Crypto Derivatives: Analytics Report - Week 13

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

At-the-money implied volatility has fallen and remained low since the FOMC meeting on the 22nd March confirmed a 25 bps interest rate hike. Further bullish movements in spot price have buoyed several key derivatives metrics in the last couple of days, with a rise in futures-implied yields, positive funding rates, and a slight move towards OTM calls by the volatility smile of both BTC and ETH options.

Futures

BTC ANNUALISED YIELDS – have risen distinctly in recent days owing to the strong performance of spot price over the same period.

ETH ANNUALISED YIELDS – traded sideways just above zero since the recovery of USDC’s peg to the dollar, rising slightly in the last 24 hours.

Perpetual Swap Funding Rate

BTC FUNDING RATE – records month long highs paid to short positions as demand for long exposure to the perpetual swap contract surges.

ETH FUNDING RATE – saw little action midweek, before reflecting a desire for upside participation in the most recent spot rally.

Options

BTC SABR ATM IMPLIED VOLATILITY – trades at distinctly lower levels to last week, following the end of a week of macroeconomic announcements.

ETH SABR ATM IMPLIED VOLATILITY – cooled dramatically following the FOMC meeting on 22nd March, now trades below 60% at all tenors.

Volatility Surface

BTC IMPLIED VOL SURFACE – almost all points on the surface have increased volatility expectations, particularly at ATM strikes at 3M and 4M tenors.

ETH IMPLIED VOL SURFACE – sees the strongest cooling in OTM puts in the last few days, reducing its excess skew to OTMs puts at all tenors.

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