Crypto Derivatives 24th September 2024
Following the cut in the Fed funds interest rate on September 18, 2024 we have seen an increase in spot prices for both major coins and an overall positive sentiment in the derivatives markets. The futures implied yields term structure was largely inverted over the last week, with yields showing high levels for the short term. However, the curve has now disinverted, having returned to similar levels as of last week. Perp swaps funding rates have fully recovered for both tokens, after a long period of stagnant negative rates. While ATM implied volatility levels have been on a slight decline for both BTC and ETH options, skews have been on the rise across all tenors, indicating a general increase in preference towards calls, adding to the evidence of a growing bullish sentiment in derivatives markets after the interest rate cut.

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 futures yields have largely oscillated and now back to similar levels as of last week.

ETH Annualised Yields
ETH’s futures yields have evolved in the last week similarly to BTC’s.

Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rate has consistently traded positively over the past week.

ETH Funding Rate
ETH’s perpetual swap funding rate has recovered, now showing positive levels after a period of negative and neutral funding rate.

BTC Options

BTC SVI ATM Implied Volatility
Implied volatility has overall been on the decline across the term structure.

BTC 25-Delta Risk Reversal
BTC skew has been rising for short-dated options.

ETH Options

ETH SVI ATM Implied Volatility
Implied volatility has oscillated similarly to BTC’s and has fallen for short-tenor options.

ETH 25-Delta Risk Reversal
ETH’s skews have increased significantly after the interest rate cut.

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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