Crypto Derivatives 12th November 2024
One week after the election, spot prices have shown remarkable strength, with BTC reaching new all-time highs following an explosive rise. ETH, while not yet at record levels, has also gained upward momentum, displaying a steady increase since the election date. In the derivatives market, sentiment has strengthened for both tokens: futures implied yields, perpetuals funding rates, and skew all indicate a highly positive outlook. ATM implied volatility, which initially dropped after the election event risk passed, has since surged, inverting the term structure. Both BTC and ETH now benefit from a powerful combination of spot price gains and robust bullish derivatives activity, signalling strong demand to participate in further upside potential.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
BTC’s yield term structure levels have risen strongly across all tenors but more so at the front end of the structure.
ETH Annualised Yields
ETH’s yield curve remains inverted, showing rising levels for all tenors.
Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rates return strongly positive after the election, showing increased demand for participation in the rally.
ETH Funding Rate
ETH’s funding rate is similar to BTC’s recent movements, returning to positive after a period of neutral levels.
BTC Options
BTC SVI ATM Implied Volatility
The term structure of volatility has re-inverted and shows growing levels across tenors, especially at the front end.
BTC 25-Delta Risk Reversal
Skew levels are positive across all tenors, indicating an overall strong bullish sentiment.
ETH Options
ETH SVI ATM Implied Volatility
ETH’s implied volatility term structure remains heavily inverted, mirroring BTC’s sharply increasing levels.
ETH 25-Delta Risk Reversal
ETH’s volatility smiles now indicate a strong demand for upside exposure across the term structure.
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
Table of contents
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