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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
In the face of a second week of potentially scary macro data releases, the BTC spot bounced decisively from $90K levels to trade closer to $97K this morning. Derivatives markets remain supportive of the move: futures yields are positive and trending higher, with short tenors rallying harder to invert the term structure. Perpetual swap funding rates have spiked higher, after never trading below zero throughout last week's move lower. Short-tenor volatility smiles are the exception, lifting only slightly from their skew towards out-the-money puts to trade neutral. However, they are priced very differently to the back end of the curve, with higher at-the-money implied volatility (inverting the term structure) and a persistently bullish skew towards out-the-money calls over the long term.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
Short-dated volatility levels have risen to their highest in the last month, surpassing the levels at a 180-day tenor.
BTC 25-Delta Risk Reversal
While less bearish than yesterday, short-tenor smiles remain slightly skewed toward OTM puts despite the rally in the spot.
ETH Options
ETH SVI ATM Implied Volatility
The term structure is inverted once more as the recovery in spot price sees short tenors lead the way.
ETH 25-Delta Risk Reversal
Skew at short tenors has recovered to a neutralto-bullish tilt after the spot bounce from $3K.
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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