Bitcoin Futures Yields and Volatility After the LUNA Shock

Summary

This weekly recap outlines changes in Bitcoin futures pricing and options volatility following the LUNA market shock. It reports that the futures term structure regained a positive slope and that implied volatility returned to a more typical shape. The report also notes that put skew remained close to historical highs and that the volatility smile steepened while retaining a strong downside bias.

The document identifies the measures and charts used, including annualized futures implied yields, at-the-money implied volatility, expiry smiles, and SABR and SVI smile calibrations. However, the supplied text contains no chart values, detailed methodology, comparisons beyond the stated observations, or trading rules. Readers can use it as a brief snapshot of market conditions, but cannot independently evaluate the size or persistence of the changes from the text alone.

Key ideas

• The Bitcoin futures term structure returned to a positive slope after the LUNA shock.
• Implied volatility moved back toward a more typical shape.
• Put skew remained near historical highs, signaling elevated relative pricing of downside protection.
• The expiry smile steepened while retaining a bias toward puts.
• The report names several volatility measures but supplies no underlying chart values in the text.

Tags

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