![](https://insights.deribit.com/wp-content/uploads/2023/04/7659g87t.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Volatility has gradually risen across the term structure as BTC trades near its range lows of $60K, but has still not deviated from its longer term downward trend. ETH continues to trade 5-7 vols higher than BTC. Despite a strong start to the month where skew recovered following the spot sell-off which saw investors purchase OTM puts for downside protection, the skew at short-dated tenors has traded with some uncertainty recently. ETH’s skew continues to trade lower than BTC’s, indicating more bearish positioning. Leverage – indicated by perpetual swap funding rates and futures-implied yields – has increased, particularly at short-dated tenors which have risen beyond longer-dated tenors, indicating demand for leveraged long exposure as both majors sit at precarious levels.
Futures Implied Yield, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/05/w0gqev.jpg)
ATM Implied Volatility, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/05/45bygwe.jpg)
Futures
![](https://insights.deribit.com/wp-content/uploads/2024/05/2o48tvybqeod.jpg)
BTC ANNUALISED YIELDS – yields at short-dated tenors rose beyond longer-dated tenors as BTC bounced at $60K.
![](https://insights.deribit.com/wp-content/uploads/2024/05/20980qehi.jpg)
ETH ANNUALISED YIELDS – the increase in yields is far less prominent compared to BTC, continuing to trade lower at short-dated tenors.
![](https://insights.deribit.com/wp-content/uploads/2024/05/2948tvbqyoeh.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – continued to trade near zero throughout the week, but rose sharply as BTC bounced at $60K, indicating a sudden demand for leveraged long exposure.
![](https://insights.deribit.com/wp-content/uploads/2024/05/AEGUOVA.jpg)
ETH FUNDING RATE – has traded higher than BTC over the past week, particularly in the more illiquid USDC-margined token.
![](https://insights.deribit.com/wp-content/uploads/2024/05/098rhfsifb.jpg)
BTC Options
![](https://insights.deribit.com/wp-content/uploads/2024/05/q08e9gaho.jpg)
BTC SVI ATM IMPLIED VOLATILITY – vol has been rising steadily within the past week, where the front-end of the term structure briefly became inverted as vol at short-dated tenors spiked.
![](https://insights.deribit.com/wp-content/uploads/2024/05/08aeghaid.jpg)
BTC 25-Delta Risk Reversal – skew at current levels is neutral as there is no obvious preference for OTM call or put options.
![](https://insights.deribit.com/wp-content/uploads/2024/05/8889q0ef.jpg)
ETH Options
![](https://insights.deribit.com/wp-content/uploads/2024/05/93472979274gf.jpg)
ETH SVI ATM IMPLIED VOLATILITY – has followed a similar pattern to BTC, but still trades 5-7 vols higher across the compressed term structure.
![](https://insights.deribit.com/wp-content/uploads/2024/05/99031f.jpg)
ETH 25-Delta Risk Reversal – is slightly more bearish at shorter-dated tenors, but nothing like the bearishness observed at the beginning of the month.
![](https://insights.deribit.com/wp-content/uploads/2024/05/29ghrwoid.jpg)
Volatility by Exchange
BTC, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/284ytnvewof.jpg)
ETH, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/924gefhodi.jpg)
Put-Call Skew by Exchange
BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/2908thqeai.jpg)
ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/05/woeugoied.jpg)
Market Composite Volatility Surface
CeFi COMPOSITE – BTC SVI – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/2984tyeho.jpg)
CeFi COMPOSITE – ETH SVI – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/88w8dh.jpg)
Listed Expiry Volatility Smiles
BTC 31-MAY EXPIRY– 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/88ef0qaoh.jpg)
ETH 31-MAY EXPIRY – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/9123gfued.jpg)
Cross-Exchange Volatility Smiles
BTC SVI, 30D TENOR – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/e7e7efg.jpg)
ETH SVI, 30D TENOR – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/sewgpiadvn.jpg)
Constant Maturity Volatility Smiles
BTC SVI, 30D TENOR – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/88qe9gfs.jpg)
ETH SVI, 30D TENOR – 8:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/05/ffjpwseigvn.jpg)
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