Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Volatility has fallen following the recent spot sell-off, during which implied vol at short-dated tenors had spiked above longer-dated tenors and inverted the term structure. ETH continues to trade between 5-10 vols higher than BTC. In addition, the sell-off in spot saw a strong skew towards puts in both majors as investors became concerned with buying OTM puts for downside protection. This has since recovered – due to the selling of OTM puts – although ETH’s skew trades slightly lower than BTC at short-dated tenors, indicating more bearish positioning. Leverage as indicated by perpetual swap funding rates and futures- implied yields has increased slightly, but still remains far below the extremes observed in March.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Futures
BTC ANNUALISED YIELDS – yields at tenors 1M and below rose sharply above longer-dated tenors, indicating demand for leveraged long exposure.
ETH ANNUALISED YIELDS – similar behaviour can be observed in ETH, although it trades slightly lower than BTC at short-dated tenors.
Perpetual Swap Funding Rate
BTC FUNDING RATE – currently close to zero, but has traded positively over the past week as demand for leveraged long exposure increases.
ETH FUNDING RATE – has traded positively over the past week, with the more illiquid USDC-margined token trading higher than the token-settled rate, although both currently trade near zero.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – the term structure became inverted briefly as vol at short-dated tenors spiked, followed by a continuance of the downward trend observed before BTC sold off.
BTC 25-Delta Risk Reversal – short-dated smiles skewed heavily towards puts during the sell off, before recovering.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – despite spiking in a similar fashion to BTC, ETH vols trade 5-10 vols higher than BTC, across the term structure.
ETH 25-Delta Risk Reversal – skew has recovered following the increased demand for downside protection during the spot price sell off.
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 – 8:00 UTC Snapshot.
CeFi COMPOSITE – ETH SVI – 8:00 UTC Snapshot.
Listed Expiry Volatility Smiles
BTC 31-MAY EXPIRY– 8:00 UTC Snapshot.
ETH 31-MAY EXPIRY – 8:00 UTC Snapshot.
Cross-Exchange Volatility Smiles
BTC SVI, 30D TENOR – 8:00 UTC Snapshot.
ETH SVI, 30D TENOR – 8:00 UTC Snapshot.
Constant Maturity Volatility Smiles
BTC SVI, 30D TENOR – 8:00 UTC Snapshot.
ETH SVI, 30D TENOR – 8:00 UTC Snapshot.
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