Crypto Derivatives 24 September 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.

Following the cut in the Fed funds interest rate on September 18, 2024 we have seen an increase in spot prices for both major coins and an overall positive sentiment in the derivatives markets. The futures implied yields term structure was largely inverted over the last week, with yields showing high levels for the short term. However, the curve has now disinverted, having returned to similar levels as of last week. Perp swaps funding rates have fully recovered for both tokens, after a long period of stagnant negative rates. While ATM implied volatility levels have been on a slight decline for both BTC and ETH options, skews have been on the rise across all tenors, indicating a general increase in preference towards calls, adding to the evidence of a growing bullish sentiment in derivatives markets after the interest rate cut.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Implied volatility has overall been on the decline across the term structure.

BTC 25-Delta Risk Reversal

BTC skew has been rising for short-dated options

ETH Options

ETH SVI ATM Implied Volatility

Implied volatility has oscillated similarly to BTC’s and has fallen for short-tenor options.

ETH 25-Delta Risk Reversal

ETH’s skews have increased significantly after the interest rate cut

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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