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Week 46 Crypto Derivatives: FTX Shock and Volatility Skew

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Summary

This weekly report describes the reaction of BTC and ETH derivatives markets to the collapse of FTX. It notes that annualized futures yields fell sharply below zero, implied volatility spiked and remained elevated, and short dated options carried the highest volatility. ETH volatility was reported above BTC, while both assets’ volatility smiles shifted toward stronger out of the money put skew after a quieter period.

The report organizes its observations across futures yields, SABR at the money implied volatility, volatility surfaces, and SABR rho. Surface z scores compare implied volatility at a given delta and tenor with hourly observations from the prior 30 days. These measures provide a snapshot of changing market pricing and downside demand during a major event, not a forecast or trade recommendation. The material offers no underlying numeric charts in the text, controlled comparison, or evidence that the repricing endured beyond the reported period.

Key ideas

  • Following FTX’s collapse, BTC and ETH annualized futures yields fell substantially below zero.
  • Implied volatility rose sharply in both assets and remained elevated after the initial jump.
  • Short dated options had the highest implied volatility, with strong skew across tenors.
  • Both BTC and ETH volatility smiles shifted toward greater out of the money put skew.
  • The report’s z scores benchmark option volatility against hourly observations from the preceding 30 days.

Tags

CryptoFuturesOptionsVolatilityRisk management

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.