Crypto Derivatives: Analytics Report – Week 48

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Risk appetite in crypto, itself reflecting broader macro trends, reached an extreme bottom over the weekend. Options markets expressed a clear demand for OTM puts over calls and for short- term protection over longer-dated options. However, the period of sideways price action since the extreme lows recorded at the end of last week have had a positive effect on sentiment in derivatives markets. Early indications this week suggest a recovery, as BTC smiles have erased their skew towards puts and volatility has drawn lower (if not yet fully dis-inverted). The plunge lower in futures discount to spot has stopped, and funding rates of perpetual swaps trade merely neutral-to-bearish, instead of suggesting outright panic.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – While ETH’s funding rates remain apparently bullish, BTC’s have been subdued with a tilt towards negative rates over the last two weeks.

ETH FUNDING RATE – Funding rates in ETH have reflected almost none of the bearish positioning seen in other derivatives metrics.

Futures Implied Yields

BTC Futures Implied Yields – BTC futures at all maturities now trade back above spot after a deep discount during the crash lower towards $83K.

ETH Futures Implied Yields – Short-tenor ETH futures has reversed most of their discount to spot prices while longer-tenors trade higher.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – The term structure of volatility has now dis-inverted after one of the most extreme spikes in BTC volatility this year.

BTC 25-Delta Risk Reversal – Short-tenor BTC smiles briefly erased their skew towards OTM puts as price has recovered from its most extreme bottom.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Volatility pricing has fallen, if not yet disinverted, during the sideways moves early this week.

ETH 25-Delta Risk Reversal – Volatility smile skews have recovered during the early-week reprieve from further downside price action.

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 26-DEC EXPIRY – 9:00 UTC Snapshot.

ETH 26-DEC 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.

Thanks to Andrew Melville and Thahbib Rahman, Block Scholes