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Crypto Derivatives 21 May 2024

Block Scholes -Bl

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.

Volatility has continued to gradually rise across the term structure, with ETH spiking at all tenors over the last day following an upgrade in the probability of an Ethereum spot ETF being approved. With implied volatility spiking particularly at the front-end, the term structure has become inverted. Implied volatility for ETH options now sits at levels not seen since April. The vol smile skew also recovered towards calls over the past week, but has since sold off at the front-end as investors rush to purchase OTM puts for downside protection as spot price reaches range highs of $71K and a $3.7K. Leverage in futures markets has increased, particularly at short-dated tenors which have risen beyond longer-dated tenors, indicating a demand for leveraged long exposure that is stronger for ETH.

Futures Implied Yield, 1-Month Tenor

fig1 Currency-combined Spot Yields

ATM Implied Volatility, 1-Month Tenor

fig2 Currency-combined atm vol chart

Futures

fig3 Futures term structure

BTC Annualised Yields

Yields at tenors 1M and beyond have increased steadily over the past week as BTC approaches range highs.

fig4 BTC Spot Yields

ETH Annualised Yields

Yields at short-dated tenors rose beyond longer-dated tenors following an increase in the probability of an ETH ETF.

fig5 ETH Spot Yields

Perpetual Swap Funding Rates

BTC Funding Rate

Traded positively over the past week with some volatility, indicating increased demand for leveraged long exposure.

fig6 BTC USDC Perpetual

ETH Funding Rate

Recently spiked to levels not seen since April as the probability of an ETH ETF being approved this year was upgraded by analysts.

fig7 ETH USDC Perpetual

BTC Options

fig8 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

Vol has increased across the term structure, where the back-end has seen a more steady increase.

fig9 BTC-SVI atm vol timeseries

BTC 25-Delta Risk Reversal

Remains skewed towards calls at tenors 1M and beyond, but has spiked down to more neutral levels at short-dated tenors as implied volatility for OTM puts rises.

fig10 BTC-SVI 25delta skew

ETH Options

fig11 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

Gradually risen over the past week, and recently become heavily inverted following a spike in implied vol at the front-end.

fig12 ETH-SVI atm vol timeseries

ETH 25-Delta Risk Reversal

Has spiked down recently due to implied volatility for OTM puts rallying more than OTM calls.

fig13 ETH-SVI 25delta skew

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

fig14 Exchange comparison BTC ATM Vol

ETH, 1-Month Tenor, SVI Calibration

fig15 Exchange comparison ETH ATM Vol

Put-Call Skew by Exchange

BTC, 1-Month Tenor, 25-Delta SVI Calibration

fig16 Put-Call Skew BTC

ETH, 1-Month Tenor, 25-Delta SVI Calibration

fig17 Put-Call Skew ETH

Market Composite Volatility Surface

fig18 v2composite snap BTC SMILES.moneyness
fig19 v2composite snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

fig20 BTC BTC-31MAY24 Listed Expiry
fig21 ETH ETH-31MAY24 Listed Expiry

Cross-Exchange Volatility Smiles

fig22 Exchange comparison BTC SMILES.moneyness
fig23 Exchange comparison ETH SMILES.moneyness

Constant Maturity Volatility Smiles

fig24 BTC-SVI Constant Maturity
fig25 ETH-SVI Constant Maturity

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