Crypto Derivatives: Analytics Report – Week 1

From deribit insights by Block Scholes

Key Insights:

While perpetual swap markets suggest a return to the more bullish sentiment that we saw before the recent period of depressed funding rates, a brief rally in short tenor yields over the last 2 days has done little to reverse the month-long trend lower. Options markets report a similarly mixed-message: BTC’s short-tenor volatility smiles remain slightly more skewed towards OTM puts, while longer tenors have increased their bullish tilt. ETH skews, however, are positive across the surface. December’s end-of-year expiration of a significant proportion of the market’s open interest in options did not result in the fireworks that some expected. Instead, ETH volatility trades more than 5 points lower while BTC displays the same, slightly steeper shape that it has since Christmas day.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC ANNUALISED YIELDS – We have seen a brief rally in short tenor yields over the last 2 days that has done little to reverse the month-long trend lower.

ETH ANNUALISED YIELDS – Unlike perpetuals, ETH’s futures-implied yields continue to trail lower as the basis to spot ebbs away.

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC funding rates have climbed over the last week, indicating a return to bullish sentiment following a period of subdued rates.

ETH FUNDING RATE – ETH also shows potential beginnings of a return to positive funding rates.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Volatility levels have retained a consistent level and shape throughout the post-Christmas period.

BTC 25-Delta Risk Reversal – The skew of shorter tenor smiles has opened up a gap to skews at longer tenor smiles, which trade considerably more bullish.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Volatility levels have fallen some 5 points following Dec 27’s end-of-year expiry.

ETH 25-Delta Risk Reversal – Smiles at all tenors have drifted towards OTM calls over the last week, with each now reporting a positive tilt.

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 31-JAN EXPIRY – 9:00 UTC Snapshot.

ETH 31-JAN 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.