![](https://insights.deribit.com/wp-content/uploads/2023/04/380ytwg.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
ETH’s volatility smile has reduced its skew towards OTM puts and now prices shorter tenors much closer to neutral smiles of BTC options. However, ETH derivatives are pricing for a distinctly higher volatility expectation over the next month compared to BTC. Future-implied yields remain cautiously optimistic above 0 for both assets and, with little spot price action to move the perpetual swap, their funding rates remain low.
Futures
BTC ANNUALISED YIELDS – remain at their slightly elevated levels with an inverted terms structure.
![](https://insights.deribit.com/wp-content/uploads/2023/04/o2tyc3ifahs.jpg)
ETH ANNUALISED YIELDS – trade slightly lower than BTC’s with very similar behaviour.
![](https://insights.deribit.com/wp-content/uploads/2023/04/27956ce.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – has remained flat since the bullish action of a week ago saw funding rate spike positively.
![](https://insights.deribit.com/wp-content/uploads/2023/04/93648hwyte.jpg)
ETH FUNDING RATE – has traded positively at times above BTC’s in the last week or so.
![](https://insights.deribit.com/wp-content/uploads/2023/04/iwt4bfsdouh.jpg)
Options
BTC SABR ATM IMPLIED VOLATILITY – holds a flat term structure at muted levels between 50-60%.
![](https://insights.deribit.com/wp-content/uploads/2023/04/2975ce.jpg)
ETH SABR ATM IMPLIED VOLATILITY – trades with a similar flat term structure at the higher level of BTC’s range.
![](https://insights.deribit.com/wp-content/uploads/2023/04/itq3cuafs.jpg)
Volatility Surface
BTC IMPLIED VOL SURFACE – cools at the short end of the term structure, and particularly in OTM puts resulting in a drop in short term put-call skew.
![](https://insights.deribit.com/wp-content/uploads/2023/04/2497cwrteisug.jpg)
ETH IMPLIED VOL SURFACE – sees a similar cooling in OTM puts but longer into the term structure than BTC’s vol surface.
![](https://insights.deribit.com/wp-content/uploads/2023/04/o4tbweyfsuh.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 – continues at similar levels, with longer dated tenors pricing for a more optimistic out look than the neutral short tenors.
![](https://insights.deribit.com/wp-content/uploads/2023/04/iqtbueafs.jpg)
ETH 25 DELTA PC SKEW – turns neutral in a decisive move seen predominantly in shorter tenor vol smiles.
![](https://insights.deribit.com/wp-content/uploads/2023/04/283tycrofs.jpg)
Volatility Smiles
BTC SMILE CALIBRATIONS – 28-Apr-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/04/238572re.jpg)
ETH SMILE CALIBRATIONS – 28-Apr-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/04/92465928wef.jpg)
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/04/298563298s.jpg)
ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/04/34986tv9wy8e.jpg)
AUTHOR(S)