Andrew Melville
Research Analyst
Last Updated:
October 29, 2024
•
8 min read
Crypto Derivatives 29th October 2024
The bullish pre-election positioning that we saw building up earlier in October has continued with vigour over the last 3 days. Futures-implied yields, perpetual swap funding rates, and now implied volatility have risen to months-long highs, with short-tenor option expiries out-performing to invert the term structure of volatility in a similar manner to the shape we observed ahead of the ETF launch in January. ETH derivatives indicate an expectation that the second largest crypto-currency will continue its years-long trend of under-performance through the event risk, lagging BTC in all metrics and assigning a 10 point volatility premium over BTC, but echo the trend of increasing bullish sentiment that we see expressed across markets.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
The inversion of the yield term structure has deepened, reflecting increasing leveraged long positioning ahead.
ETH Annualised Yields
Futures yields invert, albeit to lower levels than BTC, reflecting bullish-but-not-that-bullish positioning ahead of the election.
Perpetual Swap Funding Rates
BTC Funding Rate
Intense and sustained positive funding rates reflect a willingness to pay for leveraged long exposure into next week’s event risk.
ETH Funding Rate
ETH’s funding rate reflects the same conclusion as it’s futures yields - bullish positioning but without the same exuberance as BTC.
BTC Options
BTC SVI ATM Implied Volatility
The term structure of volatility has finally inverted after months of an election-dated volatility premium.
BTC 25-Delta Risk Reversal
A brief reversal of short-dated sentiment over the last 2 days has resolved with a return to a bullish skew towards OTM calls.
ETH Options
ETH SVI ATM Implied Volatility
ETH’s term structure has inverted heavily at short-dated tenors, indicating a rush into pre-election positioning.
ETH 25-Delta Risk Reversal
Despite lagging BTC’s bullishness in futures and perps, ETH’s vol smiles are similarly skewed towards upside exposure.
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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