Crypto Derivatives 14 August 2024

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.

Following the market selloff and the surge in volatility we have witnessed last week, derivatives market seem to have stabilized. Volatility has dropped for both BTC and ETH at the front end of the term structure, and funding rates returned positive for BTC while slowly rising for ETH. The period of market distress we have observed after the sudden risk-off event appears to have abated for now. However, skew has confirmed the trend we highlighted last week, as longer-dated volatility smiles remain skewed towards OTM calls and shorter tenors show a preference for OTM puts. While sentiment in the long-run still remains bullish, markets still show caution in the short term.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Volatility levels have dropped for short tenors while increasing at the back end of the term structure

BTC 25-Delta Risk Reversal

Is showing the same trend we have observed after the selloff, as longer-tenor smiles remained steadfastly call-skewed.

ETH Options

ETH SVI ATM Implied Volatility

Shows a slight decrease in premia for short tenors, while remaining constant for long-term ones.

ETH 25-Delta Risk Reversal

The magnitude of skew for short tenors has been strongly oscillating while remaining negative.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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