Crypto Derivatives 2 July 2024

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter Index

BTC Sentiment

ETH Sentiment

Futures

BTC Annualised Yields

Yields at short-dated expiries have recovered to the levels of longer-dated expiries, compressing the term structure

ETH Annualised Yields

Yields follow BTC’s upwards to trade in a tight range across the term structure across both markets

Perpetual Swap Funding Rates

BTC Funding Rate

A recovery in sentiment sees a persistent funding rate paid by long positions for leveraged exposure through the contract

ETH Funding Rate

Funding rates are more consistently positive in ETH than BTC, owing to excess bullishness that we have seen since the recovery in ETF approval chances in May

BTC Options

BTC SVI ATM Implied Volatility

Volatility levels continues in broadly the same monthly range, with shorter tenor vols falling in the last 24H

BTC 25-Delta Risk Reversal

We see a distinct upward trend in short tenor smiles back towards a neutral skew

ETH Options

ETH SVI ATM Implied Volatility

ETH sees the same rangebound movements at a 10-15 point premium above BTC’s levels

ETH 25-Delta Risk Reversal

BTC’s upward trend is replicated in ETH’s markets at short tenors, pushing further towards the bullish call skew seen in longer 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

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