Reading BTC and ETH Derivatives Signals from Implied Yields and Volatility

Summary

This weekly market recap reviews Bitcoin and Ethereum derivatives through annualized implied yields, at-the-money volatility, delta skew, volatility surfaces, and calibrated smile curves. It describes how those measures changed around October 13 and compares current readings with recent observations, including 30-day hourly distributions used to calculate surface z-scores.

The report says BTC implied yields were negative at the one- and three-month tenors, while longer maturities remained below 1%. BTC and ETH implied volatility fell across tenors after October 13; both assets retained downside put skew, with ETH’s long-dated skew increasing in line with BTC. ETH yields were negative across tenors, and its one-month smile softened particularly in out-of-the-money puts. The excerpt offers descriptive market observations rather than a trading strategy or causal analysis. It supplies no underlying chart values, calibration details, or broader historical assessment beyond the stated comparisons.

Key ideas

• The report tracks BTC and ETH annualized implied yields across maturities.
• At-the-money implied volatility fell across both assets’ tenors after October 13.
• BTC skew shifted further toward out-of-the-money puts around that date.
• ETH’s 180-day put skew increased in line with BTC’s skew.
• The volatility surface z-scores compare readings with the prior 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.