![](https://insights.deribit.com/wp-content/uploads/2023/10/934thfu__22-copy.jpg)
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Shorter-dated ETH futures trade below their spot prices, a trend we’ve seen for the majority of the last month. The vol surfaces of both assets have seen their term structure steepen following a rise in implied volatility of longer-dated tenors, with ETH’s being skewed towards downside protection. BTC perpetual contracts indicate a resilient willingness to pay for long exposure, a sentiment not shared in the ETH perpetual market.
Futures implied yield term structure.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-1.jpg)
Volatility Surface Metrics.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-2.jpg)
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-3.jpg)
*All data in tables recorded at a 10:00 UTC snapshot unless otherwise stated.
Futures
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-4.jpg)
BTC ANNUALISED YIELDS – have recently dipped below zero having traded near to 4% across the term structure for much of the week.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-5.jpg)
ETH ANNUALISED YIELDS – remain below BTC’s and below zero at short tenors, with the 3M and 6M tenors trading near to 4%.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-6.jpg)
Perpetual Swap Funding Rate
BTC FUNDING RATE – remain at elevated levels, indicating a willingness by long position holders to pay for their exposure.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-7.jpg)
ETH FUNDING RATE – remains strangely low given the high positive rates paid by long holders of BTC’s perpetual swap contract.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-8.jpg)
BTC Options
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-9.jpg)
BTC SABR ATM IMPLIED VOLATILITY – has seen seen shorter tenor retrace a small midweek rally that has returned it to levels seen last week.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-10.jpg)
BTC 25-Delta Risk Reversal – sees shorter tenor skew more towards OTM puts, after trading mostly sideways in the past week.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-11.jpg)
ETH Options
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-12.jpg)
ETH SABR ATM IMPLIED VOLATILITY – mirrors BTC movements with longer dated tenors seeing little change in levels since last week.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-13.jpg)
ETH 25-Delta Risk Reversal – traded in a tighter range across the term structure than BTC’s, with a 6M tenor being skewed towards OTM puts in the last week.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-14.jpg)
Volatility Surface
BTC IMPLIED VOL SURFACE – sees the term structure steepen, with the implied vols at a 1M tenor falling furthest. Meanwhile 6M and 9M tenors have shared a rise in ATM implied volatility.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-15.jpg)
ETH IMPLIED VOL SURFACE – sees the implied volatility of OTM puts increase relative to OTM calls, a trend most prominent further out along the term structure.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-16.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.
Volatility Smiles
BTC SMILE CALIBRATIONS – 27-Oct-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-17.jpg)
ETH SMILE CALIBRATIONS – 27-Oct-2023 Expiry, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-18.jpg)
Historical SABR Volatility Smiles
BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-19.jpg)
ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.
![](https://insights.deribit.com/wp-content/uploads/2023/10/J-20.jpg)
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