Crypto Derivatives: Analytics Report - Week 12

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

While not delivering a complete recovery rally back to January’s all-time high, this week has at least seen a pause in the intense and persistent collapse in risk appetite. Futures yields continue to fall and funding rates trade negative. However, the skew towards OTM puts priced- in by volatility smiles across the term structure was briefly erased as the lower level of delivered volatility has caused a dis-inversion in the term structure of at-the-money implied volatility. Front-end volatility levels for BTC and ETH trade below 45% and 60% respectively — the bottom of their respective ranges in March.

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – Are reacting asymmetrically to moves in spot: selloffs see a negative rate, but recoveries do not result in a positive rate.

ETH FUNDING RATE – The past week has delivered a far less bearishly negative funding rate than did the selloff in spot prices in the week before.

Futures Implied Yields

BTC Futures Implied Yields – The term structure of futures yields is steepening once again after March’s volatility erased much of the premium.

ETH Futures Implied Yields – Futures with later expirations trade at a similar premium over spot as BTC’s, while the front-end of the curve is 2.5% higher.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Short dated volatility levels fall to 45%, their lowest levels since the period of repeated inversion began in March.

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.