Crypto Derivatives Signals from Futures Yields, Funding, and Skew

Summary

This weekly BTC and ETH derivatives report surveys futures-implied spot yields, perpetual swap funding, at-the-money implied volatility, volatility surfaces, and 25-delta put-call skew. It reports that futures yields remained positive but moved toward zero, with ETH yields closer to zero than BTC. Perpetual funding suggested little exceptional demand for long or short exposure, while options volatility generally cooled across maturities and deltas; ETH volatility remained somewhat higher than BTC in the described range.

The options discussion points to greater relative pricing of out-of-the-money puts, especially in shorter BTC maturities, and a more pessimistic outright skew level for ETH. The report describes a 30-day hourly-data basis for its implied volatility z-scores and references SABR smile calibration, giving readers context for its surface comparisons. It is a snapshot of market conditions rather than a proposed trade or evidence of predictive power. The observations are specific to the period and methodology reported, so they should not be treated as persistent relationships.

Key ideas

• Futures-implied yields provide a view of the premium or discount between futures and spot prices.
• Perpetual swap funding rates indicate the cost of maintaining leveraged long or short exposure.
• The report describes futures yields moving toward zero and implied volatility cooling across tenors.
• Put-call skew compares implied volatility for puts and calls and can signal relative downside protection demand.
• Volatility surface z-scores depend on the historical sample and calibration method used.

Tags

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