Crypto Derivatives Week 47: ETF Timing, Volatility Skew, and Futures Yields

Summary

This weekly market recap reviews BTC and ETH futures, perpetual swap funding, and options conditions. It reports that annualized futures yields had fallen to just below 10% and that BTC and ETH yields were at similar levels, a convergence not seen since August. Funding remained mostly positive, although the USDC-margined BTC contract briefly moved slightly negative in the latest data.

The options analysis highlights a kink in BTC’s at-the-money implied volatility term structure near expected ETF application deadlines, with a similar pattern in ETH. Longer-dated volatility remained elevated, and risk reversals indicated demand for out-of-the-money calls at three- and six-month tenors, while short-tenor skew was closer to neutral. The report uses a 10:00 UTC snapshot and describes market pricing at that moment; the excerpt supplies no underlying charts or broader performance study, so these observations should not be treated as persistent relationships or forecasts.

Key ideas

• BTC and ETH futures yields had converged near the reported snapshot.
• Perpetual funding was generally positive, with a brief slight negative reading for one BTC contract.
• Both assets showed elevated longer-dated implied volatility near anticipated ETF decision timing.
• Risk reversals indicated greater demand for longer-dated upside exposure than for short-dated calls.
• The report is a point-in-time market recap based on a specified snapshot and a recent volatility history.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.