Crypto Derivatives 12th March 24
Future-implied yields and perpetual swap funding rate showcase the high demand for leveraged long exposure enjoyed by traders during the rally in spot prices to all-time high levels. We also see a slightly inverted term structure of volatility, suggesting high demand for long volatility exposure at shorter tenors. However, the breakthrough of the psychological $70K and $4K barriers has brought with it an increased demand for downside protection in 3- to 6-month tenor puts (and more prominently for ETH), indicating that the market may be positioning itself against any potential retrace below the freshly printed recorded levels.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Futures
BTC Annualised Yields
Demand for leveraged long exposure reaches fresh highs for the month during the rally to above all-time highs.
ETH Annualised Yields
ETH yields match the exuberance in BTC’s futures markets, reflecting a similar demand for long delta-one exposure.
Perpetual Swap Funding Rate
BTC Funding Rate
Trade at their monthly highs in the last 24H as the early-week rally trend continues.
ETH Funding Rate
Shows some weakness in the USDC-margined contract, with token-margined contracts remaining positive.
BTC Options
BTC SABR ATM Implied Volatility
Continues to rally along side spot over the last two weeks, now trading between 70% and 80%.
BTC 25-Delta Risk Reversal
Remains skewed towards OTM calls, but the bullishness has trended downward over the last two days.
ETH Options
ETH SABR ATM Implied Volatility
Trades in a similar 70%-75% range to BTC’s as volatility has rallied alongside spot prices.
ETH 25-Delta Risk Reversal
Reflects far more bearish positioning when compared with BTC’s smiles at each tenor.
Volatility Surface
BTC Implied Vol Surface
While vol has risen across the surface, it is longer dated OTM puts that have risen the strongest over the last month.
ETH Implied Vol Surface
BTC’s out-performancer in 3-6 month tenor OTM puts is reflected in an even starker manner by ETH’s volatility surface.
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration.
Volatility Smiles
Historical SABR Volatility Smiles
Table of contents
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