Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Over the past week the derivatives market has shown a slight preference for ETH. The ATM implied volatility term structure for ETH inverted twice, reflecting demand for short-tenor optionality while BTC’s term structure has remained relatively steep. Implied volatility skew for both currencies indicates a preference for OTM calls across all tenors, signalling bullish sentiment. However, BTC’s skew sharp drops, whereas ETH’s skew has been more resilient, supporting a steadier positive outlook. Perpetual funding rates are similar for both assets, but ETH demonstrates a slight edge with higher levels favouring leveraged long exposure. Futures yields also align closely, except for short tenors where ETH shows higher levels.
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 yield term structure levels are at very similar levels to ETH’s across the term structure except for short-tenor futures.
ETH ANNUALISED YIELDS – ETH’s yield curve is strongly inverted and shows slightly higher levels than BTC’s at the front-end of the term structure.
Perpetual Swap Funding Rate
BTC FUNDING RATE – BTC’s perpetual funding rates remain strongly positive despite the recent pullback in prices.
ETH FUNDING RATE – ETH’s funding rate remains extremely positive and bullish, showing slightly higher levels than BTC’s.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – Short-term implied volatility have risen recently, resulting in a ever-so-slightly steep term structure.
BTC 25-Delta Risk Reversal – Skew has dropped again at the front-end while remaining high at the far-end, indicating contrasting sentiment across tenors.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – ETH’s short tenor implied volatility levels have lost their momentum as the term structure becomes less inverted.
ETH 25-Delta Risk Reversal – Skew levels remain above BTC’s, showing a more bullish stance across tenors.
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 – 9:00 UTC Snapshot.
CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.
Listed Expiry Volatility Smiles
BTC 27-DEC EXPIRY – 9:00 UTC Snapshot.
ETH 27-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.
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