Crypto Derivatives 26th March 24

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

After reaching lows for the month, spot yields at short-dated tenors have risen, indicating that traders are willing to pay more of a premium for leverage.

ETH Annualised Yields

A similar reversal can be seen in ETH, although the fall to lows was not as severe as in BTC.

Perpetual Swap Funding Rates

BTC Funding Rate

Funding has remained positive and low following a bounce in BTC at $60k, indicating continued demand for leveraged long exposure.

ETH Funding Rate

Funding in USDC-margined contracts is near zero, whilst token-margined contracts remain low relative to BTC, as well as in absolute terms.

BTC Options

BTC SABR ATM Implied Volatility

Is less volatile compared to previous weeks following a disinversion in the term structure.

BTC 25-Delta Risk Reversal

Although slightly skewed towards puts at short-dated tenors, the Put/Call skew has increased during the spot rally to $70k.

ETH Options

ETH SABR ATM Implied Volatility

Remains range bound between 70% - 80%, but is more volatile compared to BTC.

ETH 25-Delta Risk Reversal

Has increased significantly at short-dated tenors whilst spot has recovered following a pullback earlier in the week.

Volatility Surface

BTC Implied Vol Surface

Less inverted than previous weeks, whilst vol at long-dated tenors remains high relative to its recent values.

ETH Implied Vol Surface

Vol at the back end of the term structure remains high relative to recent values, whilst vol at the front end has fallen.

Volatility Smiles

Historical SABR Volatility Smiles