BTC and ETH Derivatives: Bullish Skew, Futures Yields, and Funding Rates

Summary

This weekly report compares BTC and ETH futures, perpetual swap funding, and options markets. It characterizes volatility skews as bullish across maturities, with stronger conviction in BTC, and says ETH futures-implied yields remain positive but below BTC’s at each tenor. Funding rates for both assets indicate persistent demand for leveraged long exposure, with short positions receiving payments during the period described.

For options, BTC and ETH at-the-money implied volatilities are reported at similar levels, while BTC’s 25-delta risk reversals price upside calls richer than comparable puts. ETH’s short-dated skew is closer to neutral. The report also notes rising implied volatility across ETH smiles and a stronger increase in longer-dated out-of-the-money BTC calls. These conclusions come from a dated snapshot and a 30-day hourly-data z-score framework for volatility-surface comparisons; the supplied text omits the underlying tables and charts, limiting independent verification.

Key ideas

• BTC futures-implied yields were elevated, while ETH yields were positive but lower across tenors.
• Funding rates indicated strong demand for leveraged long exposure in both BTC and ETH.
• BTC risk reversals showed richer implied volatility for out-of-the-money calls than comparable puts.
• ETH short-tenor skew was nearer neutral than BTC’s.
• Longer-dated out-of-the-money BTC calls showed the strongest increase in implied volatility.

Tags

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