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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
With less than 30 days left until the US Presidential election, the term structure of ATM implied volatility is clearly showing the same dislocation that we have observed for several months. Implied volatility levels for 30-day-tenor options have moved further up, now trading similar levels to longer-dated options. Despite the relative kink, outright volatility levels have dipped in the past week for both majors. Spot price downside volatility in early October has been reflected in derivatives sentiment, with volatility smiles skewing towards puts at pre-election expiries. While levels have since recovered for BTC OTM options, showing a preference overall for OTM calls, ETH volatility smiles still exhibit a premium assigned to puts at short tenors.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
Implied volatility levels are slightly lower than last week, but still show a dislocation for the US election on Nov 5, 2024.
BTC 25-Delta Risk Reversal
Smiles have skewed towards puts for short tenors around the recent short-lived sell-off, before recovering.
ETH Options
ETH SVI ATM Implied Volatility
Implied volatility has showed a decrease in overall levels.
ETH 25-Delta Risk Reversal
ETH’s skews have dropped for short-dated OTM options, and have not recovered as BTC’s have.
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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