![](https://insights.deribit.com/wp-content/uploads/2023/03/827ctr8q.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Spot prices have performed a significant recovery since bouncing off the lower bound of their recent range almost one week ago. As a result, delivered volatility has stayed at its highs and has materially increased implied volatility at short-tenor options and inverted the term structure. The recovery has inspired a return to double digit yields implied by both BTC and ETH futures markets, but only the former asset sees a similar sentiment expressed by its perpetual swap funding rates. ETH still has its months-long-held volatility premium over BTC of around 10 points, but its short-tenors did not push as close to the levels at the back end of the term structure leaving its term structure slightly steeper.
Futures Implied Yield, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/07/2947tyw9fg.jpg)
ATM Implied Volatility, 1-Month Tenor
![](https://insights.deribit.com/wp-content/uploads/2024/07/2436t2.jpg)
Crypto Senti-Meter
BTC Derivatives Sentiment
![](https://insights.deribit.com/wp-content/uploads/2024/07/29357tbre9.jpg)
ETH Derivatives Sentiment
![](https://insights.deribit.com/wp-content/uploads/2024/07/2947fgtyef.jpg)
Futures
![](https://insights.deribit.com/wp-content/uploads/2024/07/293t8f.jpg)
BTC ANNUALISED YIELDS – yields rally across the term structure as short- tenors out perform, inverting the term structure.
![](https://insights.deribit.com/wp-content/uploads/2024/07/2974t9ywef.jpg)
ETH ANNUALISED YIELDS – have also recovered to the top of their monthly range with short tenors out performing.
![](https://insights.deribit.com/wp-content/uploads/2024/07/99247t8.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – has seen a consistently positive rate paid from longs to shorts over the past week, spiking during the spot recovery.
![](https://insights.deribit.com/wp-content/uploads/2024/07/8294t8f.jpg)
ETH FUNDING RATE – remains much flatter than BTC’s despite ETH’s outperformance in the spot recovery.
![](https://insights.deribit.com/wp-content/uploads/2024/07/2947tgfwdu.jpg)
BTC Options
![](https://insights.deribit.com/wp-content/uploads/2024/07/924byt9we.jpg)
BTC SVI ATM IMPLIED VOLATILITY – the term structure has flattened significantly as short-tenor optionality has rallied back above 50%.
![](https://insights.deribit.com/wp-content/uploads/2024/07/gfi2734gf.jpg)
BTC 25-Delta Risk Reversal – the changing directions of spot price movements are reflected in the change in skew from towards puts to calls.
![](https://insights.deribit.com/wp-content/uploads/2024/07/oquhgtr3f.jpg)
ETH Options
![](https://insights.deribit.com/wp-content/uploads/2024/07/972tgfeu.jpg)
ETH SVI ATM IMPLIED VOLATILITY – ETH volatility remains above BTC’s across the term structure but front-end vols did not rally as hard.
![](https://insights.deribit.com/wp-content/uploads/2024/07/9273tgfeu.jpg)
ETH 25-Delta Risk Reversal – like BTC, ETH’s markets are skewed slightly towards OTM calls but have not seen the same extremes in the last week.
![](https://insights.deribit.com/wp-content/uploads/2024/07/9247tbyvfe9.jpg)
Volatility by Exchange
BTC, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/07/9247tbyvew9f.jpg)
ETH, 1-MONTH TENOR, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/07/w94btyvfeu.jpg)
Put-Call Skew by Exchange
BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/07/924ctyb9wefu.jpg)
ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION
![](https://insights.deribit.com/wp-content/uploads/2024/07/9247tbycfweuh.jpg)
Market Composite Volatility Surface
CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/827trcefgw.jpg)
CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/294ytbce9w8.jpg)
Listed Expiry Volatility Smiles
BTC 30-AUG EXPIRY– 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/947trbceqw7.jpg)
ETH 30-AUG EXPIRY– 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/q37ctrwd.jpg)
Cross-Exchange Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/wibtyvfuid.jpg)
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/294ybtewfu.jpg)
Constant Maturity Volatility Smiles
BTC SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/274bvtwyeofuh.jpg)
ETH SVI, 30D TENOR – 9:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2024/07/947ytvbewif.jpg)
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