Crypto Derivatives 4th June 24
With few macro and crypto-specific events on the immediate horizon, volatility has largely continued to trade sideways in both majors over the past week as spot prices trade near range highs of $68.9K and $3.8K. The vol smile skew for BTC and ETH at short-dated tenors has increased from previous neutral levels, as implied vol for OTM puts has fallen. Over the past month, demand for leveraged long exposure in both majors has increased as futures yields have risen consistently, indicating that investors are willing to pay a premium above spot price in order to gain exposure to the underlying asset. Over a shorter lookback period of a few days, yields at short-dated tenors have fallen in both majors, although the long term trend remains intact.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f109bc7895cb39d7064c5_curtis-hystad-y_GB1v8vVEs-unsplash%20(1).jpg)
Futures Implied Yield, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f11990031a0ce01e7dca7_Currency-Combined-Spot-Yields.png)
ATM Implied Volatility, 1-Month Tenor
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f11da912bbb7743e61a50_Currency-Combined-1M-ATM-VOL-ETH.png)
Futures
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f11e8353b3ce51537f6ee_Futures%20term%20structure.png)
BTC Annualised Yields
Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC trades at range highs.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f11f50aee15c4b9a3166a_BTC-Spot-Yields.png)
ETH Annualised Yields
Yields at short-dated tenors has mostly traded above longer-dated tenors following the announcement of an ETH ETF.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f11ffd674a1d4a3b3c408_ETH-Spot-Yields.png)
Perpetual Swap Funding Rates
BTC Funding Rate
Continued to trade positively over the past week as BTC spot price remains at range highs, although the volatility with which it traded towards the end of May has subdued.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1213787ddcaef29a586b_BTC_USDC%20Perpetual.png)
ETH Funding Rate
Trades close to zero, at similar levels to BTC, indicating that investors are not currently opening heavily leveraged long positions.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f121d5bcfabececdcdce6_ETH_USDC%20Perpetual.png)
BTC Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f122da6b285d6a7c05239_BTC%20SVI%20Vol%20term%20structure.png)
BTC SVI ATM Implied Volatility
Vol at the front-end has increased from May’s monthly lows as BTC continues to trade at the top of its range.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1248f026d8b499b6f28c_Composite%20BTC%20SVI%20ATM%20volatility.png)
BTC 25-Delta Risk Reversal
Skew at short-dated tenors has recovered from bearish levels as implied vol for OTM puts fell over the past week.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f127291e276c700f6738f_Single%20Tenor%20Composite%20BTC%20SVI%20PC%20skew.png)
ETH Options
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f127f91fe596a980a3bae_ETH%20SVI%20Vol%20term%20structure.png)
ETH SVI ATM Implied Volatility
Vol across the term structure has traded sideways following a muted reaction to the news of an ETH ETF.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f15b4741c40de3a79bc7a_Composite%20ETH%20SVI%20ATM%20volatility.png)
ETH 25-Delta Risk Reversal
Trades higher at short-dated tenors as implied vol for OTM puts falls, and is skewed towards calls at all tenors.
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f12a07f3afa5eaeab414d_Single%20Tenor%20Composite%20SVI%20PC%20skew.png)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f12ba177ac8097697e7c1_Exchange_comparison_BTC_ATM_Vol.png)
ETH, 1-Month Tenor, SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f12cac270e94470583ab4_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/65ae566e4e9b439983ededa5/665f12e07cdaaf9690531da2_Exchange%20Comparison%20Put-Call%20Skew%20BTC.png)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1308f46769cc205eaa3d_Exchange%20Comparison%20Put-Call%20Skew%20ETH.png)
Market Composite Volatility Surface
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1588500e3f09f2440f89_v2composite_snap_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1592714a6dd72a96152c_v2composite_snap_ETH_SMILES.moneyness.png)
Listed Expiry Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f131da32377215e6c2f24_BTC%20BTC-28JUN24%20Listed%20Expiry.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f1327c39ceb52a99ff330_ETH%20ETH-28JUN24%20Listed%20Expiry.png)
Cross-Exchange Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f134c0fc5eaa985f3c96e_Exchange_comparison_BTC_SMILES.moneyness.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f13417068ce9cf6b447ac_Exchange_comparison_ETH_SMILES.moneyness.png)
Constant Maturity Volatility Smiles
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f13687acdf55d8231d945_BTC-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/665f137e8a0562eef7b86106_ETH-SVI%20Constant%20Maturity.png)
![](https://cdn.prod.website-files.com/65ae566e4e9b439983ededa5/65b47998c7bf7e4f2ef986c5_andrew.png)
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