Crypto Derivatives 8th October 2024
With less than 30 days left until the US Presidential election, the term structure of ATM implied volatility is clearly showing the same dislocation that we have observed for several months. Implied volatility levels for 30-day-tenor options have moved further up, now trading similar levels to longer-dated options. Despite the relative kink, outright volatility levels have dipped in the past week for both majors. Spot price downside volatility in early October has been reflected in derivatives sentiment, with volatility smiles skewing towards puts at pre-election expiries. While levels have since recovered for BTC OTM options, showing a preference overall for OTM calls, ETH volatility smiles still exhibit a premium assigned to puts at short tenors.
Futures Implied Yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
7D futures yields have oscillated significantly, resulting in a flat term structure.
ETH Annualised Yields
ETH’s futures yields term structure shows the same flattening as that of BTC but at 1 point lower at all tenors.
Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rate has registered consistent positive high levels.
ETH Funding Rate
ETH’s perpetual swap funding rate has showed positive values, dipping strongly negatively only once in the past week.
BTC Options
BTC SVI ATM Implied Volatility
Implied volatility levels are slightly lower than last week, but still show a dislocation for the US election on Nov 5, 2024.
BTC 25-Delta Risk Reversal
Smiles have skewed towards puts for short tenors around the recent short-lived sell-off, before recovering.
ETH Options
ETH SVI ATM Implied Volatility
Implied volatility has showed a decrease in overall levels.
ETH 25-Delta Risk Reversal
ETH’s skews have dropped for short-dated OTM options, but have not recovered as BTC’s have.
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
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