Crypto Derivatives Signals After the June 2023 Market Shock

Summary

This weekly review examines Bitcoin and Ether derivatives after a surge in realised volatility associated with SEC lawsuits against Coinbase and Binance. It compares futures-implied yields and perpetual swap funding with options measures, including at-the-money implied volatility, 25-delta risk reversals, and SABR volatility surfaces and smiles. The report says realised volatility rose sharply, while implied volatility increased only modestly and remained near the lower end of its historical range.

The options evidence points to downside protection demand: BTC skew settled toward out-of-the-money puts, and ETH risk reversals stayed negative across maturities. Positive perpetual funding indicates that long holders continued paying for exposure, while short-tenor futures yields were positive for both assets. Surface z-scores are defined against hourly implied-volatility observations from the prior 30 days at matching delta and tenor. These are dated market observations rather than a predictive model; the supplied text offers no detailed chart readings, out-of-sample test, or evidence that the signals forecast returns.

Key ideas

• Realised volatility increased after the SEC lawsuits, while implied volatility remained historically low.
• Positive perpetual swap funding indicates continued willingness to pay for long exposure in BTC and ETH.
• BTC risk reversals shifted toward out-of-the-money puts, and ETH skew remained negative across maturities.
• The volatility surface z-score compares implied volatility with the prior 30 days of hourly observations at the same delta and tenor.
• The report describes market conditions but does not test whether its indicators predict future prices.

Tags

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