Week 35 Crypto Derivatives: Low Volatility and Subdued Leverage

Summary

This weekly report reviews BTC and ETH futures yields, perpetual swap funding, options volatility, and volatility skews. It describes a rebound in spot prices after a selloff, alongside increases in at-the-money implied volatility that did not break the market out of its historically low range. Futures-implied yields remained subdued, while BTC funding moved close to zero and ETH funding stayed more consistently positive but below early-August levels.

The report also compares option surfaces: ETH implied volatility remained below BTC’s, and ETH’s 25-delta risk reversal continued to indicate a tilt toward out-of-the-money puts. BTC’s risk reversal recovered during the spot rally. Surface changes are presented using SABR calibrations and 30 days of hourly implied-volatility observations for z-scores. The text summarizes a specific weekly snapshot and supplies no numerical tables or detailed methodology for interpreting the metrics, so it is a market overview rather than a trading strategy or a test of predictive signals.

Key ideas

• Spot-market retracement coincided with higher BTC and ETH at-the-money implied volatility, but volatility stayed in a historically low range.
• Futures yields remained subdued, and BTC perpetual funding approached zero.
• ETH funding was more consistently positive than BTC funding but stayed below early-August levels.
• ETH implied volatility remained below BTC’s, with ETH option skew tilted toward out-of-the-money puts.
• The report uses SABR-calibrated surfaces and 30 days of hourly data to calculate volatility z-scores.

Tags

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