Weekly recap of the crypto derivatives markets by BlockScholes.
BTC
BTC’s Implied yields are near zero for most tenors in light of of the spot price’s return to $20K
BTC Annualised Futures Implied Yields Table
All timestamps 10:00 UTC
BTC’s ATM implied volatility is still between 60% and 75%, with a normal term structure
BTC’s 25-delta put-call skew inflects upwards as downside protection becomes more attractive
SABR Smile Calibration
The IV of short-dated BTC underperforms the rest of the surface as demand for short-dated puts rises
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, 30th September Expiry
The skew of BTC’s 30d smile decreased over the last 7 days due to an increased demand for OTM calls
BTC 1 Month SABR Implied Vol Smile.
ETH
ETH’s annualised yields plunge even further negative as the Merge dominates the narrative
ETH Annualised Futures Implied Yields Table
All timestamps 10:00 UTC
ETH’s 1M tenor options (now 30SEP22 expiry) see the highest ATM vols as traders look to take advantage of the Merge mid-September
ETH’s 180d volatility smile remains skewed towards puts
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, 30th September Expiry
ETH’s vol smile remains static, with a small rise in the vols of OTM calls
ETH 1 Month SABR Implied Vol Smile.
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