Crypto Derivatives 18th June 24
Yields implied by futures prices have declined over the past week, steepening term structures that have experienced several inversions in the past month. The reduction in leverage has been more pronounced for BTC compared to ETH, as ETH's perpetual swap funding rate remains active but below the levels observed at the end of May. Volatility expectations are trending slightly upward, in line with the increased market choppiness over the last week, and ETH volatility markets continue to command a premium. Reflecting their futures markets, ETH's skew indicates slightly more bullish positioning than BTC's, with both vol smiles moving closer to neutral for shorter-dated expiries.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667164c6c9bbed349a60ea85_raphael-brun-OY5zbCCrWN4-unsplash%20(1).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671670962e8d302d95998b7_fig1_Currency-Combined-Spot-Yields.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716713e5c77cdb100b676d_fig2_Currency-Combined-1M-ATM-VOL-ETH.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671671aa30d8f44ad420dbf_fig3_Futures%20term%20structure.png)
BTC Annualised Yields
Short tenor yields have fallen to their lowest levels in the last month as demand for leverage falls
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167875a4c4b70a8bfcae1_fig4_BTC-Spot-Yields.png)
ETH Annualised Yields
ETH yields have underperformed BTC’s during the latest period of poor spot performance and deleveraging in futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671678f8221da02e3ff1754_fig5_ETH-Spot-Yields.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Funding rates echo the lackustre performance in futures yields, remaining pinned to 0% in either direction during the leak lower in spot price
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167974de8ea560ce7bf90_fig6_BTC_USDC%20Perpetual.png)
ETH Funding Rate
Has traded at low levels for the month, but exhibits more activity than BTC’s perpetual swap markets
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671679fe5c77cdb100bdffb_fig7_ETH_USDC%20Perpetual.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167a6b9baaa04143bd342_fig8_BTC%20SVI%20Vol%20term%20structure.png)
BTC SVI ATM Implied Volatility
Implied volatility has risen consistently over the last 3 days during a period of increased choppiness
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167b0932d9cba2213312d_fig9_Composite%20BTC%20SVI%20ATM%20volatility.png)
BTC 25-Delta Risk Reversal
The choppy move lower in spot price is reflected in a turn towards OTM calls of the volatility smile that is strongest at shorter-dated options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167c3e0d8a7ac20472dbd_fig10_Single%20Tenor%20Composite%20BTC%20SVI%20PC%20skew.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667167fb4c4aaf843c0fd25b_fig11_ETH%20SVI%20Vol%20term%20structure.png)
ETH SVI ATM Implied Volatility
ETH’s volatility remains elevated above that of BTC’s across the term structures, albeit with the same steep shape that contrasts its brief inversion at the end of May
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716809e0d8a7ac20476163_fig12_Composite%20ETH%20SVI%20ATM%20volatility.png)
ETH 25-Delta Risk Reversal
ETH’s skew remains slightly more bullish across the term structure, reflecting slightly more bullish positioning
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716811c0e3cc3d808b2f44_fig13_Single%20Tenor%20Composite%20SVI%20PC%20skew.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667168199a923e496bb0f827_fig14_Exchange_comparison_BTC_ATM_Vol.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671682116ba67ee90536df8_fig15_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/65ae566e4e9b439983ededa5/6671682a9c2ba389ed3f455d_fig16_Exchange%20Comparison%20Put-Call%20Skew%20BTC.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716846bc493d6504d78047_fig18_v2composite_snap_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716850c2bbf8ab6e89b2bc_fig19_v2composite_snap_ETH_SMILES.moneyness.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671685b361563104903c789_fig20_BTC%20BTC-26JUL24%20Listed%20Expiry.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671686aa30d8f44ad42e32b_fig21_ETH%20ETH-26JUL24%20Listed%20Expiry.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716877c7a156cf8b29f883_fig22_Exchange_comparison_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716889e3fc09d6ce24f78e_fig23_Exchange_comparison_ETH_SMILES.moneyness.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66716897b9878c3673c0eabe_fig24_BTC-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6671689e8221da02e3ffdd1f_fig25_ETH-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
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