Reading Crypto Futures Yields and Options Skew During an ETH Market Shift
Summary
This market commentary compares Bitcoin and Ethereum futures-implied yields to spot prices and options risk reversals around the period following the Beacon Chain staked-ETH unlock. It reports that ETH futures yields had generally been below BTC’s during 2023, with the difference especially pronounced near the unlock. The authors suggest that hedging by holders of staked ETH, or synthetic exposure changes through futures, may have contributed. After the market selloff, yields for both assets fell and their term structures became flatter and more similar.
The note also uses one-month, 25-delta risk reversals to describe options skew. ETH options shifted toward more expensive out-of-the-money puts, while BTC’s skew remained less negative; the commentary interprets this as weaker relative sentiment toward ETH. These measures can help traders track carry expectations and downside demand, but the piece is a short snapshot, not a tested trading strategy. Its proposed explanation for the yield behavior is explicitly tentative, and the observations do not establish what caused the price or skew changes.
Key ideas
- Futures-implied yield measures the premium or discount of futures prices relative to spot.
- ETH futures yields were reported below BTC yields through much of the period discussed.
- The authors suggest hedging around the staked-ETH unlock may have affected ETH futures pricing.
- A negative options risk reversal indicates greater implied volatility for out-of-the-money puts than calls.
- ETH’s options skew turned more negative than BTC’s in the reported one-month comparison.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.