Crypto Derivatives: Analytics Report – Week 51
Key Insights:
The kink in the term structure of ATM volatility has shifted to shorter tenors as the expected date for an ETF announcement draws nearer, and outright volatility levels for tenors later than the end of January remain stable in the mid 50s. We have seen a recovery in BTC’s short tenor skew, driven by an increasing demand for OTM calls that has not been replicated in ETH’s surface. Instead, we see 1W ETH upside volatility falling while the 1M smile prices for a more neutral skew. Futures-implied yields climb higher once more, while the funding rate of both assets’ perpetual swaps continues to signal strong demand for leveraged long exposure.
Futures implied yield, 1-Month Tenor
ATM Implied Volatility, 1-Month Tenor
*All data in tables recorded at a 10:00 UTC snapshot unless otherwise stated.
Futures
BTC ANNUALISED YIELDS – have climbed higher in the last 24 hours, with short-dated futures boasting the largest annualised yields above spot.
ETH ANNUALISED YIELDS – trade at the top end of their most recent monthly range.
Perpetual Swap Funding Rate
BTC FUNDING RATE – continues to indicate strong demand for leveraged long positions late into the year.
ETH FUNDING RATE – reports similarly strong demand for long positions through the derivative contract.
BTC Options
BTC SABR ATM IMPLIED VOLATILITY – The 1M tenor vol rises as the expected ETF announcement date moves closer along the term structure.
BTC 25-Delta Risk Reversal – has posted a strong recovery since signalling the selloff in spot price that we saw in early December.
ETH Options
ETH SABR ATM IMPLIED VOLATILITY – repots a widening gap between the 1W and 1M tenors as the expected ETF announcement date draws closer.
ETH 25-Delta Risk Reversal – does not report the same recovery in short- tenors as BTC, appearing to be slightly dislocated at a 1W tenor.
Volatility Surface
BTC IMPLIED VOL SURFACE – highlights the recovery in 1M OTM calls relative to the rest of the surface in the last two days.
ETH IMPLIED VOL SURFACE – indicates that it is a decreasing demand for OTM calls rather than an increase in demand for OTM puts that has seen the 1W skew move in contrast to the rest of the term structure.
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, SABR smile calibration.
Volatility Smiles
BTC SMILE CALIBRATIONS – 26-Jan-2024 Expiry, 11:00 UTC Snapshot.
ETH SMILE CALIBRATIONS – 26-Jan-2024 Expiry, 11:00 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.
Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.
You may also like
Michael Saylor hints at next Bitcoin buy as BTC falls below $88K

This Week's Preview: Macro "Flood Release" Week—Delayed CPI and the Bank of Japan's "Rate Hike Pursuit"
Key global market data will be released this week, including the U.S. non-farm payroll report, CPI inflation data, and the Bank of Japan's interest rate decision, all of which will significantly impact market liquidity. Bitcoin prices are fluctuating due to macroeconomic factors, while institutions such as Coinbase and HashKey are striving to break through via innovation and public listings. Summary generated by Mars AI This summary was generated by the Mars AI model. Its accuracy and completeness are still being iteratively improved.

Weekly Hot Picks: The Fed Cuts Rates and Indirectly "Injects Liquidity"! Silver Replaces Gold as the New Favorite?
The Federal Reserve is cutting interest rates and starting bond purchases, while Japan and other regions may turn to rate hikes. Silver repeatedly hits record highs, SpaceX is set for a 1.5 trillion IPO, and Oracle becomes the litmus test for the AI bubble. The Russia-Ukraine peace process is stuck on territorial issues, the US seizes a Venezuelan oil tanker... What exciting market events did you miss this week?

