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)

Block Scholes

Trading with a competitive edge. Providing robust quantitative modelling and pricing engines across crypto derivatives and risk metrics.

THANKS TO

Andrew Melville and Thahbib Rahman, Block Scholes

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The post Crypto Derivatives: Analytics Report – Week 28 appeared first on Deribit Insights.

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Disclaimer: The content above is only the author's opinion which does not represent any position of Followin, and is not intended as, and shall not be understood or construed as, investment advice from Followin.
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