Weekly BTC and ETH Derivatives Signals from