Crypto Derivatives Signals Across Volatility, Skew, Futures Yields, and Funding

Summary

This weekly snapshot summarizes Bitcoin and Ethereum derivatives conditions using implied volatility term structures, 25-delta risk reversals, futures yields, perpetual funding, and exchange-level volatility surfaces. Its central observation is that options expiring after the US election were pricing higher volatility, while short-tenor skew had recently begun to recover from putward levels. Longer-dated options showed comparatively stronger demand for upside calls. The report also notes changes in BTC and ETH futures yields and funding, with BTC funding recovering after a brief negative period and ETH funding remaining neutral.

The evidence consists of qualitative descriptions of charts and a few stated market readings, including short-tenor BTC yields reaching 6% and longer-tenor yields at 9% above spot. The report does not provide the underlying chart values, detailed methodology, or historical performance, so the signals are descriptive rather than a validated forecasting or trading method. Its comparisons between assets and venues can help structure monitoring, but the snapshot should not be treated as proof of a persistent relationship.

Key ideas

• The report compares BTC and ETH implied volatility across option expiries and maturities.
• Volatility priced beyond the US election was rising, while short-dated skew showed signs of recovery.
• Longer-tenor options indicated greater preference for out-of-the-money calls.
• BTC and ETH futures yields and perpetual funding displayed different short-term patterns.
• Exchange-level volatility and skew comparisons are included, but the underlying chart data and methodology are not reproduced.

Tags

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