BTC and ETH Futures Yields and Volatility Around the Merge

Summary

This report compares BTC and ETH futures yields and option volatility around the Ethereum Merge. For BTC, annualized implied futures yields across maturities shorter than one year were reported within a narrow range around zero. BTC at-the-money implied volatility was inverted, with the short weekly tenor reaching a local high, and its 25-delta smile favored out-of-the-money puts. The report also says short-dated puts outperformed elsewhere in the smile while implied volatility on long-dated out-of-the-money calls cooled.

For ETH, futures yields recovered sharply after the Merge as traders unwound a hedge tied to the proof-of-work token distribution. ETH at-the-money volatility fell after the event, while longer-dated skew leaned heavily toward puts. The analysis references SABR and SVI smile calibrations and compares changes across tenors and dates, including a 30-day smile. These observations illustrate how event-driven flows can affect yields and option prices, but the document provides no complete tables or calibrated model details in its text. It is a time-specific market recap rather than evidence of a repeatable trading edge.

Key ideas

• BTC futures implied yields were close to zero across maturities shorter than one year.
• BTC implied volatility was inverted, and its 25-delta smile favored out-of-the-money puts.
• ETH futures yields recovered as traders unwound exposure associated with the Merge token hedge.
• ETH implied volatility declined after the Merge while longer-dated skew favored puts.
• SABR and SVI calibrations provide frameworks for comparing option smiles across strikes and tenors.

Tags

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