Interpreting Crypto Futures, Funding, and Options Volatility Metrics
Summary
This weekly analytics recap reviews Bitcoin and Ethereum derivatives through futures yields, perpetual swap funding, implied volatility, volatility surfaces, and SABR smile skew. It reports shorter dated yields recovering toward longer dated futures levels, with yields near but below spot, while funding rates moved closer to zero after periods of directional payments. The report interprets these changes as reduced pressure for either long or short exposure.
Options measures likewise point to subdued conviction: at the time of the report, at-the-money implied volatility was near historical lows, some medium dated out-of-the-money put volatility had cooled, and SABR rho indicated skew becoming more neutral, particularly for Bitcoin. Ethereum showed similar broad patterns, with differences across maturities. The report specifies that its volatility z-scores use the prior 30 days of hourly data, sampled at 10:00 UTC. This is a snapshot and descriptive market analysis; it provides no trade rules, causal explanation, or evidence of predictive performance.
Key ideas
- Futures yields and perpetual funding rates were moving closer to neutral conditions.
- Bitcoin and Ethereum at-the-money implied volatility was near historically low levels in the report.
- Medium dated put volatility cooled, while some longer dated measures moved differently.
- SABR rho suggested volatility skew was becoming more neutral, especially for Bitcoin.
- The stated z-score comparison uses 30 days of hourly volatility observations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.