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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
The latest venture of spot prices down to the bottom of their range has seen volatility levels at short tenors spike while traders rush to protect against further downside price action. While funding rates has remained steadily positive and short tenor future-implied yields have recovered some of their lost ground, volatility smiles remain skewed towards OTM puts and short tenor volatility has not fallen back from the levels of longer dated tenors. ETH retains its 10 vol point premium over BTC volatility at equivalent tenors and its term structure trades much flatter, continuing a trend that we have seen several times over the past month of range-bound price action.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
Short tenor yields rally but do not recover the levels that they traded at before the selloff in spot
ETH Annualised Yields
Trade at similar levels to BTC across the board having spiked further negative in the selloff
Perpetual Swap Funding Rates
BTC Funding Rate
We see some sporadic greenshoots of excess long demand in BTC but nothing like levels seen as recently as late June
ETH Funding Rate
Does not show the same sparks of bullish demand as BTC despite spot following the rally higher
BTC Options
BTC SVI ATM Implied Volatility
Short tenor volatility levels have rallied more than 10 points, compressing the term structure
BTC 25-Delta Risk Reversal
The rally in vol was matched by a strong tilt towards OTM puts, which has persisted in the days since the selloff
ETH Options
ETH SVI ATM Implied Volatility
ETH’s term structure has flattened even further than BTC’s and retains its premium of 10 vol points
ETH 25-Delta Risk Reversal
Spiked harder and faster than BTC, but matches its neutral-to-bearish positioning across the term structure
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
Listed Expiry Volatility Smiles
Cross-Exchange Volatility Smiles
Constant Maturity Volatility Smiles
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