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Crypto Derivatives Week 15: Falling Volatility and Divergent BTC–ETH Signals

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Summary

This weekly report reviews Bitcoin and Ethereum futures, perpetual funding, and options after the Ethereum Shapella upgrade. It describes falling implied volatility for both assets, with ETH volatility remaining somewhat above BTC, and reports that cooling extended across the volatility surfaces. Shorter-dated ETH put skew had eased from its earlier pessimism, while the report interprets perpetual funding as showing demand for long ETH exposure and a different, short-leaning signal for BTC.

The futures comparison shows BTC contracts at several maturities trading above spot, while short-dated ETH futures were near spot. The report also discusses 25-delta put-call skew and calibrated volatility smiles, with a z-score method based on the prior 30 days of hourly implied-volatility observations at matching delta and tenor. These are a time-specific market snapshot, not a forecast or tested trading strategy; the text provides no full chart values or later outcome data.

Key ideas

  • Implied volatility declined across BTC and ETH options during the reported week.
  • ETH short-tenor put skew eased, while BTC and ETH perpetual funding suggested different positioning pressures.
  • BTC futures yields were above spot, while short-tenor ETH futures were near spot.
  • The volatility-surface z-score compares options with the prior 30 days of hourly data at the same delta and tenor.
  • The report is a dated market snapshot and does not establish a predictive strategy.

Tags

CryptoFuturesOptionsVolatilityStatistics

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