Crypto Derivatives: Analytics Report – Week 12

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Crypto spot prices have shown continued resilience in the midst of the US-Iran war, which is now in its third week. BTC and ETH spot price is up 8% and 16% respectively over the past month, a recovery which has had the clearest impact on ETH derivatives markets. The futures- implied yield term structure for ETH is inverted, with 7-day futures contracts trading at a 6% premium to spot price, perpetual funding rates are positive and, while not yet skewed towards call options, short-dated ETH put-call skew reached its highest (-1.3%) in a month. In contrast, BTC options markets are more subdued. ATM implied volatility has compressed around 50%, funding rates slightly above neutral, while the term structure of futures yields is flat.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – The past week has mostly seen subdued funding rates around neutral levels, despite BTC’s spot price having rallied nearly 15% since the onset of the US-Iran war.

ETH FUNDING RATE – ETH funding rates show slightly more interest from perp traders to take on new long positions, with ETH spot’s price up 16% over the past month.

Futures Implied Yields

BTC Futures Implied Yields – The term structure for BTC futures-implied yields is flat between 2-3% across all tenors, suggesting a lack of demand for leverage in BTC futures contracts.

ETH Futures Implied Yields – In contrast, the futures-implied term structure for ETH is significantly inverted, with short-dated ETH futures contracts trading at a 6% premium to spot price – a sign of bullish short-term positioning.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – BTC’s term structure of volatility is slightly inverted as 7D options trade with an implied vol of 52%.

BTC 25-Delta Risk Reversal – Volatility smiles are not yet skewed towards call options despite the recent spot performance. Nonetheless, put-call skew has recovered significantly from the late-February low, suggesting traders are not rushing for downside hedges as aggressively now.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ATM implied volatility in 7 to 30 day ETH contracts has picked over the past week, with 7D vol up 10 points.

ETH 25-Delta Risk Reversal – While also not yet tilted towards call options, ETH put-call skew reached -1.3% yesterday, its highest in a month. That marks a significant reversal in sentiment since the start of the month, when the premium for put options was close to 20%.

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Thanks to Andrew Melville and Thahbib Rahman, Block Scholes