Crypto Derivatives: Analytics Report – Week 10

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Despite our in-house Risk Appetite Index now below the December 2025 lows it bounced off, spot prices have shown resilience amidst the current geopolitical backdrop. BTC briefly fell from $65K to $63K as President Trump confirmed airstrikes against Iran, then more recently spiked up towards $70K. Positioning in derivatives markets reflect the moves in spot price. Perpetual swap funding rates briefly dropped to -0.01% in BTC and ETH, before returning back towards neutral levels, while futures-implied yields and skew in options markets have priced out the peak of their weekend bearishness (though the latter still remains significantly tilted towards puts).

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – Funding rates reached a local bottom on Feb 28, 2026 as President Trump announced airstrikes on Iran and positioning concentrated around shorts. Since then, funding has mostly recovered towards neutral levels.

ETH FUNDING RATE – ETH funding rates also fell lower amidst the joint US- Israeli airstrike announcement, though did not fall as negative as they did in BTC perpetual contracts.

Futures Implied Yields

BTC Futures Implied Yields – Similar to perp funding rates, sentiment in futures contracts deteriorated sharply over the weekend, though that did not last long and futures prices are back towards trading close to spot price.

ETH Futures Implied Yields – Despite a worsened macro and geopolitical backdrop, ETH spot price is up 5% over the past seven days – that resilience is partly reflected in ETH futures contracts also, as implied yields quickly round- tripped after the weekend drop.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – The vol term structure remains in a mild inversion, though mostly at lower absolute vol levels compared to last week.

BTC 25-Delta Risk Reversal – Positioning in options markets continues to point towards defensive hedging, with 7D smiles skewed 9% towards puts. Similar to funding and futures-yields however, skew has moderated from its weekend lows, in line with a modest recovery in spot price from $63K to $67K.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s vol term structure is still inverted, though the inversion is minimal compared to this time last month.

ETH 25-Delta Risk Reversal – Positioning in ETH options markets shows strong demand for put options across the surface. In fact, for most of the past six months we have seen skews tilted towards put contracts at short-dated tenors.

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Disclaimer

This article reflects the personal views of its author, not Deribit or its affiliates. Deribit has neither reviewed nor endorsed its content.

Deribit does not offer investment advice or endorsements. The information herein is informational and shouldn’t be seen as financial advice. Always do your own research and consult professionals before investing.

Financial investments carry risks, including capital loss. Neither Deribit nor the article’s author assumes liability for decisions based on this content.