Enrico Crovini
Research Analyst
Last Updated:
September 3, 2024
•
8 min read
Crypto Derivatives 3rd September 2024
Despite volatility levels having largely fluctuated for short-tenor ATM options, from the term structure we can once again observe that, as the US election approaches, volatility for options expiring after the election date is rising. We can additionally observe that skew for short-tenor options has been evolving positively in the past few days, with skew levels slightly rising similarly to what happened in mid-August, indicating a more neutral outlook despite the recent spot volatility. Concurrently, long-tenor options have consistently been pricing in higher volatility levels across the term structure, showing a stronger preference towards OTM calls.
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 spot yields have increased for short tenors reaching 6%, and lowered for long tenors, now trading at 9% above spot.
ETH Annualised Yields
ETH’s spot yields have overall been on the rise, but not showing the same increase for the short term as BTC.
Perpetual Swap Funding Rates
BTC Funding Rate
After dropping negative for a short period, BTC perpetual funding rate has returned positive and is slowly recovering.
ETH Funding Rate
ETH’s perpetual swap funding rate is showing no sign of recovery and remains neutral.
BTC Options
BTC SVI ATM Implied Volatility
short-dated volatility is oscillating, while volatility levels remain constant for long-tenor options.
BTC 25-Delta Risk Reversal
skew levels have dropped towards puts in the past week for short tenors, but show signs of recovery in the past days.
ETH Options
ETH SVI ATM Implied Volatility
shows the same increase in the term structure as BTC for short tenors.
ETH 25-Delta Risk Reversal
ETH’s short-tenor skews have fallen more significantly than BTC’s, and show slower signs of recovery.
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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