Comparing BTC and ETH Derivatives During a Bullish Rally

Summary

This weekly report compares BTC and ETH derivatives during a rally associated with improved sentiment around traditional financial institutions entering crypto. It highlights a divergence: both spot assets rose, but BTC options carried higher implied volatility across maturities, BTC futures showed stronger short-tenor annualized yields, and BTC perpetual funding signaled greater demand for leveraged long exposure. ETH’s corresponding measures remained more subdued.

The report organizes evidence across futures yields, perpetual swap funding, at-the-money implied volatility, 25-delta risk reversals, and volatility surfaces. It notes that BTC implied volatility approached 50% across tenors, while ETH volatility was nearly five points lower, and describes a 30-day hourly history used to calculate volatility z-scores by delta and tenor. These are descriptive market snapshots, not a trading strategy or causal explanation. The metrics capture prices and positioning at a point in time; without the underlying charts, data series, or testing, they do not show whether the divergence predicts future returns.

Key ideas

• BTC derivatives reflected stronger leveraged long demand than ETH derivatives during the shared spot rally.
• BTC implied volatility was reported as nearly five volatility points above ETH across the term structure.
• BTC short-tenor futures yields rose above 15% annualized, while ETH yields were lower.
• Perpetual funding and 25-delta risk reversals provide distinct views of leveraged demand and options sentiment.
• The volatility surface z-scores compare option implied volatility with recent hourly history by delta and tenor.

Tags

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