Andrew Melville
Research Analyst
Last Updated:
August 6, 2024
•
8 min read
Crypto Derivatives 6th August 24
One of the largest global market selloffs since the COVID pandemic took its toll on crypto-spot prices, resulting in double-digit selloffs that were harder felt by ETH and alts than BTC. The selloff saw funding rates spike negative as accumualted long positions were likely liquidated, and the volatility term structure inverted as traders rushed to cover exposure to further downside moves in the short term. However, volatility levels did not spike above their year-to-date highs for either major, and longer-dated volatility smiles remained steadfastly skewed towards OTM calls. This indicates that while this was strong move in the short term, traders are not yet concerned about long-term performance.
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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 fallen from their highest levels in months to barely positive in the recent spot sell off
ETH Annualised Yields
Trade slightly lower than BTC’s at all tenors with the same steep shape of the term structure
Perpetual Swap Funding Rates
BTC Funding Rate
Have traded intermittently negative as traders exit long positions and cover short exposure
ETH Funding Rate
Spiked far more negative than BTC’s, suggesting a possible liquidation event during the selloff
BTC Options
BTC SVI ATM Implied Volatility
Volatility levels inverted strongly during the selloff, and have since trailed off
BTC 25-Delta Risk Reversal
Short tenor options skewed strongly towards puts, but longer-tenor smiles remained steadfastly call-skewed
ETH Options
ETH SVI ATM Implied Volatility
Shows a similar premium at short tenors to BTC, but trades 10-15 points higher across the term structure
ETH 25-Delta Risk Reversal
Short tenors have not shown the same recovery from their sharp put-skew during the selloff as BTC’s have
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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