From deribit insights

Key Insights:

A near-two week long period of choppy, sideways spot price action has taken its toll on derivatives markets. Futures yields have trended down to their lowest levels of 2025, while BTC’s funding rate remains far below the highs of mid-January. ETH’s funding rate shot sharply negative during the Feb 3 selloff, and has since traded at a neutral level. Short tenor volatility smiles, having remained skewed firmly towards OTM puts since that same selloff, have recently changed course and now price OTM calls at a volatility premium.

BTC Derivatives Sentiment

ETH Derivatives Sentiment

Perpetual Swap Funding Rate

BTC FUNDING RATE – BTC’s funding rate has been consistently more bullish than ETH’s, if not hitting the same highs that we saw in mid-January.

ETH FUNDING RATE – After shooting strongly negative during the Feb 3 selloff, funding rates have since traded neutral.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – BTC’s term structure is distinctly steep, in contrast to ETH’s stubbornly flat shape.

BTC 25-Delta Risk Reversal – A recovery in sentiment over the last 24H sees BTC’s short-tenor volatility smiles skew towards OTM calls once again.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – While not inverting to the same extremes, ETH’s term structure stays flat over the past week.

ETH 25-Delta Risk Reversal – Short tenor volatility smiles have skewed back towards OTM calls after a week of dismal sentiment.

Volatility by Exchange

BTC, 1-MONTH TENOR, SVI CALIBRATION

ETH, 1-MONTH TENOR, SVI CALIBRATION

Put-Call Skew by Exchange

BTC, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

ETH, 1-MONTH TENOR, 25-DELTA, SVI CALIBRATION

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 28-FEB EXPIRY – 9:00 UTC Snapshot.

ETH 28-FEB EXPIRY – 9:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.