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Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.
In this edition, we share the latest crypto derivatives weekly from Block Scholes.
Spot prices have performed a significant recovery since bouncing off the lower bound of their recent range almost one week ago. As a result, delivered volatility has stayed at its highs and has materially increased implied volatility at short-tenor options and inverted the term structure. The recovery has inspired a return to double digit yields implied by both BTC and ETH futures markets, but only the former asset sees a similar sentiment expressed by its perpetual swap funding rates. ETH still has its months-long-held volatility premium over BTC of around 10 points, but its short-tenors did not push as close to the levels at the back end of the term structure leaving its term structure slightly steeper.
ATM Implied Volatility, 1-Month Tenor
![fig1 OKX Currency-Combined-1M-ATM-VOL-ETH](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/ZeyfsdUiB9cq2oBoTAvxp/9e556c29705e667cbd9b85fea3f584bc/fig1_OKX_Currency-Combined-1M-ATM-VOL-ETH.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
BTC Options
![fig2 BTC SVI Vol term structure](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5MrSYbS8kOsWf39Yc07tjD/12f191e741b7a484495b67b1843ee6f7/fig2_BTC_SVI_Vol_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
BTC SVI ATM Implied Volatility
![fig3 OKX BTC SVI ATM volatility](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/7aHsk1WKKoCfBWBUgN5CNn/75067a4c783fa7c2aa080b4c8b5287f2/fig3_OKX_BTC_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
The term structure has flattened significantly as short-tenor optionality has rallied back above 50%
BTC 25-Delta Risk Reversal
![fig4 OKX BTC SVI PC skew](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/4pWXcBLGXfLTGHfbqpOJUH/30edfe7fa7b2586ef16926039d019f06/fig4_OKX_BTC_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
The changing directions of spot price movements are reflected in the change in skew from towards puts to calls
ETH Options
![fig5 ETH SVI Vol term structure](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/3NhyM6mtVB0wzdDi0e1Gia/6e9fc325926d15e53842e7bb3487b4d8/fig5_ETH_SVI_Vol_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
ETH SVI ATM Implied Volatility
![fig6 OKX ETH SVI ATM volatility](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/60tUl8yMkiBKhlFcKcFTT1/82966a0a43c12a93561c2f62b4d9599d/fig6_OKX_ETH_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH volatility remains above BTC’s across the term structure but front-end vols did not rally as hard
ETH 25-Delta Risk Reversal
![fig7 OKX ETH SVI PC skew](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/YMqTQMGAE38aW8fwdSjpg/508f6c78eb8712c5a104114f89239b57/fig7_OKX_ETH_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Like BTC, ETH’s markets are skewed slightly towards OTM calls but have not seen the same extremes in the last week
Market Composite Volatility Surface
![fig8 okx snap BTC SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2mYoSmvTVg3tfqDs6YiPNA/2b39f903bb33b7627dd06ad6af2a03d6/fig8_okx_snap_BTC_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig9 okx snap ETH SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/Dprhhj1fhI76nI5shm7qS/c29fe5d3354aee902169b0affe84db6e/fig9_okx_snap_ETH_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Listed Expiry Volatility Smiles
![fig10 BTC BTC-30AUG24 Listed Expiry](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/sxYgEajCcaWMPTYmIfdl7/dd5cd9d05961e298d9ae6c1493f7c239/fig10_BTC_BTC-30AUG24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig11 ETH ETH-30AUG24 Listed Expiry](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1PDnx67Oz79hzTikDqbZSk/bd043c279a2daabdb0b4f5376c65070e/fig11_ETH_ETH-30AUG24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Constant Maturity Volatility Smiles
![fig12 BTC-SVI Constant Maturity](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/42cBTfGREFoLMhweIWtTfb/c034f2bdcd5655c5e95464434fa6b166/fig12_BTC-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig13 ETH-SVI Constant Maturity](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1ACrp4f21YnK6IoRRFRL57/09bd8a1dcb1c489c878f467956a12ccf/fig13_ETH-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
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