Andrew Melville
Research Analyst
As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.
Yields have recovered the levels they lost in the last 3 days with a pickup in short-dated futures
Trade in a tight range across the term structure between 9% and 13% at an annualised rate
Funding rates continue to dip periodically negative after the fall in long leverage in perps on the 9th June
Does not show the same negative bias that we see in BTC perps, with the less liquid USDC-margined token trending higher close to 0.03%
Ee see a strong rally in front-end volatility, resulting in a flattening in the vol term structure
Short tenor vol smiles has skewed towards OTM calls while tenors longer than 30 days retain their bullish skew
ETH sees the same increase in short-dated volatility as BTC, while trading at a 10-15 point premium
ETH smiles trade with a skew towards OTM calls at all tenors in contrast to the bearish positioning we have seen develop over the last three days in BTC’s markets
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