Crypto Derivatives 1 October 2024

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

Despite a general slow down in spot price action for both majors, their derivatives markets have shown confirmation of what we first noticed last week: clear indications of a return to short-term positive sentiment and bullish trading activity. The recent skew towards OTM calls has consolidated, and we now observe a call-skew for smiles across all tenors. Perpetual swap funding rates have been strongly oscillating, but have registered high positive values throughout the week. At the same time, the front end of the term structure for ATM options’ volatility has increased substantially near to the 30-day tenor, as the US election moves closer along the term structure: this is further evidence that the date is influencing market positioning.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Implied volatility has showed a strong increase for 30-day tenor options.

BTC 25-Delta Risk Reversal

Smiles have skewed strongly towards OTM calls at short tenors over the past fortnight.

ETH Options

ETH SVI ATM Implied Volatility

Implied volatility has showed an increase in levels for short-tenor options.

ETH 25-Delta Risk Reversal

ETH’s skews are also now positive across all tenors.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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