Week 13 Crypto Derivatives: Yields, Funding, and Volatility Skew

Summary

This weekly snapshot reviews BTC and ETH futures yields, perpetual funding, and options volatility after a price pullback and recovery. It reports that short dated futures yields rose from recent lows, funding stayed positive but modest, and implied volatility remained within a relatively narrow range. The previously inverted volatility term structures corrected, with near term volatility falling below longer dated volatility.

The report also tracks 25 delta risk reversals, which moved toward less pronounced put skew as spot prices recovered. Its volatility surface and smile sections provide SABR calibrated views, with z scores based on hourly implied volatility observations over the prior 30 days. The observations suggest reduced short dated demand for volatility protection during the rebound, but this is a descriptive market update rather than a tested trading signal. The material is limited to a specific weekly snapshot and does not provide a systematic strategy, performance results, or evidence that the observed conditions persisted.

Key ideas

• Short dated BTC and ETH futures yields rose after reaching lows earlier in the month.
• Perpetual funding stayed positive but low, consistent with some demand for leveraged long exposure.
• The earlier inverted volatility term structures corrected as front end implied volatility declined relative to longer tenors.
• The 25 delta put/call skew increased during the spot recovery, indicating less demand for near dated protective puts.
• SABR surface z scores compare implied volatility with hourly observations from the preceding 30 days.

Tags

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