Crypto Derivatives: Analytics Report – Week 51
Block Scholes
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
While key indicators in derivatives markets suggest slightly different sentiment for BTC and ETH, neither indicate a full recovery in sentiment. BTC holds the edge in futures and perps markets, with a higher pricing of futures contracts and a consistently positive funding rate, but options markets in BTC also hold a stronger put-skew relative to ETH’s. Volatility expectations are, as ever, higher for ETH, but are lower than their late November highs when traders rushed to put options. Our in-house risk appetite index has continued to linger near its historical lows for both assets – indicating that we are near to the most extreme levels of crypto sentiment.
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 – As in futures markets, BTC shows a slightly more bullish sentiment than ETH as funding rates have not slipped negative for a significant period since mid November.
ETH FUNDING RATE – Funding rates have slipped negative on several occasions over the last week, and have failed to trade consistently positive.
Futures Implied Yields
BTC Futures Implied Yields – BTC’s future prices contrast the bearish sentiment in ETH’s, as they trade consistently above spot.
ETH Futures Implied Yields – Sentiment in futures markets remains bearish at short tenors, with 7-day futures frequently trading at prices below spot.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – Volatility expectations remain elevated, despite short-tenor implied vols falling from their late November highs.
BTC 25-Delta Risk Reversal – Short-tenor BTC smiles have extended their extra bearish put-premium over still-bearish longer tenor smiles.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – While not inverted, volatility trades in a tight range between 65% and 68% across the term structure.
ETH 25-Delta Risk Reversal – Volatility smile skews have slipped lower, with little reaction to the FOMC’s Dec 10 interest rate cut.
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
