Weekly Bitcoin and Ether Derivatives Market Conditions
Summary
This weekly market report reviews Bitcoin and Ether futures yields, perpetual swap funding, and options volatility and skew after an early-week spot selloff. It says spot prices and the kink in at-the-money implied volatility term structures recovered, while funding remained persistently positive. Put skew, which had been moving toward out-of-the-money puts before the selloff, moved back toward more neutral levels. Futures annualized yields for both assets were described as near 10% across maturities.
The options discussion notes renewed short-dated volatility and a January expiry kink, a resolved short-tenor Ether skew dislocation, and different patterns across the BTC and ETH volatility surfaces. The report identifies where volatility changes were concentrated and uses a 30-day history of hourly implied volatility observations to calculate z-scores, with SABR smile calibration. It provides a dated snapshot and qualitative readings of market metrics, rather than a trading signal, causal account, or evidence that the conditions will persist.
Key ideas
- Spot prices and at-the-money volatility term structures recovered after the selloff described in the report.
- Perpetual swap funding stayed positive, suggesting continued demand for leveraged long exposure.
- BTC and ETH futures yields were reported near 10% across the term structure.
- Put skew in both assets moved toward neutral after an earlier tilt toward out-of-the-money puts.
- Volatility surface observations are snapshot based, with z-scores calculated from a 30-day hourly history and SABR calibration.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.