Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Implied volatility has trended decisively downward since the resolution of the ETF announcement event risk last week. With it, we see the resolution of the vol term structure that pushed 1-week tenor options to their highest levels since November 2022. ETH futures prices remain strongly elevated above ETH spot price as the expected follow-on ETF approval for ETH has traders showing a willingness to pay for leveraged long exposure. This is in contrast to the yields implied by BTC futures prices, which remain resolute at 10% across the term structure.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
*All data in tables recorded at a 10:00 UTC snapshot unless otherwise stated.
Futures
BTC ANNUALISED YIELDS – BTC futures prices remain 10% above spot at an annualised rate across the term structure.
ETH ANNUALISED YIELDS – report a much wider spread of short-tenor ETH futures prices above spot prices at an annualised rate.
Perpetual Swap Funding Rate
BTC FUNDING RATE – trend upward once more following several days of lower levels than before the announcement of a spot BTC ETF.
ETH FUNDING RATE – climbs higher alongside the yield implied by ETH futures prices, indicating a willingness to pay for leveraged long exposure.
BTC Options
BTC SABR ATM IMPLIED VOLATILITY – drifts lower across the term structure having resolved the inversion that we saw last week.
BTC 25-Delta Risk Reversal – has traded negative for much of the last week following the ETF announcement, but has moved towards 0 recently.
ETH Options
ETH SABR ATM IMPLIED VOLATILITY – follows a similarly downward trajectory post-ETF despite the dominant ETH rotation narrative.
ETH 25-Delta Risk Reversal – has curbed the downward trend that saw the IV of OTM puts dominate for much of the past week.
Volatility Surface
BTC IMPLIED VOL SURFACE – reports a surface-wide cooling, with the 1W tenor closer to its 30-day historical average than other tenors.
ETH IMPLIED VOL SURFACE – sees a similar surface wide cooling that is less extreme at longer-dated tenors than on BTC’s 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, SABR smile calibration.
Volatility Smiles
BTC SMILE CALIBRATIONS – 23-Feb-2024 Expiry, 11:00 UTC Snapshot.
ETH SMILE CALIBRATIONS – 23-Feb-2024 Expiry, 11:00 UTC Snapshot.
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
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