Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Future implied spot yields have traded comfortably above 0 over the past week, whilst ATM volatility has fallen in both assets. That fall has been strongest in ETH’s derivatives market, which sees it’s higher volatility fall closer to BTC’s. Whilst the former assets volatility smile has continued its stronger skew towards OTM puts, the past 24 hours has seen a trend towards a more neutral pricing for ETH options.


BTC ANNUALISED YIELDS – spot yields remain positive, with shorter tenors trading above longer tenors.

ETH ANNUALISED YIELDS – continue to trade sideways following a midFebruary recovery.

Perpetual Swap Funding Rate

BTC FUNDING RATE – sees significantly less activity in the past week, reflecting a subdued spot price action.

ETH FUNDING RATE – is close to zero for most of the previous 7 days, similar to BTC’s.


BTC SABR ATM IMPLIED VOLATILITY – has continued its fall to trade in the mid-40s to mid-50s range.

ETH SABR ATM IMPLIED VOLATILITY – has revisited the low levels it traced out in the early weeks of this year.

Volatility Surface

BTC IMPLIED VOL SURFACE – 1W tenor options see a cooling in the implied volatility of OTM puts, with OTM calls falling at tenors longer than 3M.

ETH IMPLIED VOL SURFACE – sees a surface-wide cooling as implied volatility falls across the tenor and delta domains.

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 – prices for a neutral smile, with the 1W tenor volatility smile skewing slightly towards OTM puts in the last two days.

ETH 25 DELTA PC SKEW – shows a distinctly stronger skew towards OTM puts than BTC over most of the period, before trending towards a neutral volatility smile over the last 24 hours.

Volatility Smiles

BTC SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 10:00 UTC Snapshot.

ETH SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 10:00 UTC Snapshot.

Historical SABR Volatility Smiles

BTC SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.

ETH SABR CALIBRATION – 30 Day Tenor, 10:00 UTC Snapshot.


Block Scholes Block Scholes

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Andrew Melville and Karan Jeswani, Block Scholes