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[Deribit] Crypto Derivatives: Analytics Report – Week 10

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Spot yields implied by futures prices have trended lower for both assets, as has at-the-money implied volatility at all tenors. There is a more significant skew towards OTM puts in both assets, and a low perpetual swap funding rates suggest a lower interest in excess exposure to up or downside action through the perpetual than we saw in the first two months of the year.

Futures

BTC ANNUALISED YIELDS – spot yields remain positive but continue a trend towards zero.

ETH ANNUALISED YIELDS – fall closer towards zero than BTC’s but continue to trade sideways.

Perpetual Swap Funding Rate

BTC FUNDING RATE – continue last week’s trend of little outsized interest in perpetual swap long or short exposure.

ETH FUNDING RATE – sees a small positive rate paid to short perpetual swap positions in the last 24 hours.

Options

BTC SABR ATM IMPLIED VOLATILITY – 1 week tenor options recover slightly, with longer term tenors trending lower.

ETH SABR ATM IMPLIED VOLATILITY – trades between 45-60% across the term structure, marginally higher than BTC’s.

Volatility Surface

BTC IMPLIED VOL SURFACE – cools across the surface except for OTM puts at a 1 week tenor.

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 – has begun a trend towards OTM puts over the last few days, led by shorter tenor options.

ETH 25 DELTA PC SKEW – shows less of a decisive trend towards a skew to OTM puts, but shows a more pessimistic outright level.

Volatility Smiles

BTC SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.

ETH SMILE CALIBRATIONS – 31-Mar-2023 Expiry, 13:00 UTC Snapshot.

Historical SABR Volatility Smiles

BTC SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.

ETH SABR CALIBRATION – 30 Day Tenor, 13:00 UTC Snapshot.

>> View on Deribit

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