Research Summary
The report provides a weekly recap of the crypto derivatives markets. It highlights that the realized volatility in spot prices over the last week has not led to a significant increase in implied vols, which continue to trade in their recent range of 40%-50% across the terms structure. The report also notes that long exposure via the perpetual swap contract remains in high demand. It provides detailed data on futures, annualized yields, perpetual swap funding rate, and options for both Bitcoin (BTC) and Ethereum (ETH).
Actionable Insights
- Monitor the volatility: Despite the volatility in spot prices, implied vols continue to trade in their recent range of 40%-50% across the terms structure.
- Consider long exposure via perpetual swap contract: The demand for long exposure through the perpetual swap contract has been consistently high.
- Keep an eye on BTC and ETH yields: BTC annualized yields remain inverted and have shown significant spikes in response to rallies in spot price. ETH annualized yields have trended steadily upwards over the last 7 days.
- Observe the BTC and ETH options: BTC’s ATM implied volatility has remained above its pre-rally levels, with a pickup across the term structure in the last 24 hours. ETH’s ATM implied volatility continues to trade in the 40%-50% range across the term structure, with longer tenors at a higher vol level.
