Crypto Derivatives 28th May 24
Volatility has fallen across the term structure in both majors over the past week as they continue to trade near range highs of $68.9K and $3.9K. Following the news of an upgrade in the probability of an Ethereum ETF, implied vol spiked at the front-end, inverting the term structure. This inversion has since corrected itself, with implied vol at the front-end falling. BTC’s vol smile skew has fallen to more neutral levels as implied vol for OTM calls falls, indicating reduced short-term bullish sentiment. However, ETH is heavily skewed towards calls due to implied vol for OTM puts falling, as investors reposition themselves due to the recent ETF news. Demand for leveraged long exposure, which is stronger in ETH, fell at the start of the week, as indicated by spot yields, before rising again at the front-end.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655ba4a2567e1ac7f99d61e_marek-piwnicki-bGXLGBuJvIQ-unsplash%20(1).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655ba86e38f1a7e22b759fc_1.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655ba8e2567e1ac7f9a020b_2.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bacb878ebae8a69df1a4_3.png)
BTC Annualised Yields
Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC spot reached range highs.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bad517a147abed0f8cab_4.png)
ETH Annualised Yields
Yields at short-dated tenors initially fell, following a muted reaction to the ETH ETF news, before rising again.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655badea288788a25711f1e_5.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Continued to trade positively over the past week as BTC spot price approached range highs, with more volatility compared to the rest of the month.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bae7706d185fb29ebbdd_6.png)
ETH Funding Rate
Has traded at similar levels to BTC, however, there does appear to be some dislocation between the USD, and more-illiquid USDC margined tokens.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655baeead379d457e5ff282_7.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655baf9e38f1a7e22b7ce6d_8.png)
BTC SVI ATM Implied Volatility
Vol at the front-end fell to monthly lows as BTC appeared to reject from range highs, before recovering.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb0308126a0004a4a4a6_9.png)
BTC 25-Delta Risk Reversal
Skew has fallen at all tenors, particularly at short-dated tenors as implied volatility for OTM calls falls, indicating reduced short term bullish sentiment.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb0dbf39f03bff1f40ea_10.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb19294edfcbd2590de5_11.png)
ETH SVI ATM Implied Volatility
The heavy inversion seen at the front-end following the news of an upgrade in the probability of an ETH ETF has since corrected itself, with implied vol falling to pre-news levels.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb26b287f23eb13f178a_12.png)
ETH 25-Delta Risk Reversal
Is heavily skewed towards calls due to implied volatility for OTM puts falling more than OTM calls.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb335cff0a8ed70b07e6_13.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb44a9b8de4f1bb3a04d_14.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb4c3ff0a430642187e9_15.png)
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb591e421890c21cf2fd_16.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb6096f1731010c4e4e5_17.png)
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb7178cb36c705b2fe75_18.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb793481b97c480742f3_19.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb835ce5d6d61f49c15e_20.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bb8b407a125a1336c024_21.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bbaeb5d204a87e5305a1_22.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bba61e421890c21d29dc_23.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bbadad379d457e606c8e_24.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655bbb962e76c5bd6bc8ab0_25.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
Table of contents
Subscribe to our newsletter to receive weekly insights, straight in your inbox
Get notifications for new reports, free weekly analytics charts, and more
Related articles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6683c575696445884558b265_heather-shevlin-3B_NrzTjajc-unsplash%20(3).jpg)
