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Crypto Derivatives 2 July 2024

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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

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ATM Implied Volatility, 1-Month Tenor

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Crypto Senti-Meter Index

BTC Sentiment

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ETH Sentiment

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Futures

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BTC Annualised Yields

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

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ETH Annualised Yields

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

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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

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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

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BTC Options

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BTC SVI ATM Implied Volatility

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

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BTC 25-Delta Risk Reversal

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

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ETH Options

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ETH SVI ATM Implied Volatility

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

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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

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Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

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ETH, 1-Month Tenor, SVI Calibration

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Put-Call Skew by Exchange

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

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

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Market Composite Volatility Surface

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Listed Expiry Volatility Smiles

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Cross-Exchange Volatility Smiles

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Constant Maturity Volatility Smiles

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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.

Aviso legal
Este conteúdo é fornecido apenas para fins informativos e pode abranger produtos que não estão disponíveis na sua região. Não se destina a fornecer (i) aconselhamento ou recomendações de investimento; (ii) uma oferta ou solicitação para comprar, vender ou deter ativos de cripto/digitais, ou (iii) aconselhamento financeiro, contabilístico, jurídico ou fiscal. As detenções de ativos de cripto/digitais, incluindo criptomoedas estáveis, envolvem um nível de risco elevado e podem sofrer grandes flutuações. Deve ponderar cuidadosamente se o trading ou a detenção de ativos de cripto/digitais são adequados para si, tendo em conta a sua situação financeira. Consulte o seu profissional jurídico/fiscal/de investimentos para tirar dúvidas sobre as suas circunstâncias específicas. As informações (incluindo dados de mercado e informações estatísticas, caso existam) apresentadas nesta publicação destinam-se apenas para fins de informação geral. Embora tenham sido tomadas todas as precauções razoáveis na preparação destes dados e gráficos, a OKX não assume qualquer responsabilidade por erros ou omissões aqui expressos.

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