Crypto Derivatives 12th March 24

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Demand for leveraged long exposure reaches fresh highs for the month during the rally to above all-time highs.

ETH Annualised Yields

ETH yields match the exuberance in BTC’s futures markets, reflecting a similar demand for long delta-one exposure.

Perpetual Swap Funding Rate

BTC Funding Rate

Trade at their monthly highs in the last 24H as the early-week rally trend continues.

ETH Funding Rate

Shows some weakness in the USDC-margined contract, with token-margined contracts remaining positive.

BTC Options

BTC SABR ATM Implied Volatility

Continues to rally along side spot over the last two weeks, now trading between 70% and 80%.

BTC 25-Delta Risk Reversal

Remains skewed towards OTM calls, but the bullishness has trended downward over the last two days.

ETH Options

ETH SABR ATM Implied Volatility

Trades in a similar 70%-75% range to BTC’s as volatility has rallied alongside spot prices.

ETH 25-Delta Risk Reversal

Reflects far more bearish positioning when compared with BTC’s smiles at each tenor.

Volatility Surface

BTC Implied Vol Surface

While vol has risen across the surface, it is longer dated OTM puts that have risen the strongest over the last month.

ETH Implied Vol Surface

BTC’s out-performancer in 3-6 month tenor OTM puts is reflected in an even starker manner by ETH’s volatility surface.

Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration.

Volatility Smiles

Historical SABR Volatility Smiles