Crypto Derivatives: Analytics Report – Week 28

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The past seven days have seen a number of notable macro developments to which BTC and ETH have responded. On July 2, a strong JOLTS report (that showed the largest number of job openings since November) and a US trade deal with Vietnam spurred a short rally in BTC towards $109K. That rally was extended a day later, following a stronger-than-expected Non-farm payrolls report in the US which showed the US economy added 147,000 jobs in June – far exceeding expectations of 106,000. The volatility premium on short-tenor BTC options dropped even lower in the week, finding a floor at 26% while spot price has hovered between $105K and $110K. In comparison, similar-dated ETH options carry a volatility premium slightly below 60% and spot price has maintained a range of $2400-2600.

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – Funding rates spiked to their highest levels so far in July as spot price rallied to $110K, following the US’s trade deal with Vietnam.

ETH FUNDING RATE – Similar to last week, ETH funding rates have registered minimal moves relative to BTC rates, though have not yet dropped negative.

Futures Implied Yields

BTC Futures Implied Yields – Compared to a week earlier (July 1), 7-day spot yields have risen from 1.5% to 5.1%, though longer-tenors remain at 6%.

ETH Futures Implied Yields – After tracking each other closely over the past month, ETH short-tenor spot yields are diverging from BTC to the downside.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – 7-day implied volatility fell even further to a low of 26.3% on July 4, before bouncing following the US NFP report.

BTC 25-Delta Risk Reversal – BTC put-call skew has trended strongly towards OTM calls at all tenors, though has struggled to make a big move beyond 2%.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s term structure remains upward sloping, though at lower outright levels to last week beyond 7-day tenors.

ETH 25-Delta Risk Reversal – ETH short-tenor smiles skewed towards OTM puts by more than 6% on July 4; however have now recovered to assign a 1% volatility premium to 25-delta OTM calls relative to puts.

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 25-JUL EXPIRY – 9:00 UTC Snapshot.

ETH 25-JUL 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 Thahbib Rahman, Block Scholes

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