Crypto Derivatives Week 25: Deleveraging, Volatility, and Options Skew
Summary
This weekly market review tracks BTC and ETH futures yields, perpetual swap funding, implied volatility, and options skew during a period of weaker spot prices and reduced leverage. Short-dated futures yields fell, especially for BTC, while ETH yields underperformed BTC’s. BTC funding hovered around zero; ETH funding remained more active, though subdued relative to late May. The report also describes a recent uptick in implied volatility alongside choppier price action.
Options comparisons show ETH volatility above BTC’s across maturities and ETH skew somewhat more bullish, while shorter-dated smiles for both assets moved closer to neutral. The report includes exchange-level volatility and skew comparisons, composite volatility surfaces, and expiry and constant-maturity smiles, with SVI calibrations. These observations provide a snapshot of market pricing rather than a forecast or validated signal. The text refers to charts and calibration displays but gives limited numerical detail, so readers cannot independently assess the magnitude or persistence of the reported patterns from the text alone.
Key ideas
- Falling short-tenor futures yields suggest reduced demand for leverage, with the decline more marked in BTC.
- BTC funding stayed near neutral while ETH funding remained comparatively more active.
- Implied volatility rose during recent choppy trading, and ETH volatility remained higher than BTC’s.
- ETH options skew suggested somewhat more bullish positioning than BTC options skew.
- The report compares volatility and skew across exchanges and maturities using SVI calibrations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.