Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC trades at range highs.

ETH Annualised Yields

Yields at short-dated tenors has mostly traded above longer-dated tenors following the announcement of an ETH ETF.

Perpetual Swap Funding Rates

BTC Funding Rate

Continued to trade positively over the past week as BTC spot price remains at range highs, although the volatility with which it traded towards the end of May has subdued.

ETH Funding Rate

Trades close to zero, at similar levels to BTC, indicating that investors are not currently opening heavily leveraged long positions.

BTC Options

BTC SVI ATM Implied Volatility

Vol at the front-end has increased from May’s monthly lows as BTC continues to trade at the top of its range.

BTC 25-Delta Risk Reversal

Skew at short-dated tenors has recovered from bearish levels as implied vol for OTM puts fell over the past week.

ETH Options

ETH SVI ATM Implied Volatility

Vol across the term structure has traded sideways following a muted reaction to the news of an ETH ETF.

ETH 25-Delta Risk Reversal

Trades higher at short-dated tenors as implied vol for OTM puts falls, and is skewed towards calls at all tenors.

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