Week 15 Crypto Derivatives: Leverage, Funding and Volatility
Summary
This weekly report reviews Bitcoin and Ether derivatives during a spot rally that tested prior highs. It tracks futures-implied yields, perpetual swap funding, at-the-money implied volatility, and 25-delta risk reversals, alongside exchange comparisons and volatility smiles calibrated with SVI. The report uses these measures to describe how traders priced leverage, volatility, and upside or downside exposure.
The rally brought higher futures yields and funding, while short-dated implied volatility rose enough to flatten or briefly invert the term structure. The move was smaller and shorter than the earlier Bitcoin rally to all-time highs. As spot prices stalled, funding returned toward its prior trend or near zero; implied volatility remained elevated and comparatively flat across tenors. Risk reversals also recovered from earlier directional skews. These are descriptive market observations from a weekly snapshot, not a forecast or a tested trading strategy; the excerpt supplies no full chart data or detailed methodology for the indices and calibrations.
Key ideas
- Futures yields and perpetual swap funding rose during the spot rally, then funding retreated as prices stalled.
- Short-dated implied volatility increased and briefly inverted the term structure for Ether.
- Bitcoin and Ether options showed changes in 25-delta risk reversals alongside shifts in demand for calls and puts.
- The report describes market conditions at a point in time rather than testing a trading rule.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.