Crypto Derivatives 5th November 2024
In the days leading up to the election we’ve observed a decline in both futures implied yields and perpetuals funding rates. With election-related uncertainty and recent spot price fluctuations, it’s clear that traders are now hesitant to pursue leveraged exposure in BTC and ETH as aggressively as they did last week, when the buildup of leverage was evident. This points to a reduced appetite for high-stakes directional bets, as BTC’s implied volatility remains elevated and continues to rise. Despite this, BTC’s volatility smiles keep signalling a bullish sentiment. In contrast, ETH’s implied volatility levels have slowed and moved sideways over recent days, with options’ skew reflecting a more bearish short-term sentiment. The spotlight therefore remains on BTC as the election cycle reaches its conclusion.
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 yield term structure levels have dropped at the front end, now being slightly inverted from 14 days tenors onwards.
ETH Annualised Yields
ETH’s yield curve has re-steepened like BTC’s, with a decline at the shorter end.
Perpetual Swap Funding Rates
BTC Funding Rate
BTC’s perpetual funding rates dip negative just days before the election, and after a prolonged bullish period.
ETH Funding Rate
ETH’s funding rate mirrors BTC’s recent movements, though ETH’s rates did not drop as negative and remain largely neutral.
BTC Options
BTC SVI ATM Implied Volatility
The term structure of volatility remains inverted and shows growing levels across tenors, especially at the front end.
BTC 25-Delta Risk Reversal
Skew levels are positive across all tenors, indicating a stronger bullish sentiment in the long term.
ETH Options
ETH SVI ATM Implied Volatility
ETH’s implied volatility term structure remains heavily inverted, though levels are not rising as fast as BTC’s.
ETH 25-Delta Risk Reversal
ETH’s volatility smiles now indicate demand for downside exposure in the short term, while longer tenors remain more bullish.
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
Table of contents
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