![](https://insights.deribit.com/wp-content/uploads/2023/03/92476ftw9ey.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
At-the-money implied volatility has fallen and remained low since the FOMC meeting on the 22nd March confirmed a 25 bps interest rate hike. Further bullish movements in spot price have buoyed several key derivatives metrics in the last couple of days, with a rise in futures-implied yields, positive funding rates, and a slight move towards OTM calls by the volatility smile of both BTC and ETH options.
Futures
BTC ANNUALISED YIELDS – have risen distinctly in recent days owing to the strong performance of spot price over the same period.
![](https://insights.deribit.com/wp-content/uploads/2023/03/9346h8ty9w.jpg)
ETH ANNUALISED YIELDS – traded sideways just above zero since the recovery of USDC’s peg to the dollar, rising slightly in the last 24 hours.
![](https://insights.deribit.com/wp-content/uploads/2023/03/4w7yefd.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – records month long highs paid to short positions as demand for long exposure to the perpetual swap contract surges.
![](https://insights.deribit.com/wp-content/uploads/2023/03/2857fwht8e.jpg)
ETH FUNDING RATE – saw little action midweek, before reflecting a desire for upside participation in the most recent spot rally.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8235tf7r8e.jpg)
Options
BTC SABR ATM IMPLIED VOLATILITY – trades at distinctly lower levels to last week, following the end of a week of macroeconomic announcements.
![](https://insights.deribit.com/wp-content/uploads/2023/03/9243ty9we.jpg)
ETH SABR ATM IMPLIED VOLATILITY – cooled dramatically following the FOMC meeting on 22nd March, now trades below 60% at all tenors.
![](https://insights.deribit.com/wp-content/uploads/2023/03/924ty9we.jpg)
Volatility Surface
BTC IMPLIED VOL SURFACE – almost all points on the surface have increased volatility expectations, particularly at ATM strikes at 3M and 4M tenors.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8237528.jpg)
ETH IMPLIED VOL SURFACE – sees the strongest cooling in OTM puts in the last few days, reducing its excess skew to OTMs puts at all tenors.
![](https://insights.deribit.com/wp-content/uploads/2023/03/9465923.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 – trades in a tight spread above 1, with the vol smile at short tenors reducing its skew towards OTM puts.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8479wef.jpg)
ETH 25 DELTA PC SKEW – has traded sideways over the previous week, at a slightly stronger skew towards OTM puts than BTC’s vol smile.
![](https://insights.deribit.com/wp-content/uploads/2023/03/927569w8r.jpg)
Volatility Smiles
BTC SMILE CALIBRATIONS – 28-Apr-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8249fg7e.jpg)
ETH SMILE CALIBRATIONS – 28-Apr-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/8247tecsf.jpg)
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/w84c7tyeh.jpg)
ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/03/92749wey.jpg)
AUTHOR(S)