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BTC and ETH Derivatives: Yields, Volatility, and Downside Skew in Week 26

Article Deribit Insights
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Summary

This weekly snapshot reviews BTC and ETH futures-implied yields and options markets. For BTC, it describes annualized yields recovering from a sharp June decline into a narrower range, while short-dated futures prices remain close to spot. ATM implied volatility is around the mid-70% range, and put-call skew indicates continued relative demand for downside protection. The report also notes a steep BTC volatility smile for the July expiry.

For ETH, yields hover near zero, with short tenors still negative. ATM volatility is around 100% and highest at shorter maturities; downside skew has eased relative to BTC. ETH implied volatility remains higher than BTC across the smile, which the report links to sharper price declines. These are qualitative observations from a weekly market snapshot, with tables and calibrations referenced but not included in the supplied text, so the excerpt does not provide enough data to independently assess the measurements or their implications.

Key ideas

  • BTC futures-implied yields recovered from a June drop and moved into a more compressed range.
  • BTC ATM implied volatility sat in the mid-70% range, with skew signaling demand for downside protection.
  • ETH yields were near zero, with negative values at short tenors.
  • ETH ATM volatility was around 100% and higher at shorter tenors.
  • ETH volatility exceeded BTC’s across the smile, while its downside skew eased relative to BTC’s.

Tags

CryptoFuturesOptionsVolatilityDerivatives pricing

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