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Crypto Derivatives After FTX: Yields, Implied Volatility, and Put Skew

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Summary

This weekly market recap describes how the FTX collapse shaped BTC and ETH derivatives. Annualized futures yields remained below zero for both assets, while BTC at-the-money implied volatility rose gradually from post-collapse levels and ETH volatility stayed elevated. The report also compares volatility surfaces, SABR rho, and option smiles, emphasizing continued demand for downside protection.

The evidence is a qualitative snapshot of market conditions, including comparisons with pre-collapse levels and a 30-day hourly implied-volatility reference for surface z-scores. BTC showed richer long-dated out-of-the-money puts and calls than their recent average, while ETH lacked comparable richness in six-month calls. Both assets retained downside-skewed smiles. This is a time-specific account rather than a trading system or causal analysis; it offers no quantified forecast or test of how these signals perform.

Key ideas

  • BTC and ETH annualized futures yields stayed below zero amid fallout from the FTX collapse.
  • BTC at-the-money implied volatility rose slowly, while ETH volatility remained elevated.
  • BTC long-dated out-of-the-money puts and calls were above their 30-day averages.
  • BTC SABR rho showed stronger downside skew, while ETH rho reached a low before recovering slightly.
  • The report uses a 30-day history of hourly observations to contextualize implied-volatility surface z-scores.

Tags

CryptoFuturesOptionsVolatilityDerivatives pricing

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