Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
One week after the election, spot prices have shown remarkable strength, with BTC reaching new all- time highs following an explosive rise. ETH, while not yet at record levels, has also gained upward momentum, displaying a steady increase since the election date. In the derivatives market, sentiment has strengthened for both tokens: futures implied yields, perpetuals funding rates, and skew all indicate a highly positive outlook. ATM implied volatility, which initially dropped after the election event risk passed, has since surged, inverting the term structure. Both BTC and ETH now benefit from a powerful combination of spot price gains and robust bullish derivatives activity, signalling strong demand to participate in further upside potential.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter
BTC Derivatives Sentiment
ETH Derivatives Sentiment
Futures
BTC ANNUALISED YIELDS – BTC’s yield term structure levels have risen strongly across all tenors but more so at the front end of the structure.
ETH ANNUALISED YIELDS – ETH’s yield curve remains inverted, showing rising levels for all tenors.
Perpetual Swap Funding Rate
BTC FUNDING RATE – BTC’s perpetual funding rates return strongly positive after the election, showing increased demand for participation in the rally.
ETH FUNDING RATE – ETH’s funding rate is similar to BTC’s recent movements, returning to positive after a period of neutral levels.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – The term structure of volatility has re- inverted and shows growing levels across tenors, especially at the front end.
BTC 25-Delta Risk Reversal – Skew levels are positive across all tenors, indicating an overall strong bullish sentiment.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – ETH’s implied volatility term structure remains heavily inverted, mirroring BTC’s sharply increasing levels.
ETH 25-Delta Risk Reversal – ETH’s volatility smiles now indicate a strong demand for upside exposure across the term structure.
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 29-NOV EXPIRY – 8:00 UTC Snapshot.
ETH 29-NOV 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.
AUTHOR(S)