Crypto Derivatives Week 3: ETF Aftermath, Futures Yields, and Volatility
Summary
This weekly snapshot reviews BTC and ETH futures, perpetual swap funding, options volatility, and volatility smiles after the spot BTC ETF announcement. It reports that implied volatility declined as event risk eased, while the earlier inversion in the volatility term structure unwound. ETH futures remained more elevated relative to spot than BTC futures, consistent with demand for leveraged long exposure tied to expectations of a possible ETH ETF approval.
The report compares one-month implied measures and discusses volatility surfaces and 25-delta risk reversals. BTC and ETH implied volatility cooled across maturities; BTC’s risk reversal, negative for much of the week, moved back toward neutral, while ETH’s put skew stopped deepening. Surface z-scores use the previous 30 days of hourly implied-volatility observations at matching delta and tenor. These are descriptive market readings from specified snapshots, not a tested trading strategy; the report supplies no performance evaluation or causal proof that ETF expectations explain the moves.
Key ideas
- Implied volatility fell as ETF-related event risk diminished and the earlier term-structure inversion resolved.
- ETH futures traded at a larger premium to spot than BTC futures, reflecting stronger demand for leveraged long exposure.
- BTC futures yields were described as remaining near an annualized 10% across maturities.
- Funding rates rose for both assets, with ETH funding accompanying its elevated futures premium.
- Both assets’ volatility surfaces cooled, while short-term risk reversals moved toward more neutral positioning.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.