Crypto Derivatives: Analytics Report – Week 50
Key Insights:
Spot prices have largely regained the levels they lost in the selloff early in the week. So too has the shape of the at-the-money implied volatility term structure, regaining the noticeable kink that targets the end- of-Jan expiry. Perpetual swap funding rates showed little sign of slowing during the selloff despite talks of a spate of liquidations, indicating that traders are still willing to pay for leveraged long exposure. The only metrics not to return to pre-selloff conditions are both assets’ put-skew. The trending skew towards OTM puts began before the selloff, and has settled close to neutral levels across both term structures.
Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

*All data in tables recorded at a 10:00 UTC snapshot unless otherwise stated.
Futures

BTC ANNUALISED YIELDS – stick close to 10% across the term structure, having risen at short-tenors over the course of the past week.

ETH ANNUALISED YIELDS – did not see the same fall as BTC’s, but do also trade in a tight range close to 10% across the term structure.

Perpetual Swap Funding Rate
BTC FUNDING RATE – has been persistently high throughout the past week, despite the retrace in spot prices towards $40K.

ETH FUNDING RATE – has been persistently positive throughout the week at similarly high levels to BTC’s.

BTC Options

BTC SABR ATM IMPLIED VOLATILITY – the spot selloff saw an increase in short term vol, but the term structure has regained its January kink.

BTC 25-Delta Risk Reversal – the trending skew towards OTM puts seems to have stablised as smiles at all tenors reflect a more neutral sentiment.

ETH Options

ETH SABR ATM IMPLIED VOLATILITY – shows a similarly kinked term structure near to the end-of-January expiry as does BTC’s.

ETH 25-Delta Risk Reversal – a dislocation that took the 1 week skew away from other tenors appears to have resolved in the last 24 hours.

Volatility Surface
BTC IMPLIED VOL SURFACE – shows a cooling in tenors of 3-months or longer, with most of the action focused at the 1-month ATM strike.

ETH IMPLIED VOL SURFACE – shows less of a clear picture than BTC’s surface, with the implied vol of 1M OTM calls rising fastest across the surface.

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 – 26-Jan-2024 Expiry, 11:00 UTC Snapshot.

ETH SMILE CALIBRATIONS – 26-Jan-2024 Expiry, 11:00 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.

Disclaimer: The content of this article solely reflects the author's opinion and does not represent the platform in any capacity. This article is not intended to serve as a reference for making investment decisions.
You may also like
INJ Rises 540.54% in 24 Hours Amid Technical Indicators Shift
- INJ surged 540.54% in 24 hours on Aug 28, 2025, but fell 455.47% over seven days amid extreme volatility. - Technical indicators showed 50/200-period moving average convergence and RSI entering overbought territory, signaling potential reversal. - Analysts highlight critical juncture: INJ above 200-period MA could regain momentum, while breakdown risks further declines. - 30-day rally correlates with increased on-chain activity, showing improved liquidity and user participation. - 12-month price drop of

The Systemic Risks of Celebrity-Backed Memecoins: How Retail Investors Are Exploited in the Crypto Speculation Era
- Celebrity-backed memecoins exploit retail investors through centralized allocations, pre-distributed tokens, and market manipulation tactics. - Projects like Kanye West’s YZY and TRUMP tokens see insiders extract millions via liquidity traps while 83% of retail wallets suffer losses. - Academic studies confirm 82.6% of high-return meme coins use wash trading and liquidity pool inflation to artificially inflate prices. - Regulatory gaps allow celebrities to evade accountability despite SEC investigations,

Why Tapzi (TAPZI) Is the Most Promising GameFi Altcoin for 5,000x Returns by 2030
- Tapzi (TAPZI) redefines GameFi with skill-based competition, blockchain scalability, and utility-driven tokenomics, contrasting speculative meme coins. - The platform's BNB Chain integration enables gasless transactions, while 5% token allocation to player rewards ensures organic growth without inflation. - Presale reached 35% of its hard cap in 48 hours, with early investors acquiring tokens at $0.0035, projecting 171% returns before 2030's 5,000x target. - By targeting the $180B gaming market through f

South Korea's Institutional Bitcoin Adoption: A Strategic Inflection Point for Asian Crypto Markets
- South Korea launches Bitplanet, its first institutional-grade Bitcoin treasury with $40M in debt-free capital, signaling a strategic shift toward digital asset management. - The move aligns with regional trends as Japan and Singapore advance crypto adoption, redefining Bitcoin’s role as a corporate reserve asset amid geopolitical and demographic risks. - Bitcoin’s 0.94 Sharpe Ratio (2023–2025) and $132.5B in ETF assets highlight its institutional legitimacy, outperforming traditional assets while mitigat

Trending news
MoreCrypto prices
More








