Research Summary
The report provides a weekly recap of the crypto derivatives markets. The key insight is that despite risk-reversals recovering from their plummet at the beginning of the week, the outright level of implied volatility has continued to drift lower. This trend was exacerbated by the release of US CPI data on Wednesday. Both yields and perpetual swap funding rates continue to suggest positive sentiment in contrast to the 25-delta RRs.
Actionable Insights
- Monitor the Implied Volatility: The implied volatility has been drifting lower, which was exacerbated by the release of US CPI data. This trend is important to monitor as it can impact the pricing of crypto derivatives.
- Observe the Risk-Reversals: Risk-reversals have recovered from their plummet at the beginning of the week, indicating a shift in market sentiment. This could have implications for trading strategies.
- Track the Perpetual Swap Funding Rates: Both yields and perpetual swap funding rates continue to suggest positive sentiment, which could provide opportunities for traders.
