![](https://insights.deribit.com/wp-content/uploads/2022/09/blockscholes-deribit-partner-volatiliry-btc-eth-crypto_245.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Leverage as indicated by perpetual swap funding rates and futures-implied yields remains much lower than the extremes we saw ahead of the flush-out at the end of March. Implied volatility levels have crashed lower for both tokens and across their term structures, led by a significant under-performance in shorter-dated tenors. Vol smiles remain intermittently skewed towards OTM puts at short tenors as the market appears to brace for further downside in the short term. ETH vols trade some 5 vols higher than BTC’s across the term structure, with both future-implied yields and vol smile skews indicating more bearish positioning than in BTC’s markets, particularly in the short term.
Futures Implied Yield, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/05/o24t98byvewfo.jpg)
ATM Implied Volatility, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/05/29b3tycr8eo.jpg)
Futures
![](https://insights.deribit.com/wp-content/uploads/2024/05/924yt78wve.jpg)
BTC ANNUALISED YIELDS – yields trade near their month-long lows as spot continues to trade in its $60-70K range.
![](https://insights.deribit.com/wp-content/uploads/2024/05/9247tbvy9ew.jpg)
ETH ANNUALISED YIELDS – trade in a similarly tight range, but at much lower levels for shorter-dated tenors.
![](https://insights.deribit.com/wp-content/uploads/2024/05/9274bvtwe.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – remains close to zero as demand for leveraged exposure remains low following the flush-out one month ago.
![](https://insights.deribit.com/wp-content/uploads/2024/05/4932tb8vyef.jpg)
ETH FUNDING RATE – indicates slightly higher rates in the more illiquid USDC-margined token, with the token-settled rate remaining close to zero.
![](https://insights.deribit.com/wp-content/uploads/2024/05/2479tobvyw.jpg)
BTC Options
![](https://insights.deribit.com/wp-content/uploads/2024/05/29753bvtru.jpg)
BTC SVI ATM IMPLIED VOLATILITY– volatility levels have collapsed over the last week, lead by under-performing vol at shorter-dated tenors.
![](https://insights.deribit.com/wp-content/uploads/2024/05/94b7twvyfu.jpg)
BTC 25-Delta Risk Reversal – short-dated smiles have skewed towards puts intermittently over the last month.
![](https://insights.deribit.com/wp-content/uploads/2024/05/294b7tvryeow.jpg)
ETH Options
![](https://insights.deribit.com/wp-content/uploads/2024/05/29t4b8vyef.jpg)
ETH SVI ATM IMPLIED VOLATILITY – despite falling at a similar clip to BTCs ETH vols remain elevated by around 5 vols across the term structure.
![](https://insights.deribit.com/wp-content/uploads/2024/05/249ytneo.jpg)
ETH 25-Delta Risk Reversal – reports a persistent tilt towards OTM puts at shorter-dated tenors over the last month.
![](https://insights.deribit.com/wp-content/uploads/2024/05/947wbtvyfeiou.jpg)
Volatility by Exchange
BTC, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/942bty78wergou.jpg)
ETH, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/2904b8tywfeo.jpg)
Put-Call Skew by Exchange
BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/294t7bvyeof.jpg)
ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/92t7vbyefu.jpg)
Market Composite Volatility Surface
CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/9274tvwyeui.jpg)
CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/294b8vtywfoe.jpg)
Listed Expiry Volatility Smiles
BTC 31-MAY EXPIRY– 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/249tbv8ywfoe.jpg)
ETH 31-MAY EXPIRY – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/9472tbcwyfuoe.jpg)
Cross-Exchange Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/249t8bvyfe.jpg)
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/924bt8vywfo.jpg)
Constant Maturity Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/a7etf89qe.jpg)
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/924tbyefoas.jpg)
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