Weekly recap of the crypto derivatives markets by BlockScholes.
BTC
Implied yields at all tenors fall closer to zero as BTC’s spot rally fizzles out
BTC Annualised Futures Implied Yields Table
All timestamps 12:00 UTC
BTC’s ATM implied volatility trades sideways between 60% and 75% in contrast to heated demand in ETH derivatives
BTC’s 25-delta put-call skew reflects a lingering pessimism
SABR Smile Calibration
The IV of short-dated BTC calls cools further, showing the lacklustre support for the recent spot rally
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 12:00 UTC
BTC ATM Implied Volatility Table
All timestamps 12:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 30th September Expiry
BTC’s volatility smile steepens in both OTM calls and puts, with ATM vols in a similar position as last week
BTC 1 Month SABR Implied Vol Smile.
ETH
ETH’s annualised yields plunge further, as futures prices with tenors near the upcoming Merge event fall below spot
ETH Annualised Futures Implied Yields Table
All timestamps 12:00 UTC
ETH’s short-term ATM implied vols remain stable at the elevated levels they have printed over the last two months
ETH’s 180d volatility smile remains skewed towards puts
SABR Smile Calibration
ETH Implied Volatility Surface
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 12:00 UTC
ETH ATM Implied Volatility Table
All timestamps 12:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 30th September Expiry
ETH’s vol smile remains static for all options except OTM puts, which steepen as downside protection becomes more attractive
ETH 1 Month SABR Implied Vol Smile.
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