Crypto Derivatives 22 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.

The positive sentiment observed last week has consolidated, with bullishness reflected across key metrics for both majors. Perpetual funding rates remain positive, implied futures yields continue to show elevated levels and an inverted term structure, and the implied volatility smiles’ skew remains strongly tilted toward calls across tenors. The upcoming election is still impacting market dynamics greatly, with implied volatility for 14-day tenor options in both ETH and BTC rising, now approaching levels seen in longer-tenor options. At the same time, volatility at the far end of the term structure continues to trend sideways, only showing a slight decrease for BTC options. Notably, 7-day tenor options saw a spike in volatility last week, now having dropped sharply and sitting lower than last week.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Volatility continues to rise at the front end of the term structure, with 14-day tenor options showing elevated levels.

BTC 25-Delta Risk Reversal

Option smiles have maintained a strong skew towards calls, with the skew increasing slightly compared to last week.

ETH Options

ETH SVI ATM Implied Volatility

Implied volatility for ETH 14-day tenor options has risen, mirroring the increase seen in BTC ahead of the US election

ETH 25-Delta Risk Reversal

ETH’s skews have sharply risen and smiles are exhibiting call-skew across tenors.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.

This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.

The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.

Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.

Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.