Reading BTC and ETH Derivatives Signals Across Futures, Funding, and Options
Summary
This weekly snapshot reviews BTC and ETH futures yields, perpetual swap funding, and options volatility and skew. It reports falling implied volatility across both assets, with short tenors reaching stated lows in the 25% to 30% range. Futures yields were positive, while funding suggested demand for leveraged long exposure picked up again late in the period. ETH risk reversals moved closer to neutral after reflecting greater demand for downside protection earlier in the week.
The report also describes volatility surfaces using recent historical z-scores, defined from hourly implied-volatility observations over the prior 30 days, and includes SABR smile calibrations. It offers a market-state summary rather than a trading strategy or causal analysis. The charts and detailed values are not present in the supplied text, and its observations are tied to a particular weekly period and snapshot, so they should not be read as current conditions or as predictive evidence.
Key ideas
- BTC and ETH implied volatility fell across maturities, with short-tenor readings described as reaching period lows.
- Futures yields and perpetual funding provide separate indications of carry and leveraged directional demand.
- BTC’s 25-delta risk reversal stayed near neutral, while ETH’s skew shifted closer to neutral late in the week.
- The report’s volatility z-scores compare each option’s implied volatility with hourly observations over the prior 30 days.
- The snapshot describes market conditions and does not establish a causal relationship or forecast.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.