Week 19 Crypto Derivatives: Low Volatility and Put Skew in BTC and ETH

Summary

This weekly market recap reviews futures yields, perpetual swap funding, and BTC and ETH options conditions. It reports futures-implied yields near zero across BTC tenors, while ETH’s one-week yield is negative and longer tenors sit slightly above zero. Funding rates for both assets are described as close to zero. The options discussion emphasizes falling at-the-money implied volatility, levels near historical lows, and a growing preference for out-of-the-money puts, especially in ETH.

The report also describes volatility surfaces and smile calibrations, using SABR fits and 30 days of hourly observations to calculate implied-volatility z-scores at specified deltas and tenors. These are descriptive observations from a particular weekly snapshot, not a tested trading strategy. The text provides no detailed chart values or forecast performance, and its findings should be read as time-specific market context rather than evidence that volatility or skew will continue in the same direction.

Key ideas

• BTC futures yields are slightly positive and broadly range-bound, while ETH has negative one-week yields.
• Perpetual funding for both assets is reported near zero.
• At-the-money implied volatility has fallen toward historical lows across BTC and ETH options.
• The volatility smiles show stronger downside-put skew in ETH than in BTC.
• The report uses SABR smile calibration and a 30-day hourly history to frame volatility z-scores.

Tags

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