Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields trade near their lowest levels in over a month as spot has failed to continue it’s rally.

ETH Annualised Yields

The term structure of ETH yields is slightly lower and more compressed across its term structure than BTC’s.

Perpetual Swap Funding Rates

BTC Funding Rate

Has continued to trade intermittently negative over the last week as spot price trades at the bottom of its monthly range.

ETH Funding Rate

Dipped strongly negative during the selloff on the evening of the 13th, but has remained close to zero in the days since.

BTC Options

BTC SVI ATM Implied Volatility

Short-tenor volatility has risen to invert the term structure once again at the front end.

BTC 25-Delta Risk Reversal

The rise of short-tenor volatility corresponds with their sharp skew towards OTM puts over the same period.

ETH Options

ETH SVI ATM Implied Volatility

Shows an inverted term structure at tenors shorter than 2 months, having rallied during the weekend’s selloff.

ETH 25-Delta Risk Reversal

Shows a similar skew towards OTM puts at tenors shorter than 3M, without skewing as strongly as in mid-March.

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