Crypto Derivatives 3 September 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.

Despite volatility levels having largely fluctuated for short-tenor ATM options, from the term structure we can once again observe that, as the US election approaches, volatility for options expiring after the election date is rising. We can additionally observe that skew for short-tenor options has been evolving positively in the past few days, with skew levels slightly rising similarly to what happened in mid-August, indicating a more neutral outlook despite the recent spot volatility. Concurrently, long-tenor options have consistently been pricing in higher volatility levels across the term structure, showing a stronger preference towards OTM calls.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Short-dated volatility is oscillating, while volatility levels remain constant for long-tenor options.

BTC 25-Delta Risk Reversal

Skew levels have dropped towards puts in the past week for short tenors, but show signs of recovery in the past days.

ETH Options

ETH SVI ATM Implied Volatility

shows the same increase in the term structure as BTC for short tenors.

ETH 25-Delta Risk Reversal

ETH’s short-tenor skews have fallen more significantly than BTC’s, and show slower signs of recovery.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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