Bitcoin and Ether Derivatives Ahead of a January ETF Catalyst

Summary

This weekly report compares Bitcoin and Ether futures, perpetual swap funding, and options as an expected January ETF date approached. Its key observation is that short-dated volatility and skew began to diverge: Bitcoin’s at-the-money volatility term structure developed a stronger mid-January kink, while Ether’s kink eased as one-week implied volatility rose. Ether option smiles tilted modestly toward out-of-the-money calls, whereas Bitcoin’s short-dated skew leaned toward puts and differed from its longer tenors.

The report also notes strong positive funding and rising futures-implied yields for both assets, alongside increases in implied volatility across their surfaces. Bitcoin’s fastest surface increase was in three-month out-of-the-money puts; Ether’s was in short-dated upside strikes. The analysis uses market snapshots and describes a 30-day hourly implied-volatility z-score based on delta and tenor, with SABR smile calibration. It is a dated market recap, not a trading rule or causal study, and the text provides no independent performance evidence.

Key ideas

• Bitcoin and Ether showed different short-dated implied-volatility and skew patterns near the expected ETF date.
• Both assets had strongly positive perpetual funding and elevated futures-implied yields.
• Bitcoin volatility rose fastest in three-month out-of-the-money puts, while Ether rose most in short-dated upside strikes.
• The report summarizes snapshots and a 30-day hourly volatility z-score using SABR calibration.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.