Weekly BTC and ETH Derivatives Signals from Futures Yields and Options Volatility

Summary

This weekly report reviews crypto derivatives positioning through futures-implied yields and options volatility measures for BTC and ETH. It describes BTC futures yields moving closer to zero as a spot rally loses momentum, while BTC at-the-money implied volatility stays broadly range-bound and put-call skew continues to reflect pessimism. The report also notes cooling short-dated BTC call volatility and a steeper smile in out-of-the-money calls and puts, with at-the-money volatility little changed from the prior week.

For ETH, the report says annualized futures yields fell further, with near-term futures trading below spot around the upcoming Merge event. Short-term at-the-money implied volatility remained elevated, the longer-dated smile stayed tilted toward puts, and out-of-the-money put volatility steepened. The evidence is presented through implied-yield and volatility tables, plus SABR and SVI smile calibrations. The text provides qualitative conclusions but no underlying table values or detailed methodology, so the report offers a market snapshot rather than a tested trading strategy.

Key ideas

• Futures-implied yields for BTC moved closer to zero as the spot rally faded.
• BTC at-the-money implied volatility traded sideways while short-dated call volatility cooled.
• BTC’s volatility smile steepened in out-of-the-money calls and puts, while at-the-money levels were similar to the previous week.
• ETH futures yields fell, with shorter-tenor futures below spot around the upcoming Merge event.
• ETH options remained put-skewed, and demand for out-of-the-money downside protection increased.

Tags

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