Crypto Derivatives 5 November 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.

In the days leading up to the election we’ve observed a decline in both futures implied yields and perpetuals funding rates. With election-related uncertainty and recent spot price fluctuations, it’s clear that traders are now hesitant to pursue leveraged exposure in BTC and ETH as aggressively as they did last week, when the buildup of leverage was evident. This points to a reduced appetite for high-stakes directional bets, as BTC’s implied volatility remains elevated and continues to rise. Despite this, BTC’s volatility smiles keep signalling a bullish sentiment. In contrast, ETH’s implied volatility levels have slowed and moved sideways over recent days, with options’ skew reflecting a more bearish short-term sentiment. The spotlight therefore remains on BTC as the election cycle reaches its conclusion.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

The term structure of volatility remains inverted and shows growing levels across tenors, especially at the front end.

BTC 25-Delta Risk Reversal

Skew levels are positive across all tenors, indicating a stronger bullish sentiment in the long term.

ETH Options

ETH SVI ATM Implied Volatility

ETH's implied volatility term structure remains heavily inverted, though levels are not rising as fast as BTC's.

ETH 25-Delta Risk Reversal

ETH’s volatility smiles now indicate demand for downside exposure in the short term, while longer tenors remain more bullish.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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