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Crypto Derivatives 2 July 2024

Block Scholes -Bl

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.

Futures Implied Yield, 1-Month Tenor

fig1 Currency-Combined-Spot-Yields

ATM Implied Volatility, 1-Month Tenor

fig2 Currency-Combined-1M-ATM-VOL-ETH

Crypto Senti-Meter Index

BTC Sentiment

fig3 20240702 btc senti

ETH Sentiment

fig4 20240702 eth senti

Futures

fig5 Futures term structure

BTC Annualised Yields

Yields at short-dated expiries have recovered to the levels of longer-dated expiries, compressing the term structure

fig6 BTC-Spot-Yields

ETH Annualised Yields

Yields follow BTC’s upwards to trade in a tight range across the term structure across both markets

fig7 ETH-Spot-Yields

Perpetual Swap Funding Rates

BTC Funding Rate

A recovery in sentiment sees a persistent funding rate paid by long positions for leveraged exposure through the contract

fig8 BTC USDC Perpetual

ETH Funding Rate

Funding rates are more consistently positive in ETH than BTC, owing to excess bullishness that we have seen since the recovery in ETF approval chances in May

fig9 ETH USDC Perpetual

BTC Options

fig10 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

Volatility levels continues in broadly the same monthly range, with shorter tenor vols falling in the last 24H

fig11 Composite BTC SVI ATM volatility

BTC 25-Delta Risk Reversal

We see a distinct upward trend in short tenor smiles back towards a neutral skew

fig12 Single Tenor Composite BTC SVI PC skew

ETH Options

fig13 ETH SVI Vol term structure.png

ETH SVI ATM Implied Volatility

ETH sees the same rangebound movements at a 10-15 point premium above BTC’s levels

fig14 Composite ETH SVI ATM volatility

ETH 25-Delta Risk Reversal

BTC’s upward trend is replicated in ETH’s markets at short tenors, pushing further towards the bullish call skew seen in longer tenors

fig15 Single Tenor Composite SVI PC skew

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

fig16 Exchange comparison BTC ATM Vol

ETH, 1-Month Tenor, SVI Calibration

fig17 Exchange comparison ETH ATM Vol

Put-Call Skew by Exchange

BTC, 1-Month Tenor, 25-Delta SVI Calibration

fig18 Exchange Comparison Put-Call Skew BTC

ETH, 1-Month Tenor, 25-Delta SVI Calibration

fig19 Exchange Comparison Put-Call Skew ETH

Market Composite Volatility Surface

fig20 v2composite snap BTC SMILES.moneyness
fig21 v2composite snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

fig22 BTC BTC-26JUL24 Listed Expiry
fig23 ETH ETH-26JUL24 Listed Expiry

Cross-Exchange Volatility Smiles

fig24 Exchange comparison BTC SMILES.moneyness
fig25 Exchange comparison ETH SMILES.moneyness

Constant Maturity Volatility Smiles

fig26 BTC-SVI Constant Maturity
fig27 ETH-SVI Constant Maturity

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Disclaimer
This content is provided for informational purposes only and may cover products that are not available in your region. It is not intended to provide (i) investment advice or an investment recommendation; (ii) an offer or solicitation to buy, sell, or hold digital assets, or (iii) financial, accounting, legal, or tax advice. Digital asset holdings, including stablecoins and NFTs, involve a high degree of risk and can fluctuate greatly. You should carefully consider whether trading or holding digital assets is suitable for you in light of your financial condition. Please consult your legal/tax/investment professional for questions about your specific circumstances. Information (including market data and statistical information, if any) appearing in this post is for general information purposes only. While all reasonable care has been taken in preparing this data and graphs, no responsibility or liability is accepted for any errors of fact or omission expressed herein. Both OKX Web3 Wallet and OKX NFT Marketplace are subject to separate terms of service at www.okx.com.
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