Crypto Derivatives: Analytics Report - Week 10

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.

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

Perpetual Swap Funding Rate

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

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

Options

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

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

Volatility Surface

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

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

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