Enrico Crovini
Research Analyst
Last Updated:
September 18, 2024
•
8 min read
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
.jpg)
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.
Free
PREMIUM
Institutional
Institutional Demand Underpins BTC’s Best Month Since April 2025
Strong institutional demand has helped underpin a close to 12% rally in BTC’s spot price month-to-date, while derivative markets continue to fade the rally. Spot Bitcoin ETFs saw their longest consecutive inflow streak since the 10/10 liquidation event, vacuuming more than $2.1B worth of bitcoins. Meanwhile, Strategy and BitMine have continued to showcase their insatiable appetite for bitcoin and ether, respectively: Strategy made its largest purchase since November 2024 earlier this month; BitMine recently purchased over 100,000 Ether. April is also on track to break 5 straight months of Spot Ethereum ETF outflows.