Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields trade near their month-long lows as spot continues to trade in its $60-70K range.

ETH Annualised Yields

Trade in a similarly tight range, but at much lower levels for shorter-dated tenors.

Perpetual Swap Funding Rates

BTC Funding Rate

Remains close to zero as demand for leveraged exposure remains low following the flush-out one month ago.

ETH Funding Rate

Indicates slightly higher rates in the more illiquid USDC-margined token, with the token-settled rate remaining close to zero.

BTC Options

BTC SVI ATM Implied Volatility

Volatility levels have collapsed over the last week, lead by under-performing vol at shorter-dated tenors.

BTC 25-Delta Risk Reversal

Short-dated smiles have skewed towards puts intermittently over the last month.

ETH Options

ETH SVI ATM Implied Volatility

Despite falling at a similar clip to BTC's, ETH vols remain elevated by around 5 vols across the term structure.

ETH 25-Delta Risk Reversal

Reports a persistent tilt towards OTM puts at shorter-dated tenors over the last month.

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