days since the selloff

fig12 Single Tenor Composite BTC SVI PC skew

ETH Options

fig13 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

ETH’s term structure has flattened even further than BTC’s and retains its premium of 10 vol points

fig14 Composite ETH SVI ATM volatility

ETH 25-Delta Risk Reversal

Spiked harder and faster than BTC, but matches its neutral-to-bearish positioning across the term structure

fig15 Single Tenor Composite SVI PC skew

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

fig16 Exchange comparison BTC ATM Vol

ETH, 1-Month Tenor, SVI Calibration

fig17 Exchange comparison ETH ATM Vol

Put-Call Skew by Exchange

BTC, 1-Month Tenor, 25-Delta SVI Calibration

fig18 Exchange Comparison Put-Call Skew BTC

ETH, 1-Month Tenor, 25-Delta SVI Calibration

fig19 Exchange Comparison Put-Call Skew ETH

Market Composite Volatility Surface

fig20 v2composite snap BTC SMILES.moneyness
fig21 v2composite snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

fig22 BTC BTC-26JUL24 Listed Expiry
fig23 ETH ETH-26JUL24 Listed Expiry

Cross-Exchange Volatility Smiles

fig24 Exchange comparison BTC SMILES.moneyness
fig25 Exchange comparison ETH SMILES.moneyness

Constant Maturity Volatility Smiles

fig26 BTC-SVI Constant Maturity
fig27 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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