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.

AUTHOR(S)

Block Scholes Block Scholes

Trading with a competitive edge. Providing robust quantitative modelling and pricing engines across crypto derivatives and risk metrics.

THANKS TO

Andrew Melville, BlockScholes

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