Crypto Derivatives 3rd September 2024

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Crypto Senti-Meter Index

BTC Sentiment

ETH Sentiment

Futures

BTC Annualised Yields

BTC’s spot yields have increased for short tenors reaching 6%, and lowered for long tenors, now trading at 9% above spot.

ETH Annualised Yields

ETH’s spot yields have overall been on the rise, but not showing the same increase for the short term as BTC.

Perpetual Swap Funding Rates

BTC Funding Rate

After dropping negative for a short period, BTC perpetual funding rate has returned positive and is slowly recovering.

ETH Funding Rate

ETH’s perpetual swap funding rate is showing no sign of recovery and remains neutral.

BTC Options

BTC SVI ATM Implied Volatility

short-dated volatility is oscillating, while volatility levels remain constant for long-tenor options.

BTC 25-Delta Risk Reversal

skew levels have dropped towards puts in the past week for short tenors, but show signs of recovery in the past days.

ETH Options

ETH SVI ATM Implied Volatility

shows the same increase in the term structure as BTC for short tenors.

ETH 25-Delta Risk Reversal

ETH’s short-tenor skews have fallen more significantly than BTC’s, and show slower signs of recovery.

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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