Andrew Melville
Research Analyst
Last Updated:
April 23, 2024
•
8 min read
Crypto Derivatives 16th April 24
Funding rates and future-implied yields are near their lowest levels in more than a month after the weekend’s spot selloff took prices back to the bottom end of the sideways trending range. Volatility at short tenor options rallied, causing an inversion in both BTC and ETH’s term structures at the front end, without lifting volatility levels at longer-dated expiries. The rise in volatility was matched by a strong skew towards OTM puts of volatility smiles at all tenors less than 3-months, indicating a strong switch in sentiment towards a demand for downside protection.
.jpg)
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Futures
BTC Annualised Yields
Yields trade near their lowest levels in over a month as spot has failed to continue it’s rally.
ETH Annualised Yields
The term structure of ETH yields is slightly lower and more compressed across its term structure than BTC’s.
Perpetual Swap Funding Rates
BTC Funding Rate
Has continued to trade intermittently negative over the last week as spot price trades at the bottom of its monthly range.
ETH Funding Rate
Dipped strongly negative during the selloff on the evening of the 13th, but has remained close to zero in the days since.
BTC Options
BTC SVI ATM Implied Volatility
Short-tenor volatility has risen to invert the term structure once again at the front end.
BTC 25-Delta Risk Reversal
The rise of short-tenor volatility corresponds with their sharp skew towards OTM puts over the same period.
ETH Options
ETH SVI ATM Implied Volatility
Shows an inverted term structure at tenors shorter than 2 months, having rallied during the weekend’s selloff.
ETH 25-Delta Risk Reversal
Shows a similar skew towards OTM puts at tenors shorter than 3M, without skewing as strongly as in mid-March.
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
.jpg)
Free
PREMIUM
Institutional
BTC and ETH options trade close to their lowest levels all year
This week kicked off with a selloff in global bond markets, in part driven by inflationary concerns from the ongoing US-Iran conflict. Government bond yields at multi-decade highs in turn weighed on crypto risk sentiment. BTC briefly fell to $76K, a two-week low, while ETH tested the $2,100 support level. Despite the weakening macro backdrop, BTC has traded with volatility levels close to year-to-date lows, something we see reflected in options positioning too.
Free
PREMIUM
Institutional
Senate CLARITY Act markup incoming, yet crypto derivatives still muddied
The CLARITY Act "markup": Here's what you need to know.
Free
PREMIUM
Institutional
BTC breaches $82K while derivatives flag mixed signals
After a double-digit rally in April, BTC has continued its ascent, even briefly trading past $82K — its highest level since end-January. As such, Block Scholes’ Risk Appetite Indices for both BTC and ETH have surged past a value of 1 and into a region that has typically marked further bullish price momentum. Since 2021, BTC has rallied by more than 12% on a monthly basis on 17 occasions, 9 of which were followed by a second month of higher spot prices. However, despite a backdrop of easing geopolitical tensions and a major crypto bill in the "red zone", derivatives markets are sending mixed signals.