Crypto Derivatives: Analytics Report – Week 10

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Having given up most of the weekend, reserve-inspired gains, BTC and ETH spot trade at or below their levels of last week. Derivatives markets have completed a similar round-trip, as both assets’ volatility smiles have quickly returned to a sharp skew towards OTM puts at shorter-tenors. The extreme volatility in spot has been reflected as expected in options markets, as short-tenor implied volatility levels have risen quickly to their highest levels in over a month and swiftly inverted the term structure. Funding rates, having remained relatively stable during the bearish spot price action last week, have finally spiked to negative levels in the early-week volatility.

BTC Derivatives Sentiment

ETH Derivatives Sentiment

Perpetual Swap Funding Rate

BTC FUNDING RATE – Has recently traded with more positive levels than ETH, but the USDC contract has swung strongly negative in the last 24 hours.

ETH FUNDING RATE – Turns negative during the depths of recent selloffs, and struggles to remain positive in between.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – BTC’s term structure has inverted to its strongest levels in a month as 1-week tenor volatility rises above 66%.

BTC 25-Delta Risk Reversal – Short-tenor volatility smiles have skewed strongly towards OTM puts, but longer-dated tenors remain stubbornly bullish.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – The term structure continues to invert as short tenor volatility rises above 90%.

ETH 25-Delta Risk Reversal – Short tenor volatility smile skew completes a round trip back to a bearish tilt, while longer tenors retain their bullish skew.

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

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 28-MAR EXPIRY – 9:00 UTC Snapshot.

ETH 28-MAR EXPIRY – 9:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

AUTHOR(S)

THANKS TO

Andrew Melville and Enrico Crovini, Block Scholes

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