Crypto Derivatives: Analytics Report - Week 37

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

After a 12-day period of spot decline since August 26, prices for both major tokens have finally started to recover over the past few days. This rise has positively affected short tenor futures yields, which have risen significantly in the past week, resulting in a flattened term structure. Implied volatility levels for BTC and ETH short-tenor options have been rising dramatically since the beginning of the month, while short-term skews have dropped and rebounded, now being at similar levels as of last week. As a result, ETH options are consistently skewed towards puts for short-tenor options, whereas short-term sentiment for BTC is neutral again and not expressing such a strong preference.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter

BTC Derivatives Sentiment

ETH Derivatives Sentiment

Futures

BTC ANNUALISED YIELDS – BTC’s spot yields have increased for short tenors, while moving sideways for long tenors.

ETH ANNUALISED YIELDS – ETH’s spot yields has spiked dramatically at the front end of the term structure.

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s perpetual funding rate has oscillated between positive and negative over the past days.

ETH FUNDING RATE – ETH’s perpetual swap funding rate is showing no sign of recovery and has traded mostly negatively since the beginning of September.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Implied Volatility has been overall rising, but much more significantly for short tenors.

BTC 25-Delta Risk Reversal – BTC skew remains neutral following a drop towards puts for short tenors and recovery back to similar levels as last week.