Crypto Derivatives 7th May 24
Volatility has fallen following the recent spot sell-off, during which implied vol at short-dated tenors had spiked above longer-dated tenors and inverted the term structure. ETH continues to trade between 5-10 vols higher than BTC. In addition, the sell-off in spot saw a strong skew towards puts in both majors as investors became concerned with buying OTM puts for downside protection. This has since recovered - due to the selling of OTM puts - although ETH’s skew trades slightly lower than BTC at short-dated tenors, indicating more bearish positioning. Leverage as indicated by perpetual swap funding rates and futures-implied yields has increased slightly, but still remains far below the extremes observed in March.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Futures
BTC Annualised Yields
Yields at tenors 1M and below rose sharply above longer-dated tenors, indicating demand for leveraged long exposure.
ETH Annualised Yields
Similar behaviour can be observed in ETH, although it trades slightly lower than BTC at short-dated tenors.
Perpetual Swap Funding Rates
BTC Funding Rate
Currently close to zero, but has traded positively over the past week as demand for leveraged long exposure increases.
ETH Funding Rate
Has traded positively over the past week, with the more illiquid USDC-margined token trading higher than the token-settled rate, although both currently trade near zero.
BTC Options
BTC SVI ATM Implied Volatility
The term structure became inverted briefly as vol at short-dated tenors spiked, followed by a continuance of the downward trend observed before BTC sold off.
BTC 25-Delta Risk Reversal
Short-dated smiles skewed heavily towards puts during the sell off, before recovering.
ETH Options
ETH SVI ATM Implied Volatility
Despite spiking in a similar fashion to BTC, ETH vols trade 5-10 vols higher than BTC, across the term structure.
ETH 25-Delta Risk Reversal
Skew has recovered following the increased demand for downside protection during the spot price sell off.
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
Table of contents
Subscribe to our newsletter to receive weekly insights, straight in your inbox
Get notifications for new reports, analytics charts, and more