Bitget App
Trade smarter
Open
HomepageSign up
Bitget>
News>
Crypto Derivatives: Analytics Report – Week 50

Crypto Derivatives: Analytics Report – Week 50

Cointime2023/12/18 13:05
By: Cointime
BTC+0.31%ETH0.00%ATOM-1.00%

Key Insights:

Spot prices have largely regained the levels they lost in the selloff early in the week. So too has the shape of the at-the-money implied volatility term structure, regaining the noticeable kink that targets the end- of-Jan expiry. Perpetual swap funding rates showed little sign of slowing during the selloff despite talks of a spate of liquidations, indicating that traders are still willing to pay for leveraged long exposure. The only metrics not to return to pre-selloff conditions are both assets’ put-skew. The trending skew towards OTM puts began before the selloff, and has settled close to neutral levels across both term structures.

Futures Implied Yield, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 50 image 0

ATM Implied Volatility, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 50 image 1

*All data in tables recorded at a 10:00 UTC snapshot unless otherwise stated.

Futures

Crypto Derivatives: Analytics Report – Week 50 image 2

BTC ANNUALISED YIELDS – stick close to 10% across the term structure, having risen at short-tenors over the course of the past week.

Crypto Derivatives: Analytics Report – Week 50 image 3

ETH ANNUALISED YIELDS – did not see the same fall as BTC’s, but do also trade in a tight range close to 10% across the term structure.

Crypto Derivatives: Analytics Report – Week 50 image 4

Perpetual Swap Funding Rate

BTC FUNDING RATE – has been persistently high throughout the past week, despite the retrace in spot prices towards $40K.

Crypto Derivatives: Analytics Report – Week 50 image 5

ETH FUNDING RATE – has been persistently positive throughout the week at similarly high levels to BTC’s.

Crypto Derivatives: Analytics Report – Week 50 image 6

BTC Options

Crypto Derivatives: Analytics Report – Week 50 image 7

BTC SABR ATM IMPLIED VOLATILITY – the spot selloff saw an increase in short term vol, but the term structure has regained its January kink.

Crypto Derivatives: Analytics Report – Week 50 image 8

BTC 25-Delta Risk Reversal – the trending skew towards OTM puts seems to have stablised as smiles at all tenors reflect a more neutral sentiment.

Crypto Derivatives: Analytics Report – Week 50 image 9

ETH Options

Crypto Derivatives: Analytics Report – Week 50 image 10

ETH SABR ATM IMPLIED VOLATILITY – shows a similarly kinked term structure near to the end-of-January expiry as does BTC’s.

Crypto Derivatives: Analytics Report – Week 50 image 11

ETH 25-Delta Risk Reversal – a dislocation that took the 1 week skew away from other tenors appears to have resolved in the last 24 hours.

Crypto Derivatives: Analytics Report – Week 50 image 12

Volatility Surface

BTC IMPLIED VOL SURFACE – shows a cooling in tenors of 3-months or longer, with most of the action focused at the 1-month ATM strike.

Crypto Derivatives: Analytics Report – Week 50 image 13

ETH IMPLIED VOL SURFACE – shows less of a clear picture than BTC’s surface, with the implied vol of 1M OTM calls rising fastest across the surface.

Crypto Derivatives: Analytics Report – Week 50 image 14

Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration.

Volatility Smiles

BTC SMILE CALIBRATIONS – 26-Jan-2024 Expiry, 11:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 50 image 15

ETH SMILE CALIBRATIONS – 26-Jan-2024 Expiry, 11:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 50 image 16

Historical SABR Volatility Smiles

BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 50 image 17

ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 50 image 18
Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.
PoolX: Earn new token airdrops
Lock your assets and earn 10%+ APR
Lock now!

You may also like

Bloomberg: Peso crisis escalates, stablecoins become a "lifeline" for Argentinians

The role of cryptocurrency in Argentina has fundamentally changed: it has shifted from a novelty that aroused curiosity and experimentation among the public, including Milei himself, to a financial tool for people to protect their savings.

Chaincatcher2025/10/25 17:17
The Federal Reserve Opens a New Chapter: Cryptocurrency Officially Included in the Washington Agenda

The US payment system is preparing to integrate the assets and infrastructure you are already trading.

Chaincatcher2025/10/25 17:17
AiCoin Daily Report (October 25)
AICoin2025/10/25 17:04
Experiencing the 10.11 crypto black swan and the CS2 skin market crash, I discovered the death trap of "middlemen"

You think you're profiting from arbitrage, but in reality, you're paying for systemic risk.

深潮2025/10/25 11:09

Trending news

More
1
Bloomberg: Peso crisis escalates, stablecoins become a "lifeline" for Argentinians
2
The Federal Reserve Opens a New Chapter: Cryptocurrency Officially Included in the Washington Agenda

Crypto prices

More
Bitcoin
Bitcoin
BTC
$111,391.17
+0.80%
Ethereum
Ethereum
ETH
$3,937.34
+0.97%
Tether USDt
Tether USDt
USDT
$1
-0.02%
XRP
XRP
XRP
$2.59
+4.27%
BNB
BNB
BNB
$1,113.71
+0.76%
Solana
Solana
SOL
$192.2
+0.46%
USDC
USDC
USDC
$0.9999
-0.03%
Dogecoin
Dogecoin
DOGE
$0.1970
+0.71%
TRON
TRON
TRX
$0.2976
-2.14%
Cardano
Cardano
ADA
$0.6551
+0.90%
How to buy BTC
Bitget lists BTC – Buy or sell BTC quickly on Bitget!
Trade now
Become a trader now?A welcome pack worth 6200 USDT for new users!
Sign up now
Trade smarter