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

Summary

This weekly report reviews Bitcoin and Ether derivatives through annualized futures-implied yields, at-the-money implied volatility, volatility skew, and the shape of each asset’s volatility smile. It describes how those measures changed around a recent spot rally. For Bitcoin, futures yields rose, short-dated at-the-money volatility increased after the term structure ceased to be inverted, and the 25-delta put-call skew continued to decline. The report also notes that longer-dated out-of-the-money puts outperformed other parts of the volatility surface even as short-dated call volatility cooled.

For Ether, yields remained substantially negative despite the spot rally; near-term at-the-money volatility was steady while longer-dated implied volatility rose. Its longer-term smile shifted toward puts, though less strongly than before, and both wings became less steep. The analysis references SABR and SVI smile calibrations and compares implied-volatility observations with recent hourly history. The page provides chart and table headings but not the underlying values, so it supports a qualitative market snapshot rather than independent calculation, causal explanation, or a trading rule.

Key ideas

• Bitcoin futures-implied yields rose alongside the recent spot rally.
• Bitcoin short-dated at-the-money implied volatility increased as its term structure moved out of inversion.
• Bitcoin’s volatility surface retained a skew toward out-of-the-money puts.
• Ether futures yields remained negative while longer-dated implied volatility increased.
• SABR and SVI calibrations are used to describe the assets’ volatility smiles.

Tags

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