Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields at short-dated tenors rose beyond longer-dated tenors as BTC bounced at $60K.

ETH Annualised Yields

The increase in yields is far less prominent compared to BTC, continuing to trade lower at short-dated tenors.

Perpetual Swap Funding Rates

BTC Funding Rate

Continued to trade near zero throughout the week, but rose sharply as BTC bounced at $60K, indicating a sudden demand for leveraged long exposure.

ETH Funding Rate

Has traded higher than BTC over the past week, particularly in the more illiquid USDC-margined token.

BTC Options

BTC SVI ATM Implied Volatility

Vol has been rising steadily within the past week, where the front-end of the term structure briefly became inverted as vol at short-dated tenors spiked.

BTC 25-Delta Risk Reversal

Skew at current levels is neutral as there is no obvious preference for OTM call or put options.

ETH Options

ETH SVI ATM Implied Volatility

Has followed a similar pattern to BTC, but still trades 5-7 vols higher across the compressed term structure.

ETH 25-Delta Risk Reversal

Is slightly more bearish at shorter-dated tenors, but nothing like the bearishness observed at the beginning of the month.

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