Weekly recap of the crypto derivatives markets by BlockScholes.
BTC
BTC’s annualised implied yields jump to above 0% for all tenors less than 1Y
BTC Annualised Futures Implied Yields Table
BTC’s ATM implied volatility is rising, with IV between 70% and 75% at all tenors
BTC’s 25-delta vol smile continues its skew towards OTM puts
Short-dated OTM puts continue to outperform the rest of the smile, with IVs near to 100% at short-dated tenors
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, timestamp 10:00 UTC
BTC ATM Implied Volatility Table
All timestamps 10:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 28th October Expiry
BTC’s 30d tenor vol smile rises across the strike domain
BTC 1 Month SABR Implied Vol Smile.
ETH
Whilst still negative at all tenors, ETH’s yields continue at their new level post-Merge trade action
ETH Annualised Futures Implied Yields Table
ETH’s ATM volatility continues to fall lower, despite a tumbling spot price
ETH’s 180d volatility smile matches the skew in BTC’s volatility smile
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, timestamp 10:00 UTC
ETH ATM Implied Volatility Table
All timestamps 10:00 UTC, SVI Smile Calibration
SABR and SVI Smile Calibrations, 28th October Expiry
ETH’s vol smile sees a fall in the implied volatility of OTM calls, whilst OTM puts remain static
ETH 1 Month SABR Implied Vol Smile.
