Reading BTC and ETH Futures, Funding, and Options Volatility Signals

Summary

This weekly market note compares Bitcoin and Ethereum derivatives through futures-implied yields, perpetual swap funding rates, at-the-money implied volatility, volatility surfaces, and 25-delta put-call skew. It reports that annualized futures yields remain slightly positive and that the two assets show similar yield behavior, while funding is subdued after an earlier increase. The options discussion emphasizes differences in volatility expectations and how skew changes across maturities.

The report describes short-dated BTC put skew easing and ETH’s shorter-tenor skew moving toward neutral, even as ETH options imply higher volatility over the coming month than BTC options. It also gives its volatility-surface z-score methodology: comparisons use the prior 30 days of hourly implied-volatility observations for the same delta and tenor, with SABR calibration at a specified snapshot time. The note offers a time-specific market snapshot, not a trading rule or causal explanation. Its conclusions depend on the chosen observation window, expiry, delta, and calibration, and no performance evidence is provided.

Key ideas

• Futures-implied yields and perpetual funding offer distinct views of crypto derivatives positioning.
• The report finds ETH options imply higher near-term volatility than BTC options in this snapshot.
• Short-dated put-call skew eased for BTC and moved toward neutral for ETH.
• Its volatility z-scores compare options with the same delta and tenor over a 30-day hourly history using SABR calibration.

Tags

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