Crypto Derivatives: Analytics Report – Week 21

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

A still elusive peace agreement between the US and Iran to bring a permanent end to the Middle East conflict, higher-than-expected US inflation, and a global selloff in bonds has weighed in on risk sentiment. BTC briefly traded to $76K, a more than two-week low, while ETH fell below a strong support level of $2,100. Both Block Scholes’ BTC and ETH Risk Appetite Indexes are now also showing signs of slowing spot momentum.

Options markets show an interesting divergence – put-call skew shows signs of panic from options traders, though that nervousness is not being reflected in at-the-money implied volatility. 7-day 25- delta put-call skew is currently trading at -5% and -7% for BTC and ETH respectively, while 7-day ATM implied volatility is trading at 35% and 43% (vs YTD lows of 31% and 37%).

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

1-Month Tenor ATM Implied Volatility

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – At 35%, 7-day IV remains close to its year- to-date low of 31%.

BTC 25-Delta Risk Reversal – Options show signs of panic with put-call skew trading at -5% (5 vol point premium towards puts). Interestingly, that nervousness is not being reflected in at-the-money implied volatility.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – On Friday last week, 7-day ETH IV fell to 37%, a year-to-date low.

ETH 25-Delta Risk Reversal – Similar to BTC, ETH 25-delta skew shows signs of traders hedging against a selloff in spot price as 7-day skew trades at -7%.

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 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 and Thahbib Rahman, Block Scholes