Andrew Melville
Research Analyst
Last Updated:
June 25, 2024
•
8 min read
Crypto Derivatives 25th June 24
As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.
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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
Yields have recovered the levels they lost in the last 3 days with a pickup in short-dated futures
ETH Annualised Yields
Trade in a tight range across the term structure between 9% and 13% at an annualised rate
Perpetual Swap Funding Rates
BTC Funding Rate
Funding rates continue to dip periodically negative after the fall in long leverage in perps on the 9th June
ETH Funding Rate
Does not show the same negative bias that we see in BTC perps, with the less liquid USDC-margined token trending higher close to 0.03%
BTC Options
BTC SVI ATM Implied Volatility
Ee see a strong rally in front-end volatility, resulting in a flattening in the vol term structure
BTC 25-Delta Risk Reversal
Short tenor vol smiles has skewed towards OTM calls while tenors longer than 30 days retain their bullish skew
ETH Options
ETH SVI ATM Implied Volatility
ETH sees the same increase in short-dated volatility as BTC, while trading at a 10-15 point premium
ETH 25-Delta Risk Reversal
ETH smiles trade with a skew towards OTM calls at all tenors in contrast to the bearish positioning we have seen develop over the last three days in BTC’s markets
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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