BTC and ETH Derivatives: Funding, Futures Yields, and Volatility Skew
Summary
This weekly market recap reviews BTC and ETH futures, perpetual swap funding, and options volatility. It reports that ETH futures underperformed BTC over the week before recovering toward spot, while BTC annualized futures yields returned to just above 2% and ETH yields recovered from negative levels to around zero. Funding rates for both assets rose sharply alongside the spot rally, signaling stronger demand for long exposure through perpetual contracts.
The options discussion compares implied volatility term structures, risk reversals, and volatility surfaces. ATM implied volatility remained between 25% and 45% across maturities, while BTC options showed a stronger tilt toward downside protection than ETH options. Surface changes differed by asset and tenor: BTC saw notable gains in mid-term OTM put volatility and cooling in short-term OTM calls, while ETH volatility cooled across its one-month smile even as longer-dated volatility rose. These are timestamped market observations and do not establish causes or predict future prices; the report provides no trading rules or performance tests.
Key ideas
- ETH futures yields stayed below zero for much of the week before recovering toward zero.
- BTC futures annualized yields returned to slightly above 2% after moving with spot prices.
- Perpetual funding rates for BTC and ETH rose to their highest levels since early August.
- BTC options carried a stronger downside-protection skew than ETH options.
- Volatility surface movements varied by asset, strike, and tenor.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.