Crypto Derivatives 2nd July 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667ab67d5bda03a9c1291ace_planet-volumes-dHJs9frcsT8-unsplash.jpg)
Crypto Derivatives 25th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6673ebb2de6359a78b44af62_benjamin-ashton-jngM9zOnohg-unsplash%20(1).jpg)
DeFi Analytics 19th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/667164cae75270d7e08ff538_raphael-brun-OY5zbCCrWN4-unsplash%20(2).jpg)
Crypto Derivatives 18th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6669f68b8778755463c1430f_laura-cleffmann-a7dZ__sMnCw-unsplash.jpg)
DeFi Analytics 12th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6668246296532c17f642b838_nicole-geri-ZoECXdbjs2s-unsplash%20(2).jpg)
Crypto Derivatives 11th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f109bc7895cb39d7064c5_curtis-hystad-y_GB1v8vVEs-unsplash%20(1).jpg)
Crypto Derivatives 4th June 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f0daa9cb9b91760883ab8_clay-banks-nsAn3nSW5T0-unsplash.jpg)
Crypto Senti-Meter: A Derivatives Sentiment Index
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6655ba4a2567e1ac7f99d61e_marek-piwnicki-bGXLGBuJvIQ-unsplash%20(1).jpg)
Crypto Derivatives 28th May 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66559a66c45d8464ccecdee9_john-fowler-7Ym9rpYtSdA-unsplash%20(2).jpg)
Ethereum’s New Gas Market Paradigm
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/664c604c6a01f5524dca305f_kellen-riggin-POL2Y2NKv-I-unsplash%20(1).jpg)
Crypto Derivatives 21st May 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66433fe12c6821fe17844ca0_kellen-riggin-AD7QEaCHaKA-unsplash%20(2).jpg)
Crypto Derivatives 14th May 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6639fec87d6c03e20fe1b268_ryan-arnst-I4VyzyGgPuY-unsplash.jpg)
Crypto Derivatives 7th May 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/66313406cdef91aa4e460eac_daoudi-aissa-Pe1Ol9oLc4o-unsplash%20(2).jpg)
Crypto Derivatives 30th April 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6627b59ade935bd0644b6cd2_brad-fickeisen-nhp90LhwkiI-unsplash.jpg)
Crypto Derivatives 23rd April 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/661e81a4ff6e10cc3c4ea3df_jason-leung-Y4f0LwNn8j0-unsplash%20(1).jpg)
Crypto Derivatives 16th April 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/661571a96219296e51d39758_samantha-hentosh---XgzR3NmqE-unsplash%20(2).jpg)
Crypto Derivatives 9th April 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/660bffc0ade50abe67567597_neom-TA5hw14Coh4-unsplash.jpg)
Crypto Derivatives 2nd April 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/6602a66283543981d1d64c1b_dylan-freedom-pe_5cjhUpPg-unsplash.jpg)
Crypto Derivatives 26th March 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65f9abea48e4f199b667b951_karthik-sreenivas-va6EU2-lIlg-unsplash.jpg)
Crypto Derivatives 19th March 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65f17be9dcac06bcf77c2c38_leo_visions-cRqNnzN_2SM-unsplash.jpg)
Crypto Derivatives 12th March 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65e76a98fb889f296928326f_c-f-CLFveFXjwyk-unsplash.jpg)
Crypto Derivatives 5th Mar 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65e315707dd42dead1cc619d_Screenshot%202024-02-28%20at%2017.38.59.jpg)
October 2023 Crypto Volatility Review
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65dde7c581c110a2719a0f25_francesco-ungaro-miKHKUTSJP8-unsplash.jpg)
Crypto Derivatives 27th Feb 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65d8aedc2605a42f27b64900_bertrand-borie--VMzbnU7Arc-unsplash%20(2).jpg)
Crypto Derivatives 20th Feb 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65d8b8e4232ca75e02c75d96_dion-beetson-oF7hh97lVqA-unsplash.jpg)
Maximal Extractable Value
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65d34f50a615c408a5f09cfc_pavel-neznanov-w95Fb7EEcjE-unsplash%20(2).jpg)
Ethereum's Gas Mechanics
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65cf79656e00bc487ea80b50_Screenshot%202024-02-16%20at%2015.04.00.png)
THE MERGE
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65cb6427289371a37fc1bfb0_dylan-leagh-qnVXHhUP0xU-unsplash.jpg)
Crypto Derivatives 13th Feb 24
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65cba5fa5f376c0ea19cc488_eric-muhr-XYPmyAgFkWk-unsplash.jpg)
Ethereum Staking Deep Dive: Understanding Consensus Layer Rewards
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65c611db46b3d669b369a3ba_thumbnail.jpg)