Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Spot levels retraced once more from the top of their recent range in a move that has seen BTC regain some of the market cap dominance it had leaked over the previous two weeks. BTC’s term structure of at-the-money implied volatility is not as inverted as ETH’s, whose implied volatility levels trade close to 15 vol points higher. Short-dated volatility smiles lost much of the skew towards OTM calls that they had been carrying during the selloff, but neither market reported a significant skew towards OTM puts, nor did we see a significant impact in longer-dated expiries. The relatively resilient sentiment was matched in futures and perpetual swaps markets, which still carry a healthy basis above spot and positive funding rates respectively despite a spate of liquidations that saw a reset in leverage levels earlier this week.
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 – Longer-dated futures are trading closer to spot while the front-end of the term structure has climbed higher.
ETH ANNUALISED YIELDS – The selloff in spot prices has not dis-inverted ETH’s yield term structure, but merely moderated their levels’ growth higher.
Perpetual Swap Funding Rate
BTC FUNDING RATE – The reset in leverage levels earlier this week has kept funding rates below their exuberant highs, but still at positive levels.
ETH FUNDING RATE – The large reset in BTC funding rates was not as drastic in ETH’s, whose market reports a consistently bullish tilt.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – BTC’s implied volatility is lower and far less inverted than ETH’s, trading between 50% and 55% at all tenors.
BTC 25-Delta Risk Reversal – Short tenors did not skew towards OTM puts during the selloff, and longer-dated expiries remain bullish.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – Short tenor implied volatility continues to trade higher than longer-dated expiries, resulting in a strong inversion.
ETH 25-Delta Risk Reversal – Short tenor skews briefly turned negative during the overnight selloff but quickly recovered.
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 – 9:00 UTC Snapshot.
CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.
Listed Expiry Volatility Smiles
BTC 27-DEC EXPIRY – 9:00 UTC Snapshot.
ETH 27-DEC EXPIRY – 9:00 UTC Snapshot.
Cross-Exchange Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
Constant Maturity Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
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