Bitcoin Derivatives: Futures Yields, Volatility, and Put Skew

Summary

This weekly Bitcoin derivatives report outlines several market measures: futures implied yields across maturities, implied volatility changes after a spot-market selloff, put skew, and the shape of an options smile for a July expiry. Its stated findings are that short-term futures yields turned negative, implied volatility rose across tenors, and the smile remained steeply tilted toward puts. Those observations can help readers see how futures pricing and options markets reflected changing conditions during the reporting period.

The report notes that yield data were smoothed with a 12-hour rolling mean and compares recent observations with earlier periods. It also references SABR and SVI smile calibrations, signaling model-based representations of the options surface. However, the supplied text contains chart headings and captions rather than the charts, tables, numerical series, or calibration details. Readers therefore cannot assess the size of changes, reproduce the analysis, or judge model fit from this excerpt alone; its conclusions should be treated as a brief qualitative recap.

Key ideas

• Short-dated Bitcoin futures implied yields were reported to have turned negative.
• The report describes implied volatility rising across maturities after a spot selloff.
• Put skew and the options smile indicated stronger pricing for downside protection.
• A 12-hour rolling mean was used to smooth the futures yield series.
• SABR and SVI calibrations were mentioned, but supporting charts and details are absent from the excerpt.

Tags

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