Where Are the Rates? Derivative-Implied Interest Rates in Cryptocurrency Markets

Abstract

In traditional finance, liquid markets for bonds, interest rate swaps, and other interest rate derivatives provide a basis for constructing yield curves. In the cryptocurrency ecosystem, lending and staking yields are predominantly variable and adjust over short timescales, whereas fixed-rate instruments remain scarce and, as of early 2026, widely accepted benchmark yield curves were still lacking. We jointly infer USD and cryptocurrency discount factors from inverse options and futures by combining put-call parity with the futures basis in a closed-form estimator. We introduce a novel RANSAC-based quote filter tailored to cryptocurrency market microstructure. We apply the method to hourly BTC and ETH derivatives data from Deribit between February~2023 and February~2026. The two underlying assets imply broadly similar USD term structures, with rates averaging approximately 8\% per year and rising during the 2024 cryptocurrency rallies. Implied BTC and ETH rates are typically close to zero across the maturities considered, despite positive Aave lending yields and ETH staking yields. Implied USD rates co-move with Aave USDC rates but exhibit persistent differences. These findings suggest limited integration between derivatives markets and decentralized lending and staking.