Weekly recap of the crypto derivatives markets by BlockScholes.
BTC Derivatives Analytics
Annualised implied yields at all tenors have risen in response to the recent BTC spot rally
BTC Annualised Futures Implied Yields Table
All timestamps 10:00 UTC
BTC’s ATM implied volatility is now no longer inverted and is rising for short-dated expiries
BTC’s 25-delta put-call skew continues to trend downwards
SABR Smile Calibration
The IV of short-dated BTC calls has cooled as 6M OTM puts have outperformed the rest of the volatility surface
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC
BTC ATM Implied Volatility Table
All timestamps 10:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 26th August Expiry
BTC’s volatility smile remains skewed towards OTM puts and at similar overall levels to 7 days ago
BTC 1 Month SABR Implied Vol Smile.
ETH Derivatives Analytics
Unlike BTC’s, ETH’s annualised yields are significantly below zero, in spite of the spot rally over the past month
Annualised Futures Implied Yields Table
All timestamps 10:00 UTC
ETH’s short-term ATM implied vols are stable as the implied vol of longer-date options pushes higher
Whilst ETH’s 180d volatility smile has skewed back towards puts, the phenomenon has weakened over the past week
SABR Smile Calibration
ETH Implied Volatility Surface
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC
ETH ATM Implied Volatility Table
All timestamps 10:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 26th August Expiry
The smile’s wings are less steep and the vol of both OTM puts and calls has dropped from last week’s levels
ETH 1 Month SABR Implied Vol Smile.
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