Week 8 Crypto Derivatives: Rising Yields and Bullish BTC Option Skew

Summary

This weekly market review tracks BTC and ETH futures yields, perpetual swap funding, and options volatility. It reports that annualized yields for both assets rose, reaching levels last seen around the buildup of leverage before BTC’s ETF announcement. Persistently positive funding rates are interpreted as evidence of demand for leveraged long exposure. The report also notes a steeper futures yield term structure for ETH than for BTC.

For options, BTC at-the-money implied volatility rose across tenors, while its 25-delta risk reversal showed a pronounced tilt toward out-of-the-money calls, especially at longer maturities. ETH volatility also increased, particularly at the three-month tenor, but shorter-dated skew was less bullish and leaned toward puts. Both assets’ implied-volatility surfaces trended upward over the previous 30 days. The evidence is a weekly snapshot and descriptive market commentary; it does not establish that the observed leverage, volatility, or skew predicts subsequent returns. Surface statistics use SABR smile calibration and hourly data over the stated lookback.

Key ideas

• BTC and ETH futures yields rose to levels associated with the earlier buildup of leverage before BTC’s ETF announcement.
• Positive perpetual funding rates were presented as signs of demand for leveraged long exposure.
• BTC options showed rising implied volatility and a strong longer-dated skew toward out-of-the-money calls.
• ETH volatility rose, while shorter-dated ETH skew was less bullish and tilted toward puts.
• Both BTC and ETH implied-volatility surfaces rose over the prior 30 days, based on the report’s observations.

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