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Last Updated:  
August 15, 2024
8 min read

Crypto Derivatives 13th August 24

Following the market selloff and the surge in volatility we have witnessed last week, derivatives market seem to have stabilized. Volatility has dropped for both BTC and ETH at the front end of the term structure, and funding rates returned positive for BTC while slowly rising for ETH. The period of market distress we have observed after the sudden risk-off event appears to have abated for now. However, skew has confirmed the trend we highlighted last week, as longer-dated volatility smiles remain skewed towards OTM calls and shorter tenors show a preference for OTM puts. While sentiment in the long-run still remains bullish, markets still show caution in the short term.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter Index

BTC Sentiment

ETH Sentiment

Futures

BTC Annualised Yields

The curve has steepened slightly as front end yields fall while remaining steady for longer tenors.

ETH Annualised Yields

Still trade slightly lower than BTC’s at all tenors with a similar steep shape of the term structure

Perpetual Swap Funding Rates

BTC Funding Rate

Have started trading positive again as traders enter express demand for long exposure

ETH Funding Rate

Is still trading negative but slowly recovering

BTC Options

BTC SVI ATM Implied Volatility

Volatility levels have dropped for short tenors while increasing for longer ones

BTC 25-Delta Risk Reversal

is showing the same trend we have observed after the selloff, as longer-tenor smiles remained steadfastly call-skewed

ETH Options

ETH SVI ATM Implied Volatility

Shows a decrease in premia for short tenors, while remaining constant for long-term ones

ETH 25-Delta Risk Reversal

The magnitude of skew for short tenors has been strongly oscillating while remaining negative

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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