Crypto Derivatives: Analytics Report – Week 19
Block Scholes
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Implied volatility has dropped off from its April levels despite the potential for continued erratic trade policy in the US: the newest development involves a 100% tariff on all foreign- made films. BTC has stabilised above $90K, while risk US equities ended a nine-day consecutive win streak. BTC’s derivatives markets show some evidence of downward momentum: futures yields, while at a healthy 4%, have dropped off from 8% at the start of the month, 7-day implied volatility is approaching its 18-month floor of 35%, and short-dated volatility smiles are skewed less strongly towards OTM calls then they were at the end of April.
Futures Implied Yields
1-Month Tenor ATM Implied Volatility
Perpetual Swap Funding Rate
BTC FUNDING RATE – BTC funding rates have recovered into positive territory having ended April with strong negative spikes.
ETH FUNDING RATE – Funding rates for ETH remain flat and close to neutral despite volatility smile skews tilting towards puts at shorter tenors.
Futures Implied Yields
BTC Futures Implied Yields – The futures yield term structure remains positively sloped for BTC, though has a far flatter slope compared to ETH.
ETH Futures Implied Yields – ETH futures yields have risen from their end of April lows however still trade lower and steeper compared to BTC.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – BTC’s volatility term structure has lost some of its steepness from last week, as front-end volatility has dropped off.
BTC 25-Delta Risk Reversal – The premium previously assigned to out-the- money BTC calls has now dropped to neutral for short-tenors.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – Volatility across ETH’s term structure continues to leak downwards, as with BTC.
ETH 25-Delta Risk Reversal – While short-tenor BTC skews have moved towards neutral, front-end skew for ETH is now tilted 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 30-MAY EXPIRY – 9:00 UTC Snapshot.
ETH 30-MAY 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.
Thanks to Andrew Melville, Block Scholes
