Crypto Derivatives During a Bitcoin and Ether Selloff

Summary

This report reviews Bitcoin and Ether derivatives after a sharp spot-market selloff. It describes futures-implied yields falling as futures prices moved below spot, and Bitcoin perpetual funding turning negative after a prolonged positive period. Ether funding also weakened and briefly reached a low not seen since March. In options, at-the-money implied volatility rose for both assets, though the report says Ether’s increase was smaller. Risk reversals shifted toward puts during the decline, more sharply for Ether, then recovered more for Bitcoin.

The volatility surfaces capture a subsequent tilt toward out-of-the-money calls, especially in short-term Ether options, while volatility remained higher across the Bitcoin surface. The report’s evidence consists of market snapshots, smile calibrations, and a z-score based on the prior 30 days of hourly implied volatility by delta and tenor. It offers descriptive context for the episode rather than a forecast or tested strategy; the text does not establish that the observed derivatives changes predicted the recovery.

Key ideas

• The selloff pushed futures-implied yields down as futures prices fell below spot.
• Bitcoin funding turned negative, while Ether funding also softened after the decline.
• Implied volatility rose in both assets, and option skew shifted toward puts during the selloff.
• Subsequent smile readings showed a recovery toward calls, more clearly for Bitcoin than Ether.

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