Weekly recap of the crypto derivatives markets by BlockScholes.
BTC futures term structure flattens and is negative at a 30-day tenor
Annualised futures implied yields dropped significantly below spot at short term tenors
Annualised Futures Implied Yields Table
Bitcoin Volatility Metrics
Spike in ATM implied vols at the beginning of the week has subsided to an inverted vol term structure
Skew towards puts remains very high as the market anticipates further selling
ATM Implied Volatility Table
BTC 29th July Expiry smiles
SABR and SVI Smile Calibrations.
The smile remains elevated, steep, and skewed towards puts at the new spot level near $20.5K
1 Month SABR Implied Vol Smile.