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
The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.
This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.
The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.
Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.
Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.
© 2024 OKX. Cet article peut être reproduit ou distribué dans son intégralité, ou des extraits de 100 mots ou moins de cet article peuvent être utilisés, à condition qu'il s'agisse d'une utilisation non commerciale. Toute reproduction ou distribution de l'intégralité de l'article doit également comporter une mention bien visible : « Cet article est © 2024 OKX et est utilisé avec autorisation ». Les extraits autorisés doivent citer le nom de l'article et inclure l'attribution, par exemple « Nom de l'article, [nom de l'auteur le cas échéant], © 2024 OKX. » Aucune œuvre dérivée ou autre utilisation de cet article n'est autorisée.
