Crypto Derivatives 18th June 24

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Short tenor yields have fallen to their lowest levels in the last month as demand for leverage falls

ETH Annualised Yields

ETH yields have underperformed BTC’s during the latest period of poor spot performance and deleveraging in futures

Perpetual Swap Funding Rates

BTC Funding Rate

Funding rates echo the lackustre performance in futures yields, remaining pinned to 0% in either direction during the leak lower in spot price

ETH Funding Rate

Has traded at low levels for the month, but exhibits more activity than BTC’s perpetual swap markets

BTC Options

BTC SVI ATM Implied Volatility

Implied volatility has risen consistently over the last 3 days during a period of increased choppiness

BTC 25-Delta Risk Reversal

The choppy move lower in spot price is reflected in a turn towards OTM calls of the volatility smile that is strongest at shorter-dated options

ETH Options

ETH SVI ATM Implied Volatility

ETH’s volatility remains elevated above that of BTC’s across the term structures, albeit with the same steep shape that contrasts its brief inversion at the end of May

ETH 25-Delta Risk Reversal

ETH’s skew remains slightly more bullish across the term structure, reflecting slightly more bullish positioning

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