Weekly Bitcoin and Ether Derivatives: Yields, Funding, and Volatility
Summary
This weekly snapshot reviews Bitcoin and Ether futures yields, perpetual funding, options implied volatility, volatility surfaces, and put-call skew. It reports that annualized futures yields for both assets were near zero, while perpetual contracts traded above spot in a way the report associates with bullish sentiment. At-the-money implied volatility rose amid uncertainty around a USDC depeg and monetary policy announcements, then fell after the Federal Reserve meeting. The report also describes a move toward greater demand for out-of-the-money puts in short-dated skew.
The volatility surface comparisons use a 30-day historical reference, and the report specifies hourly observations, delta and tenor groupings, a UTC snapshot time, and SABR smile calibration for its z-scores. These readings are market conditions at a particular week and are not trading rules or forecasts. The text summarizes chart findings without supplying the underlying chart series or enough detail to reproduce the analysis independently.
Key ideas
- Bitcoin and Ether futures yields were reported as trading near zero across tenors.
- Perpetual funding indicated that contracts traded above spot during the week.
- At-the-money implied volatility fell after the Federal Reserve meeting following an earlier rise.
- Short-tenor put-call skew shifted back toward out-of-the-money puts, especially for Ether.
- Volatility surface comparisons referenced the preceding 30 days of hourly observations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.