BTC and ETH Derivatives Signals After an FOMC Rate Decision

Summary

This weekly report tracks BTC and ETH derivatives around the March 22 Federal Open Market Committee meeting, which it says confirmed a 25 basis point rate increase. It describes at-the-money implied volatility falling after the meeting, while a subsequent spot rally coincided with higher futures-implied yields, positive perpetual swap funding, and a modest shift in options smiles toward out-of-the-money calls.

The analysis compares futures yields and funding rates for the two assets, then reviews SABR at-the-money volatility, volatility surfaces, and 25-delta put-call skew. Its evidence consists of qualitative market observations and chart references, including a stated method for volatility z-scores based on hourly data from the preceding 30 days. No full chart values or formal statistical tests are included in the text. These are time-specific observations, not proof that the policy announcement caused the changes or that similar reactions will recur.

Key ideas

• The report associates lower BTC and ETH at-the-money implied volatility with the period following the FOMC decision.
• A rise in spot coincided with higher futures yields and more positive perpetual funding.
• Options metrics showed a slight move toward out-of-the-money calls in both BTC and ETH.
• The volatility-surface z-scores compare implied volatility with the prior 30 days of hourly observations.
• The evidence is a qualitative snapshot and does not establish causality or predict future market moves.

Tags

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