Using Funding, Volatility Curves, and Skew to Read Crypto Derivatives
Summary
This weekly report surveys BTC and ETH derivatives sentiment through perpetual swap funding, implied volatility term structures, and options risk reversals. It describes funding rates near zero after sideways spot performance, suggesting limited imbalance in demand for long versus short perpetual exposure. ETH volatility remains above BTC volatility, while the two assets show different curve shapes: BTC's term structure is comparatively steep, and ETH's has steepened and flattened alongside spot moves.
The report also compares short- and longer-dated option smiles. Short-tenor call skew has faded, while longer-dated BTC options retain an upside tilt; ETH short-tenor smiles remained call-skewed during much of the reported week. Exchange comparisons, volatility surfaces, expiry smiles, and constant-maturity views are listed as supporting exhibits, but their underlying chart values are not included in the text. The material is a descriptive snapshot rather than a tested signal, and its conclusions are limited to the market conditions of that week.
Key ideas
- Near-zero BTC and ETH perpetual funding is consistent with limited directional positioning imbalance.
- ETH implied volatility trades at a premium to BTC in the report's market snapshot.
- BTC and ETH volatility term structures show different shapes and responses to spot moves.
- Short-dated call skew weakened while longer-dated options retained more upside pricing.
- Volatility surfaces and cross-exchange smiles can help compare pricing across maturities and venues.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.