Andrew Melville
Research Analyst
Last Updated:
August 20, 2024
•
8 min read
Crypto Derivatives 20th August 24
Since recovering from the selloff in the first week of August, spot prices have largely moved sideways. This period of relative calmness has opened up a space for a divergence in sentiment between BTC and ETH, with metrics across derivatives markets indicating a stronger bearishness assigned to the latter in the short term. ETH futures-implied yields trade significantly lower, perpetual swap funding rates have moved intermittently negative, and options on ETH trade with a premium to BTC’s implied volatility across the term structure, with short-tenor OTM puts afforded an implied volatility premium over OTM calls.
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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 curve has flattened over the last 24H, but remains in the same 9-11% rangeThe curve has steepened slightly as front end yields fall while remaining steady for longer tenors.
ETH Annualised Yields
ETH yields trade lower than BTC’s for each tenor, with short-dated expiries underperforming the most.
Perpetual Swap Funding Rates
BTC Funding Rate
A short period of positive funding rates has returned to neutral, indicating low demand to pay for leveraged long exposure.
ETH Funding Rate
Has continued to trade intermittently negative over the past two weeks.
BTC Options
BTC SVI ATM Implied Volatility
Short-dated volatility has fallen to around 50%, while longer tenor optionality has remained near to 60%.
BTC 25-Delta Risk Reversal
We still see a divergence in skew between put-skewed short-tenor smiles and call-skewed longer-tenor smiles.
ETH Options
ETH SVI ATM Implied Volatility
Shows the same steepening in the term structure as BTC but with a premium of 10 points or greater at all tenors.
ETH 25-Delta Risk Reversal
ETH short-tenor smiles remain more strongly put-skewed than BTC’s and we see the same skew towards calls at a 90D tenor.
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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