[Deribit] Crypto Derivatives: Analytics Report – Week 5
Weekly recap of the crypto derivatives markets by BlockScholes.
The weeks following BTC’s and ETH’s rallies have been met with a consolidation of short-dated future-implied yields towards that of longer-dated implied yields. The volatility surfaces of both assets see less dramatic changes to their previously recorded levels than in recent weeks at longer dated tenors. Shorter dated tenors however have become more expensive with the smile being skewed towards OTM puts.
BTC ANNUALISED YIELDS – futures continue trading above spot price while the 1W tenor yield consolidates towards the yields of longer dated tenors.
ETH ANNUALISED YIELDS – continue moving above 0 with 1W tenors trading lower than 3M and 6M over the last week.
Perpetual Swap Funding Rate
BTC FUNDING RATE – trades near zero, reflecting a convergence in perpertual and spot prices and diminished demand for long swap exposure.
ETH FUNDING RATE – mirrors BTC in trading near 0, with demand for long perpetual exposure diminishing earlier than BTC over the last week.
BTC SABR ATM IMPLIED VOLATILITY – continues moving sideways, returning to last week’s levels following a spike mid-week.
ETH SABR ATM IMPLIED VOLATILITY – mirrors BTC’s continuing at levels seen last week.
BTC IMPLIED VOL SURFACE – experiences cooling at longer dated tenors with shorter tenors experiencing a slight skew toward OTM puts.
ETH IMPLIED VOL SURFACE – sees similar cooling to BTC with a more exaggerated skew to OTM puts than BTC at shorter dates tenors.
Put Call Skew
BTC 25 DELTA PC SKEW – shows that vol smiles at all tenors other than the 1Y are skewed toward OTM puts.
ETH 25 DELTA PC SKEW – shows that the vol smile mostly resembles BTC’s with all tenors being slightly skewed towards OTM puts.
BTC SMILE CALIBRATIONS – 24-Feb-2023 Expiry, 10:00 UTC Snapshot.
ETH SMILE CALIBRATIONS – 24-Feb-2023 Expiry, 10:00 UTC Snapshot.
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.