Andrew Melville
Research Analyst
Last Updated:
August 15, 2024
•
8 min read
Crypto Derivatives 13th August 24
Following the market selloff and the surge in volatility we have witnessed last week, derivatives market seem to have stabilized. Volatility has dropped for both BTC and ETH at the front end of the term structure, and funding rates returned positive for BTC while slowly rising for ETH. The period of market distress we have observed after the sudden risk-off event appears to have abated for now. However, skew has confirmed the trend we highlighted last week, as longer-dated volatility smiles remain skewed towards OTM calls and shorter tenors show a preference for OTM puts. While sentiment in the long-run still remains bullish, markets still show caution in the short term.
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Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
The curve has steepened slightly as front end yields fall while remaining steady for longer tenors.
ETH Annualised Yields
Still trade slightly lower than BTC’s at all tenors with a similar steep shape of the term structure
Perpetual Swap Funding Rates
BTC Funding Rate
Have started trading positive again as traders enter express demand for long exposure
ETH Funding Rate
Is still trading negative but slowly recovering
BTC Options
BTC SVI ATM Implied Volatility
Volatility levels have dropped for short tenors while increasing for longer ones
BTC 25-Delta Risk Reversal
is showing the same trend we have observed after the selloff, as longer-tenor smiles remained steadfastly call-skewed
ETH Options
ETH SVI ATM Implied Volatility
Shows a decrease in premia for short tenors, while remaining constant for long-term ones
ETH 25-Delta Risk Reversal
The magnitude of skew for short tenors has been strongly oscillating while remaining negative
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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