Crypto Derivatives 21st May 24
Volatility has continued to gradually rise across the term structure, with ETH spiking at all tenors over the last day following an upgrade in the probability of an Ethereum spot ETF being approved. With implied volatility spiking particularly at the front-end, the term structure has become inverted. Implied volatility for ETH options now sits at levels not seen since April. The vol smile skew also recovered towards calls over the past week, but has since sold off at the front-end as investors rush to purchase OTM puts for downside protection as spot price reaches range highs of $71K and a $3.7K. Leverage in futures markets has increased, particularly at short-dated tenors which have risen beyond longer-dated tenors, indicating a demand for leveraged long exposure that is stronger for ETH.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c604c6a01f5524dca305f_kellen-riggin-POL2Y2NKv-I-unsplash%20(1).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7cbbe07fdf7f916979c8_Currency-combined%20Spot%20Yields.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7ccc7f5c8f1c4040f081_Currency-combined%20atm%20vol%20chart.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7ce12bffeb9fb2d16e01_Futures%20term%20structure.png)
BTC Annualised Yields
Yields at tenors 1M and beyond have increased steadily over the past week as BTC approaches range highs.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7ceaf75752b6dda530d0_BTC%20Spot%20Yields.png)
ETH Annualised Yields
Yields at short-dated tenors rose beyond longer-dated tenors following an increase in the probability of an ETH ETF.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7cf4a3acceba01f8bf4c_ETH%20Spot%20Yields.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Traded positively over the past week with some volatility, indicating increased demand for leveraged long exposure.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664ca547e2b77d8e6fe37e5f_BTC_USDC%20Perpetual.png)
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.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664ca53b49f9c1309b564e71_ETH_USDC%20Perpetual.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d25b7620a2115575d79_BTC%20SVI%20Vol%20term%20structure.png)
BTC SVI ATM Implied Volatility
Vol has increased across the term structure, where the back-end has seen a more steady increase.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d315555023864524e61_BTC-SVI%20atm%20vol%20timeseries.png)
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.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d3b2bffeb9fb2d1aef8_BTC-SVI%2025delta%20skew.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d544cb27dde93e28576_ETH%20SVI%20Vol%20term%20structure.png)
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.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d5ec5e2fa412f4e3c18_ETH-SVI%20atm%20vol%20timeseries.png)
ETH 25-Delta Risk Reversal
Has spiked down recently due to implied volatility for OTM puts rallying more than OTM calls.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d693da98212a9b7b2ec_ETH-SVI%2025delta%20skew.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7d99be027c003896f36a_Exchange_comparison_BTC_ATM_Vol.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7da62bffeb9fb2d1eada_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/65ae566e4e9b439983ededa5/664c7de73f16efc7a41c5c1b_Put-Call%20Skew%20BTC.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7df412a1b977ffb88fbd_Put-Call%20Skew%20ETH.png)
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e16babcf292ed81d6bf_v2composite_snap_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e23639e56a47a90ff86_v2composite_snap_ETH_SMILES.moneyness.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e30e92322ed81a6c0b6_BTC%20BTC-31MAY24%20Listed%20Expiry.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e3a45d425678447c702_ETH%20ETH-31MAY24%20Listed%20Expiry.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e732d177c37e003293e_Exchange_comparison_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e8469d7607521a1b71f_Exchange_comparison_ETH_SMILES.moneyness.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7e9d6e473634ab8271a2_BTC-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c7ea62a35a62f262c8d68_ETH-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
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