Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
The most recent macro-correlated spot volatility in crypto has delivered yet another inversion of the term structure for both BTC and ETH. While BTC’s front-end volatility levels have fallen back below the back-end, ETH remains inverted. While the bearish spot move saw futures- implied yields spike to the negative once again and one of the strongest skews towards OTM puts at short tenors that we have seen since the US Banking Crisis of March 2023, some of those moves have been retraced as crypto-spot prices have followed US equities higher over the day.
Futures Implied Yields
1-Month Tenor ATM Implied Volatility
Perpetual Swap Funding Rate
BTC FUNDING RATE – Contradictory to ETH’s, BTC’s funding rate has spiked strongly positive in the last 24H.
ETH FUNDING RATE – Perpetuals record a significant demand for downside exposure during the selloffs.
Futures Implied Yields
BTC Futures Implied Yields – We see extreme volatility in BTC’s yields as recovery rallies are wiped out again hours later.
ETH Futures Implied Yields – The most recent bearish spot price action saw yields turn negative once more.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – While ETH’s term structure remains slightly inverted, BTC’s has nearly fully disinverted.
BTC 25-Delta Risk Reversal – Vol smiles saw one of their sharpest skews towards OTM puts since the US Banking Crisis in March 2023.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – After its most recent inversion, ETH’s term structure has moved closer to dis-inverting.
ETH 25-Delta Risk Reversal – Short-tenor volatility smile skews have recovered somewhat from a strong skew towards OTM puts.
Volatility by Exchange
BTC, 1-MONTH TENOR, SVI CALIBRATION
ETH, 1-MONTH TENOR, SVI CALIBRATION
Put-Call Skew by Exchange
BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
Market Composite Volatility Surface
CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.
CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.
Listed Expiry Volatility Smiles
BTC 25-APR EXPIRY – 9:00 UTC Snapshot.
ETH 25-APR EXPIRY – 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.
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