Crypto Derivatives 18th June 24

Yields implied by futures prices have declined over the past week, steepening term structures that have experienced several inversions in the past month. The reduction in leverage has been more pronounced for BTC compared to ETH, as ETH's perpetual swap funding rate remains active but below the levels observed at the end of May. Volatility expectations are trending slightly upward, in line with the increased market choppiness over the last week, and ETH volatility markets continue to command a premium. Reflecting their futures markets, ETH's skew indicates slightly more bullish positioning than BTC's, with both vol smiles moving closer to neutral for shorter-dated expiries.

Crypto

Derivatives

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Short tenor yields have fallen to their lowest levels in the last month as demand for leverage falls

ETH Annualised Yields

ETH yields have underperformed BTC’s during the latest period of poor spot performance and deleveraging in futures

Perpetual Swap Funding Rates

BTC Funding Rate

Funding rates echo the lackustre performance in futures yields, remaining pinned to 0% in either direction during the leak lower in spot price

ETH Funding Rate

Has traded at low levels for the month, but exhibits more activity than BTC’s perpetual swap markets

BTC Options

BTC SVI ATM Implied Volatility

Implied volatility has risen consistently over the last 3 days during a period of increased choppiness

BTC 25-Delta Risk Reversal

The choppy move lower in spot price is reflected in a turn towards OTM calls of the volatility smile that is strongest at shorter-dated options

ETH Options

ETH SVI ATM Implied Volatility

ETH’s volatility remains elevated above that of BTC’s across the term structures, albeit with the same steep shape that contrasts its brief inversion at the end of May