Coinvexity 19
With the holiday season coming to an end, price action remains muted for both BTC & ETH.
Futures
BTC Futures appear a little scattered but the overall structure here is that of a slump lower in the near term but a gradual increase further out. Overall basis remains subdued here.
In ETH, levels appear similarly bound to a narrow channel with little more than a slight smirk to suggest long-term upside in ETH prices.
Vol
As we roll into the new year it seems new year resolutions are lost on Implied Vol which seemingly has no intention to embrace change. Levels keep stepping lower on the front end, now trading a little above 25 vol. Interestingly, the back end (1yr) remains stickier albeit also trading lower. As can be seen, levels tend to revert towards being a tight cluster but presently 1wk and 1yr are posting a spread of 27 vol.
The story is very much the same here when looking at Realised. The near end continues to pull away from the more stable far date as spot lulls. We expect a pick up here once trading resumes post-EOY break. Implieds trade under Realised in 2mo and 1yr.
Vol shifts lower across the entire surface with the near end suffering the largest decline in vol.
Skew remains positive here across all curves but interestingly 1mo posts the highest skew, exceeding 1wk and 1yr. With levels this elevated still, we can expect 1wk to either trend higher or for the 1mo to fall in due course.
In ETH, the story is very much the same with IV drifting lower and lower in search of a bottom. There is little in the way of data or anticipated events and as such, markets continue their lull.
The story is very much the same in Realised as well with the near end shifting lower off their Nov highs.Â
The term structure here also shows a marked shift lower <1wk while levels remain relatively flat (albeit lower) towards the tail end.
Whilst positive, the 25D skew in ETH has dipped into negative territory on earlier occasions and 1wk continues to flirt with parity.
Vol Run
<1mo Riskies have tended positive at a greater clip than their longer-dated counterparts whereas Flies have shown reduced convexity - 25D moreso than 10D.
Flies across the board have exhibited reduced convextity especially in 10D posting readings in the region of 2%. Riskies have posted reduced bias towards Puts on a weekly basis with 10D posting the most aggressive shifts.