Crypto Derivatives: Low Volatility, Negative Futures Yields, and Put Skew

Summary

This weekly market report describes subdued Bitcoin and Ethereum derivatives conditions during a period of historically low realized volatility. Short-dated futures traded below spot, with Ethereum yields somewhat less negative than Bitcoin’s; longer Bitcoin tenors were closer to zero. At-the-money implied volatility for both assets was near the lower end of its historical range, and the options volatility surface had cooled most sharply at short maturities.

The report also tracks the shape of option volatility smiles using SABR rho. A move toward neutral skew at short tenors was reversed, with out-of-the-money puts again carrying higher implied volatility, indicating renewed demand for downside protection. Its surface z-scores compare each option’s implied volatility with hourly observations for the same delta and tenor over the prior 30 days. The material is a dated market snapshot, not a forecast or a trading test; the text gives selected conditions and calibration references but no full underlying charts or method details for the yield and volatility measures.

Key ideas

• Short-dated BTC and ETH futures were priced below spot, while longer BTC tenors were nearer zero annualized yield.
• At-the-money implied volatility was low for both major crypto assets, with short maturities seeing pronounced declines.
• The volatility surface z-score compares an option with recent observations for matching delta and tenor.
• Short-term skew shifted back toward a premium for out-of-the-money puts, reflecting demand for downside protection.
• The report provides a time-specific derivatives snapshot rather than evidence that these conditions predict future returns.

Tags

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