Research Summary
The report provides a weekly recap of the crypto derivatives markets. It highlights that the at-the-money implied volatility has tapered off alongside the bullish momentum in spot prices seen late last week. ETH options are just lower than BTC’s at all tenors. Both continue to price up- and down-side optionality at similar levels, while their future-implied yields have converged somewhat at small positive rates. The funding rate of ETH’s perpetual swap has overtaken that of BTC, having lagged its strong performance during the rally last week.
Actionable Insights
- Monitor ETH and BTC Options: Both ETH and BTC options continue to price up- and down-side optionality at similar levels. ETH options are slightly lower than BTC’s at all tenors.
- Observe ETH’s Perpetual Swap Funding Rate: The funding rate of ETH’s perpetual swap has overtaken that of BTC. This is significant as it had lagged BTC’s strong performance during the rally last week.
- Track Implied Volatility: The at-the-money implied volatility has tapered off with the bullish momentum in spot prices. This could have implications for future price movements.
