Crypto Derivatives 11th June 24
With BTC failing once again to break range highs, implied vol at the front-end of the term structure for both majors has increased over the last week, whilst vol at the back-end has either drifted lower, or continues to trade sideways. This had led to a more compressed term structure. The vol smile skew for BTC has largely traded sideways, and still remains skewed towards OTM calls. However, ETH is skewed towards OTM puts at short-dated tenors as implied vol for OTM puts has risen approximately 8% over the last week. In addition, demand for leveraged long exposure has fallen as investors look to exercise caution following BTC’s inability to break range highs. Annualised yields have fallen across the term structure, and funding rates continue to trade close to zero.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668243d28ddaafdbe31fe4c_nicole-geri-ZoECXdbjs2s-unsplash%20(1).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666824e796532c17f643474b_1.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666824f207f3e24e9bfe0ba1_2.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666824fe677e191525e1ce7b_3.png)
BTC Annualised Yields
Yields across the term structure fell as BTC failed to break range highs once more.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682508fb6eb3f6ca7097c2_4.png)
ETH Annualised Yields
The previously inverted term structure has since corrected itself as yields fell, most notably at the front-end.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682512755e1303c0dbf9fe_5.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Has slipped lower, and now trades slightly negative, indicating that the futures price trades at similar levels to the spot price.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826659c9d42496bd7a6f7_6.png)
ETH Funding Rate
Trades close to zero, with the illiquid USDC-margined token trading 1bp higher.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668266eee57431376da7846_7.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668267f6b658c8d91f7f63d_8.png)
BTC SVI ATM Implied Volatility
Vol at the front-end has increased over the weekend, whilst vol at the back-end continues its longer trend of drifting lower.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668268c73426b9959f7fc13_9.png)
BTC 25-Delta Risk Reversal
Skew at all tenors has largely traded sideways over the last week, and still remains skewed towards OTM calls.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826961f2fbc4205a7146c_10.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826a13f55460ebe57a19a_11.png)
ETH SVI ATM Implied Volatility
Vol at the front-end has increased over the weekend as ETH was rejected from range highs, whilst vol at the back-end trades sideways, leading to a compression in the term structure.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826ab8d378967ad9442ec_12.png)
ETH 25-Delta Risk Reversal
Skew at short-dated tenors has fallen as vol for OTM puts has risen by roughly 8%.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826b4e2bd4b9207045647_13.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826c11de54c0d87bde7d1_14.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826cfefab96bf2c1904a3_15.png)
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826ef96532c17f644efc4_16.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/666826fafb6eb3f6ca7246a6_17.png)
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668270b595d9addaa5e9fb5_18.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682717c705cafbe29f4823_19.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682720d9091172c4d972d2_20.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668272d1f1b410c397ea767_21.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682737a90915f81bc0b6ab_22.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668274249929acad30d3970_23.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668274b5182e2732b0e607c_24.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66682757bf0b290f3861b3ab_25.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
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