Research Summary
The report provides a weekly recap of the crypto derivatives markets. The report highlights a continued trend of low delivered volatility, with both BTC and ETH options reaching all-time low levels. The futures market, however, shows large positive yields and a resumption of the positive funding rate regime enjoyed by short positions over the last 30 days. The report also provides detailed data on futures, annualised yields, perpetual swap funding rate, and volatility surface metrics.
Actionable Insights
- Low Delivered Volatility: BTC and ETH options continue to show low delivered volatility, reaching all-time low levels.
- Futures Market: The futures market is showing large positive yields and a resumption of the positive funding rate regime enjoyed by short positions over the last 30 days.
- BTC and ETH Annualised Yields: Futures are trading above spot by about 5%, with 1-week yields higher at close to 10%.
- Perpetual Swap Funding Rate: BTC funding rate has risen again, following a brief pause in the large rates paid from long positions to short positions over the last 30 days.
- Volatility Surface: Both BTC and ETH show a continued fall in implied volatility throughout the last month at all points on the surface.
