Reading BTC and ETH Futures, Funding, and Options Signals

Summary

This weekly report surveys BTC and ETH derivatives through futures yields, perpetual swap funding, at-the-money implied volatility, volatility surfaces, and SABR skew. It describes futures trading above spot across sub-year tenors for BTC and ETH, alongside low implied volatility and different funding signals: BTC funding remains near recent lows, while ETH funding rises, suggesting greater demand for long exposure in perpetual swaps.

The options discussion reports a small pickup in short-tenor implied volatility for both assets, cooling in longer-dated BTC volatility, and richer short-dated out-of-the-money BTC calls. ETH shows cooling in mid-dated out-of-the-money puts and a stronger preference for puts in the middle of its volatility term structure. Surface z-scores use the prior 30 days of hourly implied-volatility data at matching delta and tenor. These are descriptive snapshots, not a tested trading strategy; the report provides no performance evidence or causal test for its market interpretations.

Key ideas

• Futures yields and perpetual swap funding provide distinct signals about positioning in BTC and ETH.
• The report describes low implied volatility in both assets alongside a short-tenor uptick.
• BTC shows richer short-dated out-of-the-money calls and cooling volatility at longer tenors.
• ETH retains stronger demand for out-of-the-money puts in the middle of the term structure.
• The volatility surface z-scores compare observations 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.