Bybit X Block ScholesCrypto Derivatives Analytics Report (Sep 25, 2024): Short Tenor Volatility for BTC Option Drops Following Fed Rate Cut

Key Highlights:

Our weekly crypto derivatives analytics report dives into macro events, the current state of crypto, and trading signals from spot trading volume and futures, options and perpetual contracts.

After the Federal Reserve's 50 basis point rate cut on September 18, 2024, spot prices for BTC and ETH have responded positively. The derivatives markets show several signs of favorable sentiment: open interest in both futures and perpetual swaps remains high, and funding rates have generally been positive across most tokens. BTC call open interest has gradually risen, and the volatility smile has expanded for both BTC and ETH calls. Implied volatility for at-the-money short-dated options has fluctuated downward, suggesting an increasingly positive outlook for the derivatives market in the short term.