Crypto Derivatives 21st May 24

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

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

ETH Annualised Yields

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

Perpetual Swap Funding Rates

BTC Funding Rate

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

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.

BTC Options

BTC SVI ATM Implied Volatility

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

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.

ETH Options

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.

ETH 25-Delta Risk Reversal

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

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

ETH, 1-Month Tenor, SVI Calibration

Put-Call Skew by Exchange

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

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

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Cross-Exchange Volatility Smiles

Constant Maturity Volatility Smiles

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