Reading BTC and ETH Derivatives Skew After a Crypto Selloff

Summary

This weekly market note describes how BTC and ETH derivatives conditions changed after a sharp risk-off event. It reports that short-dated implied volatility fell, while BTC volatility rose at the back end of the term structure. BTC funding returned to positive territory, and ETH funding was gradually rising. These observations suggest that immediate market stress had eased at the time of writing.

The options skew showed different expectations by tenor: longer-dated volatility smiles favored out-of-the-money calls, while shorter tenors favored puts. For ETH, short-tenor skew remained negative and fluctuated substantially. The note refers to implied volatility, 25-delta risk reversals, and volatility smiles, but supplies no chart values or detailed methodology in the text. Its conclusions are a time-specific snapshot rather than a forecast; the report also cautions that the analysis may be incomplete or change, and is not investment advice.

Key ideas

• Short-tenor implied volatility for BTC and ETH declined after the market selloff.
• BTC volatility increased at longer maturities, while ETH long-term volatility was described as steady.
• BTC funding turned positive and ETH funding was gradually rising.
• Longer-dated options skew favored out-of-the-money calls, while short-dated skew favored puts.
• The report presents a dated market snapshot and provides no detailed numerical chart data in the text.

Tags

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