Crypto Derivatives 20th Feb 24

Key Insights

Since the previous update, both BTC and ETH annualised yields have continued to rise, reaching their highest levels since the buildup of leverage preceding BTC's ETF announcement. Continued positive funding rates for BTC and ETH perpetual swaps indicate demand for leveraged long exposure. BTC's SABR ATM implied volatility has risen significantly across all tenors, with a strong skew towards OTM calls in BTC's 25-Delta Risk Reversal, especially at longer-dated tenors. ETH's volatility has also increased notably, particularly at the 3-month tenor, but with a less bullish sentiment at shorter-dated tenors, indicated by a tilt towards puts in the 25-Delta Risk Reversal. Both BTC and ETH implied vol surfaces have trended upward over the past 30 days, suggesting ongoing market volatility across derivatives markets.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

ETH Annualised Yields

Perpetual Swap Funding Rates

BTC Funding Rates

ETH Funding Rates

BTC Options

BTC SABR ATM Implied Volatility

BTC 25-Delta Risk Reversal

ETH Options

ETH SABR ATM Implied Volatility

ETH 25-Delta Risk Reversal

Volatility Surface

BTC Implied Volatility Surface

ETH Implied Volatility Surface

Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration.

Volatility Smiles

Historical SABR Volatility Smiles

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