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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.
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
![fig1 Currency-Combined-Spot-Yields](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/3GEzKXMSE1lMhm5C5KLZnC/42ae42eed30f894f7caad4fe90e74d39/fig1_Currency-Combined-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ATM Implied Volatility, 1-Month Tenor
![fig2 Currency-Combined-1M-ATM-VOL-ETH](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5NP0XsUt7hdjbH5IQQp7su/980048ba26b50cff3633c95c6e3bd407/fig2_Currency-Combined-1M-ATM-VOL-ETH.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Crypto Senti-Meter Index
BTC Sentiment
![fig3 btc senti 20240709 close](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6TVSN0dmf33743BeOzurwg/b14ab2a6af8361973f233e64ffdc1cdc/fig3_btc_senti_20240709_close.png?x-oss-process=image/resize,w_1350,h_650/format,webp)
ETH Sentiment
![fig4 eth senti 20240709 close](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/56Rn2moLy9mItRwiIjZvoS/625b583cca9ae2e24de708db638aa94c/fig4_eth_senti_20240709_close.png?x-oss-process=image/resize,w_1350,h_650/format,webp)
Futures
![fig5 Futures term structure](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6b5vAW9h0qpnaYbhYVBdjU/953886245b0ce9363124c4176f479860/fig5_Futures_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
BTC Annualised Yields
Short tenor yields rally but do not recover the levels that they traded at before the selloff in spot
![fig6 BTC-Spot-Yields](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2Y3rAJ7AwiOmWDAewzXODb/61c1f836b2ab0d69b0ee114698e516fb/fig6_BTC-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Annualised Yields
Trade at similar levels to BTC across the board having spiked further negative in the selloff
![fig7 ETH-Spot-Yields](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1cbqyY8GgWVqrLD1phS8Hp/464b613a9869060853386b0c09b84f6f/fig7_ETH-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
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
![fig8 BTC USDC Perpetual](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/hwYIqas34acyMnT6wYnh2/ef8bd219a92362caae51a12ecd154f76/fig8_BTC_USDC_Perpetual.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Funding Rate
Does not show the same sparks of bullish demand as BTC despite spot following the rally higher
![fig9 ETH USDC Perpetual](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/VmQSN5dOGahlHJm3jCkSP/259d6536d33cb274f36b83eea5cab037/fig9_ETH_USDC_Perpetual.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
BTC Options
![fig10 BTC SVI Vol term structure](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/7h7dXSomhGEYjwDUXKDQJv/67563d57bb5525f81230e9b261463fec/fig10_BTC_SVI_Vol_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
BTC SVI ATM Implied Volatility
Short tenor volatility levels have rallied more than 10 points, compressing the term structure
![fig11 Composite BTC SVI ATM volatility](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/18At4MCxYBXPTvdhWDcmjL/5e51f6b4ef5405934a9cafff612d7aa4/fig11_Composite_BTC_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
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
![fig12 Single Tenor Composite BTC SVI PC skew](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/8L0Sn1M8nvP3tAIaPlsEB/d64825384f504d9fcfb525dd0c7ca87f/fig12_Single_Tenor_Composite_BTC_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Options
![fig13 ETH SVI Vol term structure](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2q4c8n3ekxzy43R2AWXlI/6afd67e0fcfa8188f015ebfd4cd0ddc9/fig13_ETH_SVI_Vol_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
ETH SVI ATM Implied Volatility
ETH’s term structure has flattened even further than BTC’s and retains its premium of 10 vol points
![fig14 Composite ETH SVI ATM volatility](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/3KP3DqxsOxZQVorwGKJEG4/fee9405d263ae2ee7a43fbff5a11e645/fig14_Composite_ETH_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH 25-Delta Risk Reversal
Spiked harder and faster than BTC, but matches its neutral-to-bearish positioning across the term structure
![fig15 Single Tenor Composite SVI PC skew](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1rmH7h6CuQfGQzctFWgKmc/bcf99aa7cb432b4c566b04e6dabb1fb8/fig15_Single_Tenor_Composite_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![fig16 Exchange comparison BTC ATM Vol](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5d4uYRihn6DFaCI0osd7Ks/d7f95d6924c3681b0b6e149d6efd0040/fig16_Exchange_comparison_BTC_ATM_Vol.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH, 1-Month Tenor, SVI Calibration
![fig17 Exchange comparison ETH ATM Vol](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5dHlDxahrI0l0wTjYSFopj/11468fec24cf1379a7ea747edc2d08c3/fig17_Exchange_comparison_ETH_ATM_Vol.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
![fig18 Exchange Comparison Put-Call Skew BTC](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2ZKTy5khGXqzFU4NoIcC55/9e4595ea652911158e40c49951e9c662/fig18_Exchange_Comparison_Put-Call_Skew_BTC.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![fig19 Exchange Comparison Put-Call Skew ETH](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/7eoiiCN1iB83Ed8CqXsNW9/5283291c7d7af45996ae1ba321a735b1/fig19_Exchange_Comparison_Put-Call_Skew_ETH.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Market Composite Volatility Surface
![fig20 v2composite snap BTC SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/ENOU96L1AbYLqN5rRLVQ9/eec56a307d1e0e19256b5419d57944c9/fig20_v2composite_snap_BTC_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig21 v2composite snap ETH SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/32pFDCb5ysdM1AMxSZS4pf/3c9934fd6a9ed5cb9b10f70b7d96f199/fig21_v2composite_snap_ETH_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Listed Expiry Volatility Smiles
![fig22 BTC BTC-26JUL24 Listed Expiry](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1oMNyNM1ox81Ct79ZdcQw3/267bc55c57ff8f5af81863fff2cd8fc9/fig22_BTC_BTC-26JUL24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig23 ETH ETH-26JUL24 Listed Expiry](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/c0Ko6YkzqlMWXnBhQZIrD/ee2106d7e87ad6949ddfdfccdc8ca738/fig23_ETH_ETH-26JUL24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Cross-Exchange Volatility Smiles
![fig24 Exchange comparison BTC SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5pwbHRfgq4JRUUnBXOAhVC/d23c3e6c90674ae7a3b51c1b9aa06c4c/fig24_Exchange_comparison_BTC_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig25 Exchange comparison ETH SMILES.moneyness](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/a61Ons8nr5NX8ZK1ul10T/43d64c93cb5e55a5a9b468f6925989eb/fig25_Exchange_comparison_ETH_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Constant Maturity Volatility Smiles
![fig26 BTC-SVI Constant Maturity](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/Z1dt8CtMgAldEc1UBCjOP/4dcb1351d66fae2c979843fe93f06261/fig26_BTC-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig27 ETH-SVI Constant Maturity](https://static.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5jUwATPYX4wIKyCrJwXY1/c3f07c70dfab32db945fb2f1678307ca/fig27_ETH-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
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