Weekly recap of the crypto derivatives markets by BlockScholes.
BTC
BTC Annualised Implied Yields – negative at 1M and 3M tenors, with longer tenors below 1%
BTC Annualised Implied Yields Table
All timestamps 10:00 UTC
BTC ATM Implied volatility – collapsed at all tenors beginning on the 13th October, now between 45% and 65%
SABR Smile Calibration
BTC 25-Delta Vol Skew-BTC – continues its skew towards OTM puts, skewing further towards OTM puts just after the 13th of October
SABR Smile Calibration
BTC Implied Vol Surface – options at all tenors and deltas fall near to the lowest levels recorded this year
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 10:00 UTC
BTC ATM Implied Volatility Table
All timestamps 10:00 UTC, SABR Smile Calibration
BTC SABR, SVI Smile Calibrations – 25th November Expiry
BTC 30d Tenor Vol Smile – implied volatility is falling across the strike domain
BTC 1 Month SABR Implied Vol Smile.
ETH
ETH Annualised Implied Yields – trend further negative at all tenors in a tight range between -4% and 0%
ETH Annualised Implied Yields Table
All timestamps 10:00 UTC
ETH ATM Implied Volatility – falling since October 13th to trade between 60% and 80% at all tenors shorter than 1Y
SABR Smile Calibration
ETH 25-Delta 180d Vol Skew – increased following the 13th October, in line with that of BTC
SABR Smile Calibration
ETH Implied Vol 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 10:00 UTC
ETH ATM Implied Volatility Table
All timestamps 10:00 UTC, SABR Smile Calibration
ETH SABR, SVI Smile Calibrations – 25th November Expiry
ETH 30d Tenor Vol Smile – has fallen slightly compared to last week’s vol smile, particularly in OTM puts
ETH 1 Month SABR Implied Vol Smile.
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