Crypto Derivatives: Analytics Report - Week 20

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Implied volatility continues its downward trend across both headline assets, a fact which is coupled with little to no preference towards long or short perpetual swap contracts. ETH continues to be more skewed towards OTM puts than BTC, with BTC exhibiting a more neutral smile.

FUTURES IMPLIED YIELD TERM STRUCTURE.

VOLATILITY SURFACE METRICS.

All data in tables are recorded at a 10:00 UTC snapshot unless otherwise stated.

Futures

BTC ANNUALISED YIELDS – trades sideways with shorter tenors recovering from yields seen last week.

ETH ANNUALISED YIELDS – mirror s BTC’ s trend with the recovery of short tenor s being much more apparent than BTC’ s.

Perpetual Swap Funding Rate

BTC FUNDING RATE – continues to trade close to zero showing little to no preference for long or short perpetual swap contract exposure.

ETH FUNDING RATE – trades close to zero, continuing the trend seen last week.

BTC Options

BTC SABR ATM IMPLIED VOLATILITY – saw a short-lived upside move at shorter tenors but continues to drift lower at all tenors.

BTC 25-Delta Risk Reversal – shows a neutral skew following a brief period being skewed towards OTM calls at all tenors.

ETH Options

ETH SABR ATM IMPLIED VOLATILITY – mirrors BTC’s downwards trend with the 6M trading ten vols higher than the 1w.

ETH 25-Delta Risk Reversal – is slightly skewed towards OTM puts with shorter tenors recovering from a heavy negative skew last week.

Volatility Surface

BTC IMPLIED VOL SURFACE – sees a surface wide cooling indicating a drop in implied volatility across the whole term structure.

ETH IMPLIED VOL SURFACE – shows a more dramatic fall in implied volatility at shorter tenors than longer ones.

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