Crypto Derivatives 10th September 2024
After a 12-day period of spot decline since August 26, prices for both major tokens have finally started to recover over the past few days. This rise has positively affected short tenor futures yields, which have risen significantly in the past week, resulting in a flattened term structure. Implied volatility levels for BTC and ETH short-tenor options have been rising dramatically since the beginning of the month, while short-term skews have dropped and rebounded, now being at similar levels as of last week. As a result, ETH options are consistently skewed towards puts for short-tenor options, whereas short-term sentiment for BTC is neutral again and not expressing such a strong preference.

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, while moving sideways for long tenors.

ETH Annualised Yields
ETH’s spot yields has spiked dramatically at the front end of the term structure.

Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rate has oscillated between positive and negative over the past days.

ETH Funding Rate
ETH’s perpetual swap funding rate is showing no sign of recovery and has traded mostly negatively since the beginning of September.

BTC Options

BTC SVI ATM Implied Volatility
Implied Volatility has been overall rising, but much more significantly for short tenors.

BTC 25-Delta Risk Reversal
BTC skew remains neutral following a drop towards puts for short tenors and recovery back to similar levels as last week.

ETH Options

ETH SVI ATM Implied Volatility
Shows the same increase in the term structure as BTC for short tenors and a flattened term structure.

ETH 25-Delta Risk Reversal
ETH’s skews have risen from last week, with shorter tenors dropping and rebounding, but still more bearish than BTC.

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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