This page is for information purposes only. Certain services and features may not be available in your jurisdiction.

Crypto Derivatives 8 October 2024

Block Scholes -Bl

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

With less than 30 days left until the US Presidential election, the term structure of ATM implied volatility is clearly showing the same dislocation that we have observed for several months. Implied volatility levels for 30-day-tenor options have moved further up, now trading similar levels to longer-dated options. Despite the relative kink, outright volatility levels have dipped in the past week for both majors. Spot price downside volatility in early October has been reflected in derivatives sentiment, with volatility smiles skewing towards puts at pre-election expiries. While levels have since recovered for BTC OTM options, showing a preference overall for OTM calls, ETH volatility smiles still exhibit a premium assigned to puts at short tenors.

ATM Implied Volatility, 1-Month Tenor

Fig1 OKX Currency-Combined-1M-ATM-VOL-ETH

BTC Options

Fig2 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

Fig3 OKX BTC SVI ATM volatility

Implied volatility levels are slightly lower than last week, but still show a dislocation for the US election on Nov 5, 2024.

BTC 25-Delta Risk Reversal

Fig4 OKX BTC SVI PC skew

Smiles have skewed towards puts for short tenors around the recent short-lived sell-off, before recovering.

ETH Options

Fig5 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

Fig6 OKX ETH SVI ATM volatility

Implied volatility has showed a decrease in overall levels.

ETH 25-Delta Risk Reversal

Fig7 OKX ETH SVI PC skew

ETH’s skews have dropped for short-dated OTM options, and have not recovered as BTC’s have.

Market Composite Volatility Surface

Fig8 okx snap BTC SMILES.moneyness
Fig9 okx snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

Fig10 BTC BTC-25OCT24 Listed Expiry
Fig11 ETH ETH-25OCT24 Listed Expiry

Constant Maturity Volatility Smiles

Fig12 BTC-SVI Constant Maturity
Fig13 ETH-SVI Constant Maturity

The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.

This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.

The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.

Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.

Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.

Disclaimer
This content is provided for informational purposes only and may cover products that are not available in your region. It is not intended to provide (i) investment advice or an investment recommendation; (ii) an offer or solicitation to buy, sell, or hold digital assets, or (iii) financial, accounting, legal, or tax advice. Digital asset holdings, including stablecoins and NFTs, involve a high degree of risk and can fluctuate greatly. You should carefully consider whether trading or holding digital assets is suitable for you in light of your financial condition. Please consult your legal/tax/investment professional for questions about your specific circumstances. Information (including market data and statistical information, if any) appearing in this post is for general information purposes only. While all reasonable care has been taken in preparing this data and graphs, no responsibility or liability is accepted for any errors of fact or omission expressed herein. Both OKX Web3 Wallet and OKX NFT Marketplace are subject to separate terms of service at www.okx.com.
© 2024 OKX. This article may be reproduced or distributed in its entirety, or excerpts of 100 words or less of this article may be used, provided such use is non-commercial. Any reproduction or distribution of the entire article must also prominently state: “This article is © 2024 OKX and is used with permission.” Permitted excerpts must cite to the name of the article and include attribution, for example “Article Name, [author name if applicable], © 2024 OKX.” No derivative works or other uses of this article are permitted.
Expand
Related articles
View more
View more
Explore our institutional solutions.