Enrico Crovini
Research Analyst
Despite volatility levels having largely fluctuated for short-tenor ATM options, from the term structure we can once again observe that, as the US election approaches, volatility for options expiring after the election date is rising. We can additionally observe that skew for short-tenor options has been evolving positively in the past few days, with skew levels slightly rising similarly to what happened in mid-August, indicating a more neutral outlook despite the recent spot volatility. Concurrently, long-tenor options have consistently been pricing in higher volatility levels across the term structure, showing a stronger preference towards OTM calls.
BTC’s spot yields have increased for short tenors reaching 6%, and lowered for long tenors, now trading at 9% above spot.
ETH’s spot yields have overall been on the rise, but not showing the same increase for the short term as BTC.
After dropping negative for a short period, BTC perpetual funding rate has returned positive and is slowly recovering.
ETH’s perpetual swap funding rate is showing no sign of recovery and remains neutral.
short-dated volatility is oscillating, while volatility levels remain constant for long-tenor options.
skew levels have dropped towards puts in the past week for short tenors, but show signs of recovery in the past days.
shows the same increase in the term structure as BTC for short tenors.
ETH’s short-tenor skews have fallen more significantly than BTC’s, and show slower signs of recovery.
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