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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
Yields at short-dated expiries have recovered to the levels of longer-dated expiries, compressing the term structure
ETH Annualised Yields
Yields follow BTC’s upwards to trade in a tight range across the term structure across both markets
Perpetual Swap Funding Rates
BTC Funding Rate
A recovery in sentiment sees a persistent funding rate paid by long positions for leveraged exposure through the contract
ETH Funding Rate
Funding rates are more consistently positive in ETH than BTC, owing to excess bullishness that we have seen since the recovery in ETF approval chances in May
BTC Options
BTC SVI ATM Implied Volatility
Volatility levels continues in broadly the same monthly range, with shorter tenor vols falling in the last 24H
BTC 25-Delta Risk Reversal
We see a distinct upward trend in short tenor smiles back towards a neutral skew
ETH Options
ETH SVI ATM Implied Volatility
ETH sees the same rangebound movements at a 10-15 point premium above BTC’s levels
ETH 25-Delta Risk Reversal
BTC’s upward trend is replicated in ETH’s markets at short tenors, pushing further towards the bullish call skew seen in longer tenors
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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