Using Futures Yields and Options Skew to Interpret ETH Weakness

Summary

This commentary examines why Ether underperformed Bitcoin in 2023 by comparing spot returns, futures-implied yields, perpetual funding, and options risk reversals. The central observation is that ETH’s futures-implied yields weakened after the August 18 selloff, moving toward zero on an annualized basis, while ETH perpetual funding also showed less willingness to pay for long exposure than Bitcoin funding.

The options comparison complicates a straightforward bearish reading. Although ETH put volatility was at times richer relative to calls than BTC’s, the two assets’ one-month 25-delta risk reversals moved within broadly similar ranges over the recent months discussed. The author interprets the mismatch as evidence that futures-market weakness may stem from hedging demand rather than a clear directional forecast for spot prices.

The article cites year-to-date spot performance and describes potential ETF and staking interest as possible supportive factors. These are contextual observations, not a causal test. Its conclusions are limited to the cited period and selected derivatives indicators; similar skew does not establish that investor views or future returns are alike.

Key ideas

• ETH spot performance lagged BTC over the period described.
• ETH futures-implied yields and perpetual funding weakened after the August selloff.
• Similar recent risk-reversal behavior makes a purely directional interpretation of ETH futures weakness less certain.
• The author suggests hedging activity may explain the futures signal, but the indicators do not prove its cause.

Tags

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