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Crypto Derivatives: Analytics Report – Week 51

Crypto Derivatives: Analytics Report – Week 51

Cointime2023/12/22 15:15
By: Cointime
BTC+0.48%ETH-0.35%

Key Insights:

The kink in the term structure of ATM volatility has shifted to shorter tenors as the expected date for an ETF announcement draws nearer, and outright volatility levels for tenors later than the end of January remain stable in the mid 50s. We have seen a recovery in BTC’s short tenor skew, driven by an increasing demand for OTM calls that has not been replicated in ETH’s surface. Instead, we see 1W ETH upside volatility falling while the 1M smile prices for a more neutral skew. Futures-implied yields climb higher once more, while the funding rate of both assets’ perpetual swaps continues to signal strong demand for leveraged long exposure.

Futures implied yield, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 51 image 0

ATM Implied Volatility, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 51 image 1

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

Futures

Crypto Derivatives: Analytics Report – Week 51 image 2

BTC ANNUALISED YIELDS – have climbed higher in the last 24 hours, with short-dated futures boasting the largest annualised yields above spot.

Crypto Derivatives: Analytics Report – Week 51 image 3

ETH ANNUALISED YIELDS – trade at the top end of their most recent monthly range.

Crypto Derivatives: Analytics Report – Week 51 image 4

Perpetual Swap Funding Rate

BTC FUNDING RATE – continues to indicate strong demand for leveraged long positions late into the year.

Crypto Derivatives: Analytics Report – Week 51 image 5

ETH FUNDING RATE – reports similarly strong demand for long positions through the derivative contract.

Crypto Derivatives: Analytics Report – Week 51 image 6

BTC Options

Crypto Derivatives: Analytics Report – Week 51 image 7

BTC SABR ATM IMPLIED VOLATILITY – The 1M tenor vol rises as the expected ETF announcement date moves closer along the term structure.

Crypto Derivatives: Analytics Report – Week 51 image 8

BTC 25-Delta Risk Reversal – has posted a strong recovery since signalling the selloff in spot price that we saw in early December.

Crypto Derivatives: Analytics Report – Week 51 image 9

ETH Options

Crypto Derivatives: Analytics Report – Week 51 image 10

ETH SABR ATM IMPLIED VOLATILITY – repots a widening gap between the 1W and 1M tenors as the expected ETF announcement date draws closer.

Crypto Derivatives: Analytics Report – Week 51 image 11

ETH 25-Delta Risk Reversal – does not report the same recovery in short- tenors as BTC, appearing to be slightly dislocated at a 1W tenor.

Crypto Derivatives: Analytics Report – Week 51 image 12

Volatility Surface

BTC IMPLIED VOL SURFACE – highlights the recovery in 1M OTM calls relative to the rest of the surface in the last two days.

Crypto Derivatives: Analytics Report – Week 51 image 13

ETH IMPLIED VOL SURFACE – indicates that it is a decreasing demand for OTM calls rather than an increase in demand for OTM puts that has seen the 1W skew move in contrast to the rest of the term structure.

Crypto Derivatives: Analytics Report – Week 51 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 51 image 15

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

Crypto Derivatives: Analytics Report – Week 51 image 16

Historical SABR Volatility Smiles

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

Crypto Derivatives: Analytics Report – Week 51 image 17

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

Crypto Derivatives: Analytics Report – Week 51 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.
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