Weekly BTC and ETH Derivatives Signals Across Futures, Funding, and Options

Summary

This weekly snapshot reviews BTC and ETH derivatives using futures-implied yields, perpetual swap funding, option implied volatility, risk reversals, and volatility surfaces. It reports positive BTC futures yields and funding alongside negative ETH readings at short tenors, indicating differing positioning signals across the two assets. Both option markets show a move toward more neutral volatility smiles compared with the prior month, although shorter-dated options retain some downside skew. BTC longer-dated volatility rose slightly, while ETH volatility was lower overall and varied across expiries.

The report describes its volatility-surface z-scores as comparisons with the previous 30 days of hourly observations, using SABR-calibrated smiles, and notes a 10:00 UTC data snapshot. These measures offer a compact way to compare term structures and skew, but the document mostly summarizes readings rather than explaining their causes or providing a trade plan. It includes no performance test or subsequent price outcome, and the snapshot is time-specific; the signals should not be treated as persistent conditions.

Key ideas

• BTC futures yields and perpetual funding were positive, while ETH readings were negative in the reported period.
• The volatility smiles for both assets had shifted toward more neutral pricing over the preceding month.
• BTC showed relatively stronger longer-dated call volatility, while ETH volatility was lower overall.
• The report compares volatility-surface readings with 30 days of hourly SABR-calibrated data.
• The findings are a dated market snapshot, not a tested strategy or forecast.

Tags

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