Week 38 Crypto Derivatives: Yield Curves, Volatility, and Skew

Summary

This weekly recap compares BTC and ETH derivatives through futures-implied yields, perpetual swap funding, at-the-money implied volatility, and 25-delta risk reversals. It describes spot prices as range-bound after a recovery, BTC yields as broadly flat, and ETH yields as weaker at short tenors. Implied volatility declined for both assets, though ETH maintained a premium to BTC across tenors; short-dated volatility showed signs of turning higher. Skew and sentiment indicators were largely sideways, with a slight increase in put skew for short-dated BTC options.

The report also references exchange comparisons, composite volatility surfaces, expiry smiles, and constant-maturity smiles using SVI calibration. These measures provide a structured snapshot of term structure and cross-asset or cross-exchange differences. The text does not include the underlying chart values, explain a trading signal, or test predictive performance. Its conclusions describe conditions in one reporting week and should not be treated as durable forecasts.

Key ideas

• BTC futures yields are mostly flat, while ETH yields have weakened at the short end.
• Implied volatility declined across both assets, with ETH retaining a premium over BTC.
• Perpetual funding remained positive for BTC, while ETH funding showed early recovery from negative levels.
• BTC short-tenor options became slightly more put-skewed; ETH skew was little changed.
• The recap uses SVI calibration to compare volatility across maturities and exchanges.

Tags

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