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Crypto Derivatives: Analytics Report – Week 46

Crypto Derivatives: Analytics Report – Week 46

CointimeCointime2024/11/12 23:06
By:Cointime

From deribit insights by Block Scholes

Key Insights:

One week after the election, spot prices have shown remarkable strength, with BTC reaching new all- time highs following an explosive rise. ETH, while not yet at record levels, has also gained upward momentum, displaying a steady increase since the election date. In the derivatives market, sentiment has strengthened for both tokens: futures implied yields, perpetuals funding rates, and skew all indicate a highly positive outlook. ATM implied volatility, which initially dropped after the election event risk passed, has since surged, inverting the term structure. Both BTC and ETH now benefit from a powerful combination of spot price gains and robust bullish derivatives activity, signalling strong demand to participate in further upside potential.

Futures Implied Yield, 1-Month Tenor

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ATM Implied Volatility, 1-Month Tenor

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Crypto Senti-Meter

BTC Derivatives Sentiment

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ETH Derivatives Sentiment

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Futures

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BTC ANNUALISED YIELDS – BTC’s yield term structure levels have risen strongly across all tenors but more so at the front end of the structure.

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ETH ANNUALISED YIELDS – ETH’s yield curve remains inverted, showing rising levels for all tenors.

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Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s perpetual funding rates return strongly positive after the election, showing increased demand for participation in the rally.

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ETH FUNDING RATE – ETH’s funding rate is similar to BTC’s recent movements, returning to positive after a period of neutral levels.

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BTC Options

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BTC SVI ATM IMPLIED VOLATILITY – The term structure of volatility has re- inverted and shows growing levels across tenors, especially at the front end.

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BTC 25-Delta Risk Reversal – Skew levels are positive across all tenors, indicating an overall strong bullish sentiment.

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ETH Options

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ETH SVI ATM IMPLIED VOLATILITY – ETH’s implied volatility term structure remains heavily inverted, mirroring BTC’s sharply increasing levels.

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ETH 25-Delta Risk Reversal – ETH’s volatility smiles now indicate a strong demand for upside exposure across the term structure.

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Volatility by Exchange

BTC, 1-MONTH TENOR, SVI CALIBRATION

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ETH, 1-MONTH TENOR, SVI CALIBRATION

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Put-Call Skew by Exchange

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

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

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Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 8:00 UTC Snapshot.

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CeFi COMPOSITE – ETH SVI – 8:00 UTC Snapshot.

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Listed Expiry Volatility Smiles

BTC 29-NOV EXPIRY – 8:00 UTC Snapshot.

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ETH 29-NOV EXPIRY – 8:00 UTC Snapshot.

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Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

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ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

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Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

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ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

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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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