Crypto Derivatives 17th September 2024
The spot recovery we observed last week, for both tokens, has slowed down over the past days, with prices remaining within range-bound action. ETH’s futures yields have dropped for short tenors: while we can observe a flat term-structure for BTC’s yields similar to last week, ETH’s now results in a steep structure. Implied volatility levels have overall dropped similarly for both tokens, with ETH’s options remaining at a consistent volatility premium than BTC’s across all tenors. However, volatility levels for short tenors appear to be on the rise once again. Despite oscillation in implied volatility skew, sentiment has moved sideways, not expressing changes from last week across all tenors.
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 spot yields have largely oscillated and sightly decreased at the front end of the term structure.
ETH Annualised Yields
ETH’s spot yields have dropped at the front end of the term structure.
Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rate has overall traded positively over the past week.
ETH Funding Rate
ETH’s perpetual swap funding rate is showing some initial signs of recovery after a long period of strongly negative rates.
BTC Options
BTC SVI ATM Implied Volatility
Implied volatility has overall dropped across the term structure.
BTC 25-Delta Risk Reversal
BTC skew has moved overall sideways, but short-tenor smiles are slightly more put-skewed with respect to last week.
ETH Options
ETH SVI ATM Implied Volatility
Shows the same decrease in the term structure as BTC..
ETH 25-Delta Risk Reversal
ETH’s skews have moved sideways and remain at similar levels to last week.
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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