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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
Spot prices have performed a significant recovery since bouncing off the lower bound of their recent range almost one week ago. As a result, delivered volatility has stayed at its highs and has materially increased implied volatility at short-tenor options and inverted the term structure. The recovery has inspired a return to double digit yields implied by both BTC and ETH futures markets, but only the former asset sees a similar sentiment expressed by its perpetual swap funding rates. ETH still has its months-long-held volatility premium over BTC of around 10 points, but its short-tenors did not push as close to the levels at the back end of the term structure leaving its term structure slightly steeper.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
The term structure has flattened significantly as short-tenor optionality has rallied back above 50%
BTC 25-Delta Risk Reversal
The changing directions of spot price movements are reflected in the change in skew from towards puts to calls
ETH Options
ETH SVI ATM Implied Volatility
ETH volatility remains above BTC’s across the term structure but front-end vols did not rally as hard
ETH 25-Delta Risk Reversal
Like BTC, ETH’s markets are skewed slightly towards OTM calls but have not seen the same extremes in the last week
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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