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One of the largest global market selloffs since the COVID pandemic took its toll on crypto-spot prices, resulting in double-digit selloffs that were harder felt by ETH and alts than BTC. The selloff saw funding rates spike negative as accumualted long positions were likely liquidated, and the volatility term structure inverted as traders rushed to cover exposure to further downside moves in the short term. However, volatility levels did not spike above their year-to-date highs for either major, and longer-dated volatility smiles remained steadfastly skewed towards OTM calls. This indicates that while this was strong move in the short term, traders are not yet concerned about long-term performance.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
Volatility levels inverted strongly during the selloff, and have since trailed off
BTC 25-Delta Risk Reversal
Short tenor options skewed strongly towards puts, but longer-tenor smiles remained steadfastly call-skewed
ETH Options
ETH SVI ATM Implied Volatility
Shows a similar premium at short tenors to BTC, but trades 10-15 points higher across the term structure
ETH 25-Delta Risk Reversal
Short tenors have not shown the same recovery from their sharp put-skew during the selloff as BTC’s have
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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