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
ATM Implied Volatility, 1-Month Tenor
Crypto Senti-Meter Index
BTC Sentiment
ETH Sentiment
Futures
BTC Annualised Yields
Yields at short-dated expiries have recovered to the levels of longer-dated expiries, compressing the term structure
ETH Annualised Yields
Yields follow BTC’s upwards to trade in a tight range across the term structure across both markets
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
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
BTC Options
BTC SVI ATM Implied Volatility
Volatility levels continues in broadly the same monthly range, with shorter tenor vols falling in the last 24H
BTC 25-Delta Risk Reversal
We see a distinct upward trend in short tenor smiles back towards a neutral skew
ETH Options
ETH SVI ATM Implied Volatility
ETH sees the same rangebound movements at a 10-15 point premium above BTC’s levels
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
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
The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.
This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.
The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.
Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.
Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.
