Weekly Bitcoin and Ether Futures, Volatility, and Skew Review

Summary

This weekly report summarizes Bitcoin and Ether derivatives conditions using futures-implied yields, at-the-money implied volatility, volatility surfaces, and SABR volatility-smile skew. It reports that Bitcoin futures remained below spot and Ether futures yields turned negative across tenors up to one year. At-the-money implied volatility for both assets was near the lower end of its recent range, despite a brief rise in shorter-dated Bitcoin volatility. The overall interpretation is that tentative recovery signals from the prior week had faded.

The report also describes changes across option maturities and deltas: some Bitcoin puts gained relative to recent values, while Ether volatility cooled, especially for longer-dated calls. SABR rho moved toward more negative skew in Bitcoin and back toward out-of-the-money puts in Ether. Its z-score methodology compares an option’s implied volatility with hourly observations over the prior 30 days. The article supplies a market snapshot rather than a strategy or causal explanation, and its conclusions are specific to the reporting week and timestamp.

Key ideas

• Bitcoin futures yields weakened further below spot, while Ether yields were negative across reported tenors up to one year.
• At-the-money implied volatility for both assets remained near the lower end of its recent range.
• Bitcoin and Ether option surfaces showed different maturity and delta patterns in implied volatility.
• SABR rho indicated a return toward more pronounced downside skew in both markets.
• The report’s volatility z-scores compare each option with its prior 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.