Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
BTC spot has stabilised within the $86K to $89K range this week after several weeks of downward moves correlated to US equities. The arrested downward momentum is evident in derivatives markets which remain reactive to spot action, rather than looking ahead to upcoming drivers. Futures yields have halted their downward trend, funding rates are not quite as negative as they have been, and short-dated volatility smiles are skewed less strongly towards OTM puts. However, ETH retains its volatility premium over BTC, having barely managed to hold onto the psychological level of $2K over the same period.
Futures Implied Yields
1-Month Tenor ATM Implied Volatility
Perpetual Swap Funding Rate
BTC FUNDING RATE – The recovery above $88K has seen funding rates briefly turn positive.
ETH FUNDING RATE – While vol smile skews and futures implied yields have shown signs of recovery, funding rates have remained negative.
Futures Implied Yields
BTC Futures Implied Yields – A modest recovery in spot has seen a compression and inversion in near-dated futures yields over the last week.
ETH Futures Implied Yields – Despite holding above the $2K mark since Monday, futures levels.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – Implied volatility levels have fallen back towards their lowest levels since late February.
BTC 25-Delta Risk Reversal – BTC’s skew briefly traded positive, in favour of OTM calls, before reversing direction after spot slips back below $85K.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – Volatility levels continue to leak lower across the term structure.
ETH 25-Delta Risk Reversal – Short-tenor volatility smile skews have still not fully recovered from their skew towards OTM puts.
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 25-APR EXPIRY – 9:00 UTC Snapshot.
ETH 25-APR 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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