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Crypto Derivatives: Analytics Report – Week 44

Crypto Derivatives: Analytics Report – Week 44

Cointime2024/10/31 23:48
By: Cointime
BTC-0.40%ETH-1.11%ATM+4.18%

From deribit by Block Scholes

Key Insights:

The bullish pre-election positioning that we saw building up earlier in October has continued with vigour over the last 3 days. Futures-implied yields, perpetual swap funding rates, and now implied volatility have risen to months-long highs, with short-tenor option expiries out-performing to invert the term structure of volatility in a similar manner to the shape we observed ahead of the ETF launch in January. ETH derivatives indicate an expectation that the second largest crypto-currency will continue its years- long trend of under-performance through the event risk, lagging BTC in all metrics and assigning a 10 point volatility premium over BTC, but echo the trend of increasing bullish sentiment that we see expressed across markets.

Futures Implied Yield, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 44 image 0

ATM Implied Volatility, 1-Month Tenor

Crypto Derivatives: Analytics Report – Week 44 image 1

Crypto Senti-Meter

BTC Derivatives Sentiment

Crypto Derivatives: Analytics Report – Week 44 image 2

ETH Derivatives Sentiment

Crypto Derivatives: Analytics Report – Week 44 image 3

Futures

Crypto Derivatives: Analytics Report – Week 44 image 4

BTC ANNUALISED YIELDS – The inversion of the yield term structure has deepened, reflecting increasing leveraged long positioning ahead.

Crypto Derivatives: Analytics Report – Week 44 image 5

ETH ANNUALISED YIELDS – futures yields invert, albeit to lower levels than BTC, reflecting bullish-but-not-that-bullish positioning ahead of the election.

Crypto Derivatives: Analytics Report – Week 44 image 6

Perpetual Swap Funding Rate

BTC FUNDING RATE – Intense and sustained positive funding rates reflect a willingness to pay for leveraged long exposure into next week’s event risk.

Crypto Derivatives: Analytics Report – Week 44 image 7

ETH FUNDING RATE – ETH’s funding rate reflects the same conclusion as it’s futures yields – bullish positioning but without the same exuberance as BTC.

Crypto Derivatives: Analytics Report – Week 44 image 8

BTC Options

Crypto Derivatives: Analytics Report – Week 44 image 9

BTC SVI ATM IMPLIED VOLATILITY – The term structure of volatility has finally inverted after months of an election-dated volatility premium.

Crypto Derivatives: Analytics Report – Week 44 image 10

BTC 25-Delta Risk Reversal – A brief reversal of short-dated sentiment over the last 2 days has resolved with a return to a bullish skew towards OTM calls.

Crypto Derivatives: Analytics Report – Week 44 image 11

ETH Options

Crypto Derivatives: Analytics Report – Week 44 image 12

ETH SVI ATM IMPLIED VOLATILITY – ETH’s term structure has inverted heavily at short-dated tenors, indicating a rush into pre-election positioning.

Crypto Derivatives: Analytics Report – Week 44 image 13

ETH 25-Delta Risk Reversal – Despite lagging BTC’s bullishness in futures and perps, ETH’s vol smiles are similarly skewed towards upside exposure.

Crypto Derivatives: Analytics Report – Week 44 image 14

Volatility by Exchange

BTC, 1-MONTH TENOR, SVI CALIBRATION

Crypto Derivatives: Analytics Report – Week 44 image 15

ETH, 1-MONTH TENOR, SVI CALIBRATION

Crypto Derivatives: Analytics Report – Week 44 image 16

Put-Call Skew by Exchange

BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

Crypto Derivatives: Analytics Report – Week 44 image 17

ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

Crypto Derivatives: Analytics Report – Week 44 image 18

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 19

CeFi COMPOSITE – ETH SVI – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 20

Listed Expiry Volatility Smiles

BTC 29-NOV EXPIRY – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 21

ETH 29-NOV EXPIRY – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 22

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 23

ETH SVI, 30D TENOR – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 24

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 25

ETH SVI, 30D TENOR – 7:00 UTC Snapshot.

Crypto Derivatives: Analytics Report – Week 44 image 26
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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