Crypto Derivatives 14th May 24
Volatility has gradually risen across the term structure as BTC trades near its range lows of $60K, but has still not deviated from its longer term downward trend. ETH continues to trade 5-7 vols higher than BTC. Despite a strong start to the month where skew recovered following the spot sell-off which saw investors purchase OTM puts for downside protection, the skew at short-dated tenors has traded with some uncertainty recently. ETH’s skew continues to trade lower than BTC’s, indicating more bearish positioning. Leverage - indicated by perpetual swap funding rates and futures-implied yields - has increased, particularly at short-dated tenors which have risen beyond longer-dated tenors, indicating demand for leveraged long exposure as both majors sit at precarious levels.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66433fe12c6821fe17844ca0_kellen-riggin-AD7QEaCHaKA-unsplash%20(2).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435d88ff53a139670763f1_Currency-combined%20Spot%20Yields.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435da8528082fb6ca82cf7_Currency-combined%20atm%20vol%20chart.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435dc9d98990e844e5befe_Futures%20term%20structure.png)
BTC Annualised Yields
Yields at short-dated tenors rose beyond longer-dated tenors as BTC bounced at $60K.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435dd27990f950f011d205_BTC%20Spot%20Yields.png)
ETH Annualised Yields
The increase in yields is far less prominent compared to BTC, continuing to trade lower at short-dated tenors.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ddf813a5dbae07ed5a8_ETH%20Spot%20Yields.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Continued to trade near zero throughout the week, but rose sharply as BTC bounced at $60K, indicating a sudden demand for leveraged long exposure.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ded81a13161972efe76_BTC_USDC%20Perpetual.png)
ETH Funding Rate
Has traded higher than BTC over the past week, particularly in the more illiquid USDC-margined token.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435df8d4e543c32d5ec63e_ETH_USDC%20Perpetual.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e11af64c5333107bc29_BTC%20SVI%20Vol%20term%20structure.png)
BTC SVI ATM Implied Volatility
Vol has been rising steadily within the past week, where the front-end of the term structure briefly became inverted as vol at short-dated tenors spiked.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e1c45fb4e55b64376fe_BTC-SVI%20atm%20vol%20timeseries.png)
BTC 25-Delta Risk Reversal
Skew at current levels is neutral as there is no obvious preference for OTM call or put options.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e25b32dd9e7dcf6fdb5_BTC-SVI%2025delta%20skew.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e326826d58d553515f9_ETH%20SVI%20Vol%20term%20structure.png)
ETH SVI ATM Implied Volatility
Has followed a similar pattern to BTC, but still trades 5-7 vols higher across the compressed term structure.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e3fedfb373814622a82_ETH-SVI%20atm%20vol%20timeseries.png)
ETH 25-Delta Risk Reversal
Is slightly more bearish at shorter-dated tenors, but nothing like the bearishness observed at the beginning of the month.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e494e5aec653687a33b_ETH-SVI%2025delta%20skew.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e62c1e5a04f9cf8744f_Exchange_comparison_BTC_ATM_Vol.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e6d2c8ccdc242065286_Exchange_comparison_ETH_ATM_Vol.png)
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435e97f65522544a3014e9_Put-Call%20Skew%20BTC.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ea1c1c4a60998913982_Put-Call%20Skew%20ETH.png)
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435eb577d2c92c98c969cc_v2composite_snap_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ec0f6766d23caa0b0c5_v2composite_snap_ETH_SMILES.moneyness.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ecc2e9dd047cdc59c56_BTC%20BTC-31MAY24%20Listed%20Expiry.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ed8ff53a1396708dbbe_ETH%20ETH-31MAY24%20Listed%20Expiry.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435ef91da6a3f1b63d99e8_Exchange_comparison_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435f075ed7f07020687440_Exchange_comparison_ETH_SMILES.moneyness.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435f1783ec760397b9acbe_BTC-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66435f212c0c454b58b27356_ETH-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
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