Crypto Derivatives 28th May 24

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC spot reached range highs.

ETH Annualised Yields

Yields at short-dated tenors initially fell, following a muted reaction to the ETH ETF news, before rising again.

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.

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.

BTC Options

BTC SVI ATM Implied Volatility

Vol at the front-end fell to monthly lows as BTC appeared to reject from range highs, before recovering.

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.

ETH Options

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.

ETH 25-Delta Risk Reversal

Is heavily skewed towards calls due to implied volatility for OTM puts falling 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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