Crypto Derivatives 4th June 24

With few macro and crypto-specific events on the immediate horizon, volatility has largely continued to trade sideways in both majors over the past week as spot prices trade near range highs of $68.9K and $3.8K. The vol smile skew for BTC and ETH at short-dated tenors has increased from previous neutral levels, as implied vol for OTM puts has fallen. Over the past month, demand for leveraged long exposure in both majors has increased as futures yields have risen consistently, indicating that investors are willing to pay a premium above spot price in order to gain exposure to the underlying asset. Over a shorter lookback period of a few days, yields at short-dated tenors have fallen in both majors, although the long term trend remains intact.

Crypto

Derivatives

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC trades at range highs.

ETH Annualised Yields

Yields at short-dated tenors has mostly traded above longer-dated tenors following the announcement of an ETH ETF.

Perpetual Swap Funding Rates

BTC Funding Rate

Continued to trade positively over the past week as BTC spot price remains at range highs, although the volatility with which it traded towards the end of May has subdued.