Reading BTC and ETH Futures Yields, Implied Volatility, and Skew

Summary

This weekly crypto derivatives recap tracks futures implied yields and options metrics for Bitcoin and Ether. It reports BTC yields recovering toward zero after a late November decline, while ETH yields remain between negative two percent and zero at tenors shorter than one year. At the time covered, at-the-money implied volatility had fallen for both assets; BTC was at its lowest level since November 2020, while ETH was at levels also seen during parts of 2022.

The report describes cooling implied volatility surfaces across strikes and maturities, with larger declines at longer BTC tenors. ETH volatility remained roughly 10 to 20 volatility points above BTC at most points. Both assets’ volatility smiles still leaned toward out-of-the-money puts, which the authors interpret as cautious downside pricing. Surface z-scores use the prior 30 days of hourly observations at matching delta and tenor. These are time-specific market snapshots, not evidence that the observed conditions predict future returns.

Key ideas

• BTC futures implied yields recovered toward zero, while ETH yields stayed mildly negative at shorter than one-year tenors.
• At-the-money implied volatility declined for both BTC and ETH during the reported week.
• ETH implied volatility remained higher than BTC across most of the described surface.
• The volatility smiles retained a tilt toward out-of-the-money puts despite falling at-the-money volatility.
• Surface z-scores compare implied volatility with the preceding 30 days of hourly data at matching delta and tenor.

Tags

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