Crypto Derivatives: Analytics Report – Week 10

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Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Spot yields implied by futures prices have trended lower for both assets, as has at-the-money implied volatility at all tenors. There is a more significant skew towards OTM puts in both assets, and a low perpetual swap funding rates suggest a lower interest in excess exposure to up or downside action through the perpetual than we saw in the first two months of the year.

Futures

BTC ANNUALISED YIELDS – spot yields remain positive but continue a trend towards zero.

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ETH ANNUALISED YIELDS – fall closer towards zero than BTC’s but continue to trade sideways.

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Perpetual Swap Funding Rate

BTC FUNDING RATE – continue last week’s trend of little outsized interest in perpetual swap long or short exposure.

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ETH FUNDING RATE – sees a small positive rate paid to short perpetual swap positions in the last 24 hours.

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Options

BTC SABR ATM IMPLIED VOLATILITY – 1 week tenor options recover slightly, with longer term tenors trending lower.

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ETH SABR ATM IMPLIED VOLATILITY – trades between 45-60% across the term structure, marginally higher than BTC’s.

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Volatility Surface

BTC IMPLIED VOL SURFACE – cools across the surface except for OTM puts at a 1 week tenor.

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ETH IMPLIED VOL SURFACE – sees a surface-wide cooling as implied volatility falls across the tenor and delta domains.

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Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration

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Put-Call Skew

BTC 25 DELTA PC SKEW – has begun a trend towards OTM puts over the last few days, led by shorter tenor options.

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ETH 25 DELTA PC SKEW – shows less of a decisive trend towards a skew to OTM puts, but shows a more pessimistic outright level.

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Volatility Smiles

BTC SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.

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ETH SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.

[/fusion_text][fusion_lightbox thumbnail_image=”https://insights.deribit.com/wp-content/uploads/2023/03/8237rtc8qsc.jpg” type=”” full_image=”https://insights.deribit.com/wp-content/uploads/2023/03/8237rtc8qsc.jpg” video_url=”” link_url=”” alt_text=”” title=”” description=”” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” class=”” id=”” /][fusion_separator style_type=”none” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” sticky_display=”normal,sticky” class=”” id=”” flex_grow=”0″ top_margin=”” bottom_margin=”30px” width=”” alignment=”center” border_size=”” sep_color=”” hue=”” saturation=”” lightness=”” alpha=”” icon=”” icon_size=”” icon_color=”” icon_circle=”” icon_circle_color=”” /][fusion_text columns=”” column_min_width=”” column_spacing=”” rule_style=”” rule_size=”” rule_color=”” hue=”” saturation=”” lightness=”” alpha=”” content_alignment_medium=”” content_alignment_small=”” content_alignment=”” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” sticky_display=”normal,sticky” class=”” id=”” margin_top=”” margin_right=”” margin_bottom=”” margin_left=”” fusion_font_family_text_font=”” fusion_font_variant_text_font=”” font_size=”” line_height=”” letter_spacing=”” text_transform=”” text_color=”” animation_type=”” animation_direction=”left” animation_speed=”0.3″ animation_offset=””]

Historical SABR Volatility Smiles

BTC SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.

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ETH SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.

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AUTHOR(S)

