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.
Derivatives markets continue to reflect the bullish momentum of recent weeks. Spot yields are approaching the positive highs observed last week, signalling robust demand as traders are willing to pay a premium for leveraged long exposure via the futures contracts. Skew levels and perpetual contracts funding rates remain firmly positive, reinforcing the optimistic sentiment and indicating that market participants are seeking exposure to upwards price action. Meanwhile, implied volatility remains within a range-bound pattern, while the term structure remains inverted. Current levels of inversion have yet to surpass the heightened activity seen during the pre-election period, but remain closely linked to spot movements.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
The term structure of implied volatility remains inverted and shows range-bound movements across tenors.
BTC 25-Delta Risk Reversal
Skew levels are positive across all tenors, indicating a strong bullish sentiment.
ETH Options
ETH SVI ATM Implied Volatility
ETH's implied volatility term structure remains heavily inverted and mirrors BTC’s rangebound activity.
ETH 25-Delta Risk Reversal
ETH’s volatility smiles indicate demand for upside exposure across all tenors, but not as strongly as for BTC.
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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