Reading Crypto Derivatives Signals During a Weekend Selloff

Summary

This weekly recap describes how a weekend selloff and subsequent rally appeared in BTC and ETH derivatives. It follows futures-implied yields and perpetual swap funding rates, reporting that yields became strongly negative before recovering, while BTC funding reflected heavy demand for short exposure and later turned positive as prices rose. ETH funding moved in a similar direction.

For options, the report discusses a rise in at-the-money implied volatility and an inverted term structure, which indicates higher near-term volatility pricing than for longer maturities. It also compares volatility surfaces and 25-delta put-call skew, noting a sharper short-term increase for BTC and a stronger short-tenor put skew for ETH. The volatility z-scores use the prior 30 days of hourly observations and SABR smile calibration. These are descriptive snapshots of a particular market episode; the text provides no full underlying time series, causal analysis, or evidence that the signals predict future returns.

Key ideas

• Futures-implied yields for BTC and ETH fell during the selloff and then recovered.
• BTC perpetual funding indicated strong short demand before turning positive during the rebound.
• The report describes inverted at-the-money volatility term structures for both assets.
• ETH showed stronger short-tenor put skew than BTC in the report’s snapshot.
• Its volatility z-scores compare calibrated implied volatility 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.