Crypto Derivatives: Analytics Report – Week 47

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Derivatives markets continue to reflect the bullish momentum of recent weeks. Spot yields are approaching the positive highs observed last week, signalling robust demand as traders are willing to pay a premium for leveraged long exposure via the futures contracts. Skew levels and perpetual contracts funding rates remain firmly positive, reinforcing the optimistic sentiment and indicating that market participants are seeking exposure to upwards price action. Meanwhile, implied volatility remains within a range-bound pattern, while the term structure remains inverted. Current levels of inversion have yet to surpass the heightened activity seen during the pre-election period, but remain closely linked to spot movements.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter

Futures

BTC ANNUALISED YIELDS – BTC’s yield term structure levels has been rising dramatically at the front-end again, resulting in an inverted curve.

ETH ANNUALISED YIELDS – ETH’s yield curve is inverted but lower at the front end than BTC’s.

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s perpetual funding rates remain strongly positive during the recent bullish price action of the past days.

ETH FUNDING RATE – ETH’s funding rate mirrors BTC’s recent movements, while remaining at overall lower levels.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – The term structure of implied volatility remains inverted and shows range-bound movements across tenors.

BTC 25-Delta Risk Reversal – Skew levels are positive across all tenors, indicating a strong bullish sentiment.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s implied volatility term structure remains heavily inverted and mirrors BTC’s rangebound activity.

ETH 25-Delta Risk Reversal – ETH’s volatility smiles indicate demand for upside exposure across all tenors, but not as strongly as for BTC.

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 – 8:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 8:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 27-DEC EXPIRY – 8:00 UTC Snapshot.

ETH 27-DEC EXPIRY – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.