Crypto Derivatives: Analytics Report - Week 25

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Yields implied by futures prices have declined over the past week, steepening term structures that have experienced several inversions in the past month. The reduction in leverage has been more pronounced for BTC compared to ETH, as ETH’s perpetual swap funding rate remains active but below the levels observed at the end of May. Volatility expectations are trending slightly upward, in line with the increased market choppiness over the last week, and ETH volatility markets continue to command a premium. Reflecting their futures markets, ETH’s skew indicates slightly more bullish positioning than BTC’s, with both vol smiles moving closer to neutral for shorter-dated expiries.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC ANNUALISED YIELDS – short tenor yields have fallen to their lowest levels in the last month as demand for leverage falls.

ETH ANNUALISED YIELDS – ETH yields have underperformed BTC’s during the latest period of poor spot performance and deleveraging in futures.

Perpetual Swap Funding Rate

BTC FUNDING RATE – funding rates echo the lackustre performance in futures yields, remaining pinned to 0% in either direction during the leak lower in spot price.

ETH FUNDING RATE – has traded at low levels for the month, but exhibits more activity than BTC’s perpetual swap markets.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – implied volatility has risen consistently over the last 3 days during a period of increased choppiness.

BTC 25-Delta Risk Reversal – the choppy move lower in spot price is reflected in a turn towards OTM calls of the volatility smile that is strongest at shorter-dated options.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s volatility remains elevated above that of BTC’s across the term structures, albeit with the same steep shape that contrasts its brief inversion at the end of May.