Enrico Crovini
Research Analyst
Last Updated:
October 2, 2024
•
8 min read
Crypto Derivatives 1st October 2024
Despite a general slow down in spot price action for both majors, their derivatives markets have shown confirmation of what we first noticed last week: clear indications of a return to short-term positive sentiment and bullish trading activity. The recent skew towards OTM calls has consolidated, and we now observe a call-skew for smiles across all tenors. Perpetual swap funding rates have been strongly oscillating, but have registered high positive values throughout the week. At the same time, the front end of the term structure for ATM options’ volatility has increased substantially near to the 30-day tenor, as the US election moves closer along the term structure: this is further evidence that the date is influencing market positioning.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
Short tenor futures yields have dropped and rebounded over the past week.
ETH Annualised Yields
ETH’s futures yields have grown significantly for short tenors in the past hours.
Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rate has registered consistent positive high levels.
ETH Funding Rate
ETH’s perpetual swap funding rate has showed positive values overall and peaked in the last few hours.
BTC Options
BTC SVI ATM Implied Volatility
Implied volatility has showed a strong increase for 30-day tenor options.
BTC 25-Delta Risk Reversal
Smiles have skewed strongly towards OTM calls at short tenors over the past fortnight.
ETH Options
ETH SVI ATM Implied Volatility
Implied volatility has showed an increase in levels for short-tenor options.
ETH 25-Delta Risk Reversal
ETH’s skews are also now positive across all tenors.
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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