BTC and ETH Derivatives: Futures, Funding, and Volatility Trends

Summary

This weekly report reviews BTC and ETH derivatives during a period when spot prices had stabilized after a rally. It compares annualized futures premiums, perpetual swap funding, at-the-money implied volatility, volatility surfaces, and 25-delta put-call skew. The report describes BTC futures yields returning to late-January levels, ETH yields recovering but remaining lower, and positive BTC funding spikes that brought fees to short positions. It also notes falling implied volatility, particularly in shorter tenors, and differing volatility smile patterns between BTC and ETH.

The evidence is a market snapshot and descriptive commentary, including SABR-calibrated volatility measures and z-scores based on the prior 30 days of hourly observations. It reports that BTC skew stayed near parity while ETH skew sat lower, indicating relatively more demand for out-of-the-money puts. The document does not provide underlying charts or detailed numeric series, so it supports a qualitative comparison rather than a reproducible trading signal or performance claim.

Key ideas

• BTC futures premiums recovered to levels seen earlier in the year, while ETH premiums remained somewhat lower.
• Positive BTC perpetual funding spikes meant short positions collected fees during those episodes.
• At-the-money implied volatility declined again, with sharper falls in ETH and in shorter-dated options.
• BTC put-call skew remained near parity, while ETH skew suggested relatively greater demand for out-of-the-money puts.
• The report uses SABR volatility measures and 30 days of hourly data for its z-score context.

Tags

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