Interpreting Crypto Futures Yields and SABR Volatility Skews
Summary
This weekly derivatives report summarizes bitcoin and ether futures yields and options volatility conditions. It describes bitcoin annualized yields as mostly flat with signs of a possible rise, while ether yields remained near zero after an earlier high-volatility period. At-the-money implied volatility for both assets was low and broadly stable following a recent decline. The review also notes cooling across most of both volatility surfaces, with selected longer-dated, low-delta calls standing out relative to recent observations.
The report examines SABR rho as an indicator of smile skew: bitcoin’s move toward a more neutral smile slowed, while shorter-dated ether options shifted more sharply toward neutrality even though the broader smile remained put-skewed. It defines surface z-scores against the prior 30 days of hourly observations and presents smile calibration snapshots. These are market observations, not a trading strategy or tested signal; the text gives no chart values beyond qualitative descriptions, and its historical snapshots should not be treated as current conditions.
Key ideas
- Bitcoin futures yields were flat with tentative signs of an upward move, while ether yields stayed near zero.
- At-the-money implied volatility remained low for both assets after recent declines.
- Most of the volatility surfaces cooled, with some longer-dated low-delta calls relatively elevated.
- SABR rho observations indicated distinct changes in bitcoin and ether smile skew.
- Surface z-scores compare implied volatility with the preceding 30 days of hourly data.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.