[/fusion_text][fusion_separator style_type=”default” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” sticky_display=”normal,sticky” class=”” id=”” flex_grow=”0″ top_margin=”” bottom_margin=”30px” width=”” alignment=”center” border_size=”” sep_color=”#f0f0f0″ icon=”” icon_size=”” icon_color=”” icon_circle=”” icon_circle_color=”” /][fusion_widget type=”blog_widget” blog_widget__title=”” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” class=”” id=”” fusion_display_title=”yes” fusion_padding_color=”” fusion_margin=”” fusion_bg_color=”” fusion_bg_radius_size=”” fusion_border_size=”0″ fusion_border_style=”solid” fusion_border_color=”” fusion_divider_color=”” fusion_align=”” fusion_align_mobile=”” /][/fusion_builder_column][/fusion_builder_row][/fusion_builder_container][fusion_builder_container admin_label=”remove this if no names” type=”flex” hundred_percent=”no” hundred_percent_height=”no” min_height=”” hundred_percent_height_scroll=”no” align_content=”stretch” flex_align_items=”flex-start” flex_justify_content=”flex-start” flex_column_spacing=”” hundred_percent_height_center_content=”yes” equal_height_columns=”no” container_tag=”div” menu_anchor=”” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” status=”published” publish_date=”” class=”” id=”” link_color=”” link_hover_color=”” border_sizes_top=”” border_sizes_right=”” border_sizes_bottom=”” border_sizes_left=”” border_color=”” border_style=”solid” margin_top_medium=”” margin_bottom_medium=”” margin_top_small=”” margin_bottom_small=”” margin_top=”30px” margin_bottom=”” padding_top_medium=”” padding_right_medium=”” padding_bottom_medium=”” padding_left_medium=”” padding_top_small=”” padding_right_small=”” padding_bottom_small=”” padding_left_small=”” padding_top=”” padding_right=”” padding_bottom=”” padding_left=”” box_shadow=”no” box_shadow_vertical=”” box_shadow_horizontal=”” box_shadow_blur=”0″ box_shadow_spread=”0″ box_shadow_color=”” box_shadow_style=”” z_index=”” overflow=”” gradient_start_color=”” gradient_end_color=”” gradient_start_position=”0″ gradient_end_position=”100″ gradient_type=”linear” radial_direction=”center center” linear_angle=”180″ background_color=”” background_image=”” background_position=”center center” background_repeat=”no-repeat” fade=”no” background_parallax=”none” enable_mobile=”no” parallax_speed=”0.3″ background_blend_mode=”none” video_mp4=”” video_webm=”” video_ogv=”” video_url=”” video_aspect_ratio=”16:9″ video_loop=”yes” video_mute=”yes” video_preview_image=”” absolute=”off” absolute_devices=”small,medium,large” sticky=”off” sticky_devices=”small-visibility,medium-visibility,large-visibility” sticky_background_color=”” sticky_height=”” sticky_offset=”” sticky_transition_offset=”0″ scroll_offset=”0″ animation_type=”” animation_direction=”left” animation_speed=”0.3″ animation_offset=”” filter_hue=”0″ filter_saturation=”100″ filter_brightness=”100″ filter_contrast=”100″ filter_invert=”0″ filter_sepia=”0″ filter_opacity=”100″ filter_blur=”0″ filter_hue_hover=”0″ filter_saturation_hover=”100″ filter_brightness_hover=”100″ filter_contrast_hover=”100″ filter_invert_hover=”0″ filter_sepia_hover=”0″ filter_opacity_hover=”100″ filter_blur_hover=”0″][fusion_builder_row][fusion_builder_column type=”1_1″ layout=”1_1″ background_position=”left top” background_color=”” border_color=”” border_style=”solid” border_position=”all” spacing=”yes” background_image=”” background_repeat=”no-repeat” padding_top=”” padding_right=”” padding_bottom=”” padding_left=”” margin_top=”0px” margin_bottom=”0px” class=”” id=”” animation_type=”” animation_speed=”0.3″ animation_direction=”left” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” center_content=”no” last=”true” min_height=”” hover_type=”none” link=”” border_sizes_top=”” border_sizes_bottom=”” border_sizes_left=”” border_sizes_right=”” first=”true”][fusion_text columns=”” column_min_width=”” column_spacing=”” rule_style=”default” rule_size=”” rule_color=”” content_alignment_medium=”” content_alignment_small=”” content_alignment=”” hide_on_mobile=”small-visibility,medium-visibility,large-visibility” sticky_display=”normal,sticky” class=”” id=”” font_size=”14px” fusion_font_family_text_font=”” fusion_font_variant_text_font=”” line_height=”” letter_spacing=”” text_color=”” animation_type=”” animation_direction=”left” animation_speed=”0.3″ animation_offset=””]

THANKS TO

Andrew Melville and Karan Jeswani, Block Scholes

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