Crypto Derivatives Week 4: Rally Effects on Futures, Funding, and Skew
Summary
This weekly review examines BTC and ETH derivatives during a second sharp rise in spot prices. Short-dated ETH futures yields moved above zero, joining BTC, while positive BTC perpetual funding and stronger ETH funding indicated demand for long exposure. At-the-money implied volatility returned to levels seen the prior week and remained higher at shorter maturities. The report contrasts BTC’s mostly neutral to slightly call-leaning volatility skew with ETH’s preference for out-of-the-money puts at longer maturities.
The analysis is organized around futures annualized yields, perpetual funding, SABR implied volatility, volatility surfaces, and 25-delta put-call skew. It also gives the measurement context for surface z-scores: hourly observations over the prior 30 days, matched by delta and tenor. The report is a market snapshot with expiry and calibration timestamps; it does not present a trading rule, backtest, or evidence that the rally would persist. Its conclusions describe the period covered and should not be treated as a general relationship between spot rallies and derivatives positioning.
Key ideas
- Short-dated ETH futures yields moved above zero as BTC futures remained above spot.
- Positive funding rates indicated demand for long perpetual exposure, especially during ETH’s later rally.
- At-the-money implied volatility returned to the previous week’s levels, with shorter maturities higher.
- BTC skew was mostly neutral with a mild call tilt, while longer-dated ETH skew favored out-of-the-money puts.
- Volatility surface z-scores compare current readings with hourly observations from the preceding 30 days.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.