Week 19 Crypto Derivatives: Volatility Term Structure and Put Skew Recovery
Summary
This report reviews how BTC and ETH derivatives responded to a spot-market selloff. Short-dated implied volatility briefly rose above longer-dated volatility, inverting the term structure, before volatility fell. ETH implied volatility remained five to ten volatility points above BTC across the term structure. The selloff also brought strong demand for out-of-the-money puts in both assets; the report says that skew later recovered as those puts were sold.
Futures yields at one month and shorter rose sharply relative to longer maturities, which the report interprets as demand for leveraged long exposure. Perpetual funding rates were near zero at the time of the snapshot, though both BTC and ETH had traded positively during the prior week. The report includes exchange comparisons and SVI-calibrated volatility and skew displays, but the text provides limited detail about the underlying data and no strategy test. Its observations are a market commentary, not evidence that volatility or skew movements forecast future prices.
Key ideas
- A spot selloff briefly pushed short-dated implied volatility above longer-dated volatility before volatility declined.
- ETH implied volatility traded five to ten volatility points above BTC across the term structure.
- Demand for downside protection increased put skew during the selloff, and the skew later recovered as puts were sold.
- Short-dated futures yields rose relative to longer maturities, which the report links to demand for leveraged longs.
- Perpetual funding was near zero at the snapshot despite positive trading during the preceding week.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.