Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
The extreme selloff in the crypto spot has hit ETH and altcoins harder than BTC, and this sentiment has been reflected in derivatives markets. ETH trades at a significant volatility premium to BTC’s, and its term structure has inverted far beyond the level of BTC’s flattening at the front-end. Short-tenor volatility smiles have skewed towards puts for both coins in an expression of bearish sentiment and covering of downside exposure. However, longer-dated tenors (all those beyond one-month, in fact) remain stubbornly skewed towards OTM calls. In addition, BTC’s perpetual swap funding rate has not traded negative throughout the most recent selloff, while ETH’s has not yet reached the depths of the Feb 3, 2025 selloff.
BTC Derivatives Sentiment
ETH Derivatives Sentiment
Perpetual Swap Funding Rate
BTC FUNDING RATE – Continues to trade above 0% despite BTC visiting spot prices below $90K once again.
ETH FUNDING RATE – The selloff has taken ETH’s funding rates negative, but not as extreme as the selloff at the beginning of February.
BTC Options
BTC SVI ATM IMPLIED VOLATILITY – While ETH’s term structure has inverted, BTC’s trades are marginally flatter.
BTC 25-Delta Risk Reversal – Short-tenor volatility smiles have skewed strongly towards OTM puts, but longer-dated tenors remain stubbornly bullish.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – The term structure has inverted once again, above BTC’s inversion but below the level recorded on Feb 3, 2025.
ETH 25-Delta Risk Reversal – Short-tenor volatility smiles have skewed strongly towards puts in the selloff, but longer-dated smiles remain bullish.
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.
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