Weekly recap of the crypto derivatives markets by BlockScholes.
BTC’s implied yields turn positive for shorter tenors
Annualised yields flatten at a higher level as short term tenors rise to match the implied yields of longer dated tenors
BTC Annualised Futures Implied Yields Table
Short-term ATM vol is back below long-term vol as the ATM term structure trades flat in the low 70s
BTC’s PC skew shows no sign of falling at long dated tenors
BTC Implied Volatility Surface
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data
BTC ATM Implied Volatility Table
All timestamps 10:00 UTC, SVI Smile Calibration
Bid and Ask implied volatilities are tight across strike domain
SABR and SVI Smile Calibrations, 29th July Expiry.
BTC’s vol smile drops across the strike domain, with no reduction in the steepening of the wings we saw last week
BTC 1 Month SABR Implied Vol Smile.
ETH Derivatives Analytics
ETH’s annualised yields have not recovered at the same pace as BTC’s, remaining negative at a 1M tenor
Annualised Futures Implied Yields Table
ETH’s ATM term structure remains flat in the mid 90s, significantly higher than the 70% level held by BTC
ETH’s PC skew remains much lower than BTC’s after it’s fall in late June
ETH Implied Volatility Surface
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data
ETH ATM Implied Volatility Table
All timestamps 10:00 UTC, SABR Smile Calibration
Implied vol of ETH’s bid and offer prices is tight for low strikes
SABR and SVI Smile Calibrations, 29th July Expiry.
ETH’s vol smile drops for all strikes in a similar fashion to BTC’s smile
ETH 1 Month SABR Implied Vol Smile.
