Crypto Derivatives: Analytics Report – Week 8

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Strong directional sentiment in derivatives markets has waned in response to the largely sideways moves in spot over the last two weeks. Funding rates for both majors, BTC and ETH, remain close to zero after ETH saw a strong negative spike earlier in the month. Volatility in ETH retains a premium over BTC, and its term structure of volatility threatens to invert at the next strong move in spot price, having traded flat for much of February. Short tenor volatility smiles have lost the strong skew towards OTM calls that they had held, while longer-dated optionality continues to price in a tilt towards the upside.

BTC Derivatives Sentiment

ETH Derivatives Sentiment

Perpetual Swap Funding Rate

BTC FUNDING RATE – While varying positively over the last week, a generally sideways spot price action sees a low positive funding rate for perpetuals.

ETH FUNDING RATE – Funding rates remain close to 0, indicating no significant excess demand for long or short exposure via the contract.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – In contrast to ETH’s, BTC’s volatility term structure is at its steepest over the last month.

BTC 25-Delta Risk Reversal – Short tenor volatility smiles have lost the strong skew towards OTM calls still held by smiles at longer tenors.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – The term structure of volatility has steepened and re-flattened alongside spot moves this week.

ETH 25-Delta Risk Reversal – Short tenor volatility smiles have been skewed towards OTM calls for much of the past week.

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 28-MAR EXPIRY – 9:00 UTC Snapshot.

ETH 28-MAR 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.