Week 43 Crypto Derivatives: Volatility, Skew, Yields, and Funding

Summary

This weekly report reviews Bitcoin and Ether derivatives during a strong spot-price rally. It tracks futures-implied yields, perpetual swap funding, at-the-money implied volatility, 25-delta risk reversals, and volatility surfaces. The analysis describes how rising short-tenor volatility compressed the term structure, while the option smile skew moved toward a more balanced shape. Ether yields remained below Bitcoin’s at comparable maturities, even as Ether funding briefly exceeded Bitcoin’s.

The report also explains its volatility z-score method: it compares implied volatility at a given delta and tenor with the preceding 30 days of hourly observations, using a SABR smile calibration. The evidence is presented as market observations and snapshot-based metrics, including a stated 10:00 UTC snapshot convention. The excerpt does not include the underlying charts or full tables, so readers cannot independently assess magnitudes or test the interpretations. It is a descriptive weekly recap, not a trading strategy or causal analysis.

Key ideas

• Rising spot prices in Bitcoin and Ether coincided with volatility gains across tenors and a shift toward more balanced option smiles.
• Short-tenor volatility rose more sharply, compressing the volatility term structure without a meaningful inversion.
• Ether futures-implied yields stayed below Bitcoin’s at equivalent tenors, while Ether funding briefly rose higher.
• The report measures implied-volatility z-scores against 30 days of hourly observations at matching delta and tenor.
• The excerpt summarizes market conditions but omits the charts and full tables needed to inspect the underlying data.

Tags

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