![](https://insights.deribit.com/wp-content/uploads/2023/03/2973rcbfyiauhcs.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Spot yields implied by futures prices have trended lower for both assets, as has at-the-money implied volatility at all tenors. There is a more significant skew towards OTM puts in both assets, and a low perpetual swap funding rates suggest a lower interest in excess exposure to up or downside action through the perpetual than we saw in the first two months of the year.
Futures
BTC ANNUALISED YIELDS – spot yields remain positive but continue a trend towards zero.
![](https://insights.deribit.com/wp-content/uploads/2023/03/9238rhy9qdw.jpg)
ETH ANNUALISED YIELDS – fall closer towards zero than BTC’s but continue to trade sideways.
![](https://insights.deribit.com/wp-content/uploads/2023/03/iweufahc.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – continue last week’s trend of little outsized interest in perpetual swap long or short exposure.
![](https://insights.deribit.com/wp-content/uploads/2023/03/2937rhy9wefu.jpg)
ETH FUNDING RATE – sees a small positive rate paid to short perpetual swap positions in the last 24 hours.
![](https://insights.deribit.com/wp-content/uploads/2023/03/2873rg8tqwd.jpg)
Options
BTC SABR ATM IMPLIED VOLATILITY – 1 week tenor options recover slightly, with longer term tenors trending lower.
![](https://insights.deribit.com/wp-content/uploads/2023/03/2837rtc8ewf7d.jpg)
ETH SABR ATM IMPLIED VOLATILITY – trades between 45-60% across the term structure, marginally higher than BTC’s.
![](https://insights.deribit.com/wp-content/uploads/2023/03/827grt8wq7ed.jpg)
Volatility Surface
BTC IMPLIED VOL SURFACE – cools across the surface except for OTM puts at a 1 week tenor.
![](https://insights.deribit.com/wp-content/uploads/2023/03/2974cry9wef7.jpg)
ETH IMPLIED VOL SURFACE – sees a surface-wide cooling as implied volatility falls across the tenor and delta domains.
![](https://insights.deribit.com/wp-content/uploads/2023/03/827tcr8e7fyd.jpg)
Z-Score calculated with respect to the distribution of implied volatility of an option at a given delta and tenor over the previous 30-days of hourly data, timestamp 10:00 UTC, SABR smile calibration
Put-Call Skew
BTC 25 DELTA PC SKEW – has begun a trend towards OTM puts over the last few days, led by shorter tenor options.
![](https://insights.deribit.com/wp-content/uploads/2023/03/237rc9qfewyd.jpg)
ETH 25 DELTA PC SKEW – shows less of a decisive trend towards a skew to OTM puts, but shows a more pessimistic outright level.
![](https://insights.deribit.com/wp-content/uploads/2023/03/238r7cqtwda.jpg)
Volatility Smiles
BTC SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/9237ryc9ihwef.jpg)
ETH SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8237rtc8qsc.jpg)
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/298rwudhs.jpg)
ETH SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/287rct8fyehcs.jpg)
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