Crypto Derivatives Market Pulse

Quick Takes: Spot – Volatility Dynamics

• Bitcoin (BTC) started the week strong, attempting to break above USD 63,000. This was driven by a notable inflow in BTC ETFs (USD +233.8M) and stronger-than-expected US payroll data from the previous Friday. With expectations of further interest rate cuts and a resilient US labour market, conditions appear favourable for a potential price breakout towards recent highs around USD 67,000. Today’s US Inflation numbers came in slightly higher than expected (+2.4% vs. 2.3%) but still lower than in August, while US Jobless Claims rose to +258k, surpassing market expectations of +230k. The initial price action in the crypto market was skewed to the downside. So far this month, Bitcoin (BTCUSD) has fallen by 3.6%, slipping back below USD 61,000 yesterday, failing to meet expectations of historically strong October performance.
• Ethereum (ETH) continues to lose market share to major competitors like Bitcoin (BTC) and Solana (SOL). Over the past week, net ETH ETF flows amounted to USD - 3.9M, indicating overall weak demand for Ethereum from the broader market. Month-to-date ETHUSD slipped -8%, and the ETHBTC cross has fallen below 0.04 since the start of the month. SOLETH cross increased from 0.04 to 0.06 in Q3 but is currently pausing as the overall altcoin space appears weak for the time being.
• BTC’s short-term implied volatility remains under pressure. 7D ATM implied vol is nearing 40% (-6%-points lower week-over-week). 30D-6M currently trade tight between 54%-57%, also experiencing downside pressure.
• Apart from the general implied vol pick-up in ETH vs BTC (avg. 7%-points), ETH ATM implied vols are also on the move down across the curve (avg. -4%-points).
• As sentiment currently leans more to the downside (particularly in ETH) on the short-end, BTC & ETH Skew continues to show an implied vol premium for Puts over Calls. Post US-elections, sentiment improves and Skew flips to avg. +2% Call premium.

Volatility

BTC ATM Implied Volatility:

Overall, implied vols further declined across the term structre, with short-dated vols leading the decline (-6%-points 7D week-over-week), while longer-dated vols are also under pressure from increasing Call selling activity for year-end and Q1 2025 expiries. Today’s US CPI numbers did not bring the anticipated drive in volatility.

BTC 25 Delta?Call-Put Skew:

Short-dated options still favor puts, while the longer-end continues to paint an overall optimistic outlook for Bitcoin in Q4 and into Q1 2025.

BTC Term Structure:

The term structure continues to show a decent kink in implied vols around the US presidential election date. While part of vol-pick up between month-end and 8November expiries has already been consumed, an extra +7%-points in ATM implied vols for early November expiries still underlines the uncertainty around the outcome of the US presidential election.

ETH ATM Implied Volatility:

ETH's at-the-money implied volatility declined by almost -4%-points across the curve since Thursday last week, led by a substantial slide on the front-end of the curve. Overall downside pressure on implied vols is set to continue as the spot market fails to break out to either side and realized volatility declined significantly over the last seven days (30day ETH realized vol now at 30% vs 60% a week ago).

ETH 25 Delta Call-Put Skew:

The short-term outlook worsened over the last few days. 7D to 1-month 25 Delta Puts now offer a 3%-point implied volatility premium over calls, up from 1.8%-points last week. Further ahead, the outlook improves and Skew flips to the call side as 25 Delta Calls with 1-to 6-month expiries trade at around 2%-points implied vol premium over Puts, signalling general optimism.

ETH Term Structure:

The term structure for ETH mirrors BTC, showing a distinct kink around November 8 expiries. Overall, ETH at-the-money volatility continue to trade at around 7%-point premium over BTC across the curve.

Author: Dennis Constantin Ehlert

Disclaimer – Research

This document has been prepared by AMINA Bank AG (“AMINA”) in Switzerland. AMINA is a Swiss bank and securities dealer with its head office and legal domicile in Switzerland. It is authorized and regulated by the Swiss Financial Market Supervisory Authority (FINMA).

This document is published solely for educational purposes; it is not an advertisement nor is it a solicitation or an offer to buy or sell any financial investment or to participate in any particular investment strategy. This document is for distribution only under such circumstances as may be permitted by applicable law. It is not directed to, or intended for distribution to or use by, any person or entity who is a citizen or resident of or located in any locality, state, country or other jurisdiction where such distribution, publication, availability or use would be contrary to law or regulation or would subject AMINA to any registration or licensing requirement within such jurisdiction.

No representation or warranty, either express or implied, is provided in relation to the accuracy, completeness or reliability of the information contained in this document, except with respect to information concerning AMINA. The information is not intended to be a complete statement or summary of the financial investments, markets or developments referred to in the document. AMINA does not undertake to update or keep current the information. Any statements contained in this document attributed to a third party represent AMINA's interpretation of the data, information and/or opinions provided by that third party either publicly or through a subscription service, and such use and interpretation have not been reviewed by the third party.

Any prices stated in this document are for information purposes only and do not represent valuations for individual investments. There is no representation that any transaction can or could have been effected at those prices, and any price(s) do not necessarily reflect AMINA’s internal books and records or theoretical model-based valuations and may be based on certain assumptions. Different assumptions by AMINA or any other source may yield substantially different results.

Nothing in this document constitutes a representation that any investment strategy or investment is suitable or appropriate to an investor’s individual circumstances or otherwise constitutes a personal recommendation. Investments involve risks, and investors should exercise prudence and their own judgment in making their investment decisions. Financial investments described in the document may not be eligible for sale in all jurisdictions or to certain categories of investors. Certain services and products are subject to legal restrictions and cannot be offered on an unrestricted basis to certain investors. Recipients are therefore asked to consult the restrictions relating to investments, products or services for further information. Furthermore, recipients may consult their legal/tax advisors should they require any clarifications.

At any time, investment decisions (including whether to buy, sell or hold investments) made by AMINA and its employees may differ from or be contrary to the opinions expressed in AMINA research publications.

This document may not be reproduced, or copies circulated without prior authority of AMINA. Unless otherwise agreed in writing AMINA expressly prohibits the distribution and transfer of this document to third parties for any reason. AMINA accepts no liability whatsoever for any claims or lawsuits from any third parties arising from the use or distribution of this document.

Research will initiate, update and cease coverage solely at the discretion of AMINA. The information contained in this document is based on numerous assumptions. Different assumptions could result in materially different results. AMINA may use research input provided by analysts employed by its affiliate B&B Analytics Private Limited, Mumbai. The analyst(s) responsible for the preparation of this document may interact with trading desk personnel, sales personnel and other parties for the purpose of gathering, applying and interpreting market information.? The compensation of the analyst who prepared this document is determined exclusively by AMINA.