Crypto Derivatives: Analytics Report – Week 38

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The spot recovery we observed last week, for both tokens, has slowed down over the past days, with prices remaining within range-bound action. ETH’s futures yields have dropped for short tenors: while we can observe a flat term-structure for BTC’s yields similar to last week, ETH’s now results in a steep structure. Implied volatility levels have overall dropped similarly for both tokens, with ETH’s options remaining at a consistent volatility premium than BTC’s across all tenors. However, volatility levels for short tenors appear to be on the rise once again. Despite oscillation in implied volatility skew, sentiment has moved sideways, not expressing changes from last week across all tenors.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter

Futures

BTC ANNUALISED YIELDS – BTC’s spot yields have largely oscillated and sightly decreased at the front end of the term structure.

ETH ANNUALISED YIELDS – ETH’s spot yields have dropped at the front end of the term structure.

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s perpetual funding rate has overall traded positively over the past week.

ETH FUNDING RATE – ETH’s perpetual swap funding rate is showing some initial signs of recovery after a long period of strongly negative rates.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Implied volatility has overall dropped across the term structure.

BTC 25-Delta Risk Reversal – BTC skew has moved overall sideways, but short-tenor smiles are slightly more put-skewed with respect to last week.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Shows the same decrease in the term structure as BTC.

ETH 25-Delta Risk Reversal – ETH’s skews have moved sideways and remain at similar levels to last week.

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 – 7:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI– 7:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 25-OCT EXPIRY – 7:00 UTC Snapshot.

ETH 25-OCT EXPIRY – 7:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 7:00 UTC Snapshot.

ETH SVI, 30D TENOR – 7:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 7:00 UTC Snapshot.

ETH SVI, 30D TENOR – 7:00 UTC Snapshot.