Crypto Derivatives Week 36: Funding, Futures Yields, and Volatility Skew
Summary
This weekly market note reviews BTC and ETH futures, perpetual swap funding, and options volatility. It reports subdued annualized futures yields for both assets and a modest return to positive funding, suggesting renewed demand for long exposure while remaining below the stronger levels seen the prior month. At-the-money implied volatility was broadly steady, with BTC between the stated 30% and 45% range and ETH below BTC.
The options discussion points to growing demand for short-dated downside protection. BTC’s 25-delta risk reversal turned notably negative, while ETH’s skew moved in the same bearish direction but less strongly. Surface analysis adds a maturity distinction: BTC showed more demand for long-dated puts and weaker short-dated calls, whereas ETH’s long-dated volatility increase was stronger in out-of-the-money calls. The report uses a 30-day hourly history to standardize surface changes, but offers a single weekly snapshot and no strategy performance or causal evidence.
Key ideas
- Futures-implied yields for BTC and ETH remained subdued across maturities.
- Perpetual funding turned more positive, indicating a pickup in demand for long exposure.
- BTC and ETH at-the-money implied volatility changed little over the week.
- Short-dated skew showed greater demand for downside protection, especially in BTC.
- Long-dated volatility patterns differed: BTC’s increase favored puts, while ETH’s favored calls.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.