Crypto Derivatives Market Pulse

Quick Takes: Spot – Volatility Dynamics

• BTC is trading back above +58k (+6% since Monday) after CPI number release and the US presidential debate. Bitcoin may face resistance here but has room to rise towards USD 62k if momentum continues.
• ETH gained +3% since Monday, now at USD 2’360.
• ETH continues to lose market share to Bitcoin. ETHBTC cross is back to 2024 lows (for the third time since end of August) at 0.040, testing support.
• The market is now focussing on the Fed’s interest rate decision and October unemployment data for more clarity on the condition of the US economy.
• Short-term implied volatility softened post-CPI and US presidential debate for both BTC and ETH.
• BTC & ETH term structure shows a significant increase in implied vols (7-8%-points) for expiries around the US election
• Longer dated vols remain stable but capped to the upside due to increased option selling pressure
• Call-Put Skew on the front-end of the curve is trading in favour of Puts, drawing a slightly bearish outlook on the short-term for both BTC & ETH. Long-term outlook remains optimistic with Calls trading at +3% implied vol premium over Puts.

Volatility

BTC ATM Implied Volatility:

Short-dated?volatility continues to follow the spot market closely, while long-tenor option volatility remains steady but capped to the upside due to increasing option selling activity on longer-dated expiries.

BTC 25 Delta Put Skew:

Skew levels are still in favour of Puts on the front-end while 3–6-month expiries remain trading at 2-3%-point Call premium over Puts. Overall, Skew if reflecting an ongoing risk-off scenario on the front-end of the curve, while mid-to long-term market sentiment remains mildly bullish.

BTC Term Structure:

The term-structure shows a clear kink, with a noticeable shift higher on the November 8 expiries as traders position themselves for the outcome of the U.S. presidential election. ATM implied volatility rises by approximately 7%-points between October 25 and November 8 expiries, underscoring the significance of the election and its potential influence on crypto prices.

ETH ATM Implied Volatility:

ETH ATM implied vols are trading softer across the curve over the last 24hrs. Front-end vols in expiries up to 1month experience the sharpest correction (-2.5%-points avg) while longer-dated vols trade above 70% but also face downward pressure due to increased Call selling pressure.

ETH 25 Delta Call-Put Skew:

Skew mirrors short-term fear of another leg down in the market, as Puts are trading at >3%-points implied vol premium over Calls in 7D expiries. The outlook improves when moving further along the curve. 6-month 25 Delta Calls offer +2.5%-point implied vol premium over Puts, highlighting that the market remains overly optimistic on ETH’s price performance into Q1 2025.

ETH Term Structure:

ETH term structure mirrors the shape of BTC with a clear kink on November 8 expiries. Overall, ETH ATM vols continue to trade at around 9-10%-point premium over BTC across the curve.

Author: Dennis Constantin Ehlert

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