Crypto Derivatives Week 3: Falling Volatility and Bearish Options Skew
Summary
This weekly market report reviews Bitcoin and Ether derivatives through perpetual funding rates, futures-implied yields, at-the-money implied volatility, and options risk reversals. It also references risk appetite indices and compares volatility surfaces and smiles across exchanges and maturities. The measures are used to characterize positioning and option-market expectations amid macroeconomic headlines and relatively sideways spot trading.
The report describes implied volatility drifting lower despite the events, Bitcoin perpetual funding remaining positive while Ether funding stayed near neutral, and short-dated Bitcoin futures yields exceeding longer-tenor yields. Options smiles for both assets retained a premium for out-of-the-money puts, which the authors interpret as bearish near-term pricing. It provides selected numerical observations and snapshot labels, but the underlying charts, full index construction, and statistical tests are absent from the text. The findings are a time-specific market recap, not evidence that a directional forecast or trading strategy will perform reliably.
Key ideas
- Bitcoin and Ether implied volatility continued to decline during a week with several macroeconomic events.
- Bitcoin perpetual funding remained positive while Ether funding was closer to neutral.
- Short-tenor Bitcoin futures yields were higher than longer-tenor yields, indicating an inverted term structure.
- Options smiles showed a premium for out-of-the-money puts in both assets.
- The report offers market observations but does not test a strategy or establish predictive performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.