Bitcoin Derivatives Week 25: Flattening Futures Yields and Put Skew

Summary

This weekly market recap describes several Bitcoin derivatives conditions: futures term structure flattened and turned negative at a 30-day tenor, while annualized implied futures yields fell notably below spot at short maturities. It also reports that an early-week rise in at-the-money implied volatility faded, leaving an inverted volatility term structure.

The recap characterizes options skew as strongly tilted toward puts amid expectations of further selling. It references volatility metrics, an expiry smile, and SABR and SVI smile calibrations, describing the smile at a spot level near $20.5K as elevated, steep, and put-skewed. These are qualitative observations from the stated week rather than a trading strategy or causal analysis. The tables and charts that might quantify the observations are not included in the provided text, so magnitudes, calibration choices, and subsequent outcomes cannot be assessed here.

Key ideas

• Bitcoin futures implied yields weakened relative to spot at short tenors, and the term structure was negative at 30 days.
• An early-week increase in at-the-money implied volatility had subsided by the report period.
• The volatility term structure was described as inverted.
• Bitcoin options skew remained strongly biased toward puts as traders anticipated further selling.
• The expiry smile was described as elevated and steep, but the supplied text omits the underlying charts and tables.

Tags

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