Using Crypto Derivatives Metrics to Track Selloff Risk and Options Skew
Summary
This report reviews BTC and ETH derivatives during a period when spot prices moved toward the bottom of their recent ranges. It says short-dated implied volatility rose as traders sought downside protection, and options smiles remained tilted toward out-of-the-money puts. Meanwhile, funding rates stayed positive and short-tenor futures yields recovered some ground after falling during the spot decline. ETH volatility retained a stated premium of about 10 volatility points over BTC at matching tenors, with a flatter term structure.
The report compares futures yields, perpetual funding, at-the-money volatility, 25-delta risk reversals, and exchange-level volatility measures. It refers to SVI calibrations and composite volatility surfaces, but the supplied text contains no underlying charts or detailed data series. The observations may help readers identify contemporaneous stress and skew, but they are descriptive and period-specific; they do not establish a repeatable signal, explain the cause of price moves, or evaluate a trading strategy.
Key ideas
- Short-tenor implied volatility increased during the described spot-price decline.
- BTC and ETH options smiles remained skewed toward out-of-the-money puts, indicating demand for downside protection.
- Positive perpetual funding and recovering short-tenor futures yields coexisted with bearish options skew.
- ETH volatility retained a stated premium over BTC and a flatter term structure.
- The report is a descriptive market snapshot and does not test a trading signal or establish causality.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.