Perpetuals - Global Market
BTC
ETH
Following yesterday’s NFP release, both majors see basis dip negative on OKX and FTX whilst remaining buoyant elsewhere. Despite APR in both pairs posting decent levels on the daily, avg. 7 day APR in BTC remains elevated relative to ETH which took a beating post-merge.
Futures - Global Market
BTC
ETH
APR in ETH futures reflect that basis sits south of 0 pretty much across the board. Despite the bulk of OI sitting in the eoy bucket in ETH and BTC, OKX posts a noteworthy 175mio 31/03, somewhat ahead of the curve.
Futures Basis Term Structure
BTC
ETH
In BTC, Kraken continues to be the outlier here but by and large, the term structure leans positive with little dispersion. Basis in ETH futures is a different story. Last month’s print valleyed out at the EOY but today’s print shows basis has turned lower into Q1 23.
Options
EOM OI
Dipping into OI by expiration, Oct EOM in ETH reveals a bias selling upside and picking up downside.
Implied Vol Spread
Much like in the leadup to the merge, SOL-ETH IV looks to be revisiting lower levels as 1wk SOL IV loses ground against its counterparts. SOL-BTC IV will prove an interesting one to keep in sight as price action here may appear to be trending lower but with SOL generally posting higher IV, any losses against ETH may be avenged in this cross.
Term Structures in both majors have undergone a shift downward across all tenors with ETH posting the most dramatic displacement.
Assessing the EOM smile once again shows ETH to be the more volatile with the smile moving lower circa 16 vol points.