Crypto Derivatives: Analytics Report – Week 33

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

This week the spotlight has been on Ethereum as its native token trades more than 17% higher over the past seven days. Ether has been supported by a wave of buying via Spot ETH ETFs as well as institutional buying from the likes of BitMine and SharpLink Gaming. Spot ETFs saw their first ever $1B inflow day yesterday, while BitMine has become the largest corporate holder of ETH, amassing over 1M tokens. As such, derivatives markets are showing bullish signs. Volatility smiles are assigning a premium for call optionality, as 7-day options have a put-call skew close to 5%, while the futures-yields term structure has inverted, indicating a willingness from traders to pay a premium above the current spot price for upside ETH exposure. Over the weekend, ETH rallied past $4,000 for the first time since Dec 2024.

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – As BTC neared its ATH of $123K yesterday, funding rates exceeded 0.02%, but a pullback in spot has caused the same in funding now.

ETH FUNDING RATE – Funding rates surged as high as 0.03%, in line with a spot price that has rallied 17% over the past seven days.

Futures Implied Yields

BTC Futures Implied Yields – While BTC spot has underperformed ETH this week, futures yields remain higher across the term structure relative to ETH.

ETH Futures Implied Yields – Markets show a strong willingness to pay a premium above ETH’s spot price for long exposure as 7-day yields are at 9.7%.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Short-tenor volatility fell below 25% on Aug 8, as BTC spot price traded sideways at $116K.

BTC 25-Delta Risk Reversal – Despite trading close to ATH’s, short tenor BTC volatility smiles suggest traders are pricing for downside action, as put-call skew is tilted towards OTM puts in contrast to longer tenors.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – After a brief inversion on Aug 10, ETH’s term structure has now flattened close to 65%.

ETH 25-Delta Risk Reversal – ETH has been bolstered by rampant Spot ETF demand and digital asset treasury purchases. As such, OTM call options trade with a near 5% premium to out-of-the-money put options.

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 29-AUG EXPIRY – 9:00 UTC Snapshot.

ETH 29-AUG 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.

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