Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

A significant fall in spot yields at short-dated tenors indicates a shift in market sentiment in the near term.

ETH Annualised Yields

A similar fall in yields can be observed in ETH, though not as sharp as the fall in BTC.

Perpetual Swap Funding Rates

BTC Funding Rate

Although positive, funding has cooled since reaching monthly highs, indicating less demand for leveraged long exposure.

ETH Funding Rate

Contrary to last week, funding in USDC-margined contracts are positive, whilst token-margined contracts remain low.

BTC Options

BTC SABR ATM Implied Volatility

Has fluctuated between 65% and 80%, indicating a period of market uncertainty, paving the way for a shift in market sentiment.

BTC 25-Delta Risk Reversal

Has shifted strongly towards puts at short-dated tenors, indicating increased bearish sentiment in the near-term.

ETH Options

ETH SABR ATM Implied Volatility

Sees similar, but wider fluctuations compared to BTC as spot prices have fallen since touching above $4k.

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

Compared to last week, vol has fallen. Furthermore, back end vols outperform the front end, resulting in a disinversion of the term structure.

ETH Implied Vol Surface

Vol for OTM puts at a 1W tenor has risen significantly, indicating a strong shift towards negative put skew.

Volatility Smiles

Historical SABR Volatility Smiles