Crypto Derivatives Week 24: Positive Carry and Persistent Put Protection

Summary

This weekly recap compares BTC and ETH futures, perpetual swap funding, and options after a spot selloff. It reports that futures yields briefly fell at short maturities before recovering, while perpetual funding remained positive, indicating that traders continued to pay to hold long exposure. Despite the price decline, BTC at-the-money implied volatility stayed in a relatively narrow range, and ETH volatility remained near historically low levels, with a modest recent rise.

The clearest defensive signal came from options skew: BTC’s short-dated risk reversal moved lower, ETH risk reversals were negative across maturities, and both volatility surfaces showed stronger pricing for near-term downside protection, especially in out-of-the-money puts. The report describes smile calibrations and a 30-day hourly z-score method for comparing implied volatility by delta and tenor, but the underlying tables and charts are absent from the text. These are snapshot observations, not a forecast or a tested trading rule; the commentary does not establish how long the positioning or volatility patterns will persist.

Key ideas

• BTC and ETH perpetual funding remained positive, suggesting continued demand for leveraged long exposure.
• Short-tenor futures yields recovered after a brief decline.
• At-the-money implied volatility remained subdued relative to the selloff described in the report.
• Options skew indicated a preference for downside protection, particularly in near-term out-of-the-money puts.
• The report uses prior 30-day hourly implied-volatility distributions for its stated z-score comparisons.

Tags

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