Crypto Derivatives 5th November 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 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

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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

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Constant Maturity Volatility Smiles