Crypto Derivatives: Analytics Report – Week 40

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Despite a general slow down in spot price action for both majors, their derivatives markets have shown confirmation of what we first noticed last week: clear indications of a return to short-term positive sentiment and bullish trading activity. The recent skew towards OTM calls has consolidated, and we now observe a call-skew for smiles across all tenors. Perpetual swap funding rates have been strongly oscillating, but have registered high positive values throughout the week. At the same time, the front end of the term structure for ATM options’ volatility has increased substantially near to the 30-day tenor, as the US election moves closer along the term structure: this is further evidence that the date is influencing market positioning.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter

Futures

BTC ANNUALISED YIELDS – Short tenor futures yields have dropped and rebounded over the past week.

ETH ANNUALISED YIELDS – ETH’s futures yields have grown significantly for short tenors in the past hours.

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s perpetual funding rate has registered consistent positive high levels.

ETH FUNDING RATE – ETH’s perpetual swap funding rate has showed positive value overall and peaked in the last few hours.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Implied volatility has showed a strong increase for 30-day tenor options.

BTC 25-Delta Risk Reversal – Smiles have skewed strongly towards OTM calls at short tenors over the past fortnight.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Implied volatility has showed an increase in levels for short-tenor options.

ETH 25-Delta Risk Reversal – ETH’s skews are also now positive across all tenors.

Volatility by Exchange

BTC, 1-MONTH TENOR, SVI CALIBRATION

ETH, 1-MONTH TENOR, SVI CALIBRATION

Put-Call Skew by Exchange

BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 8:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 8:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 25-OCT EXPIRY – 8:00 UTC Snapshot.

ETH 25-OCT EXPIRY – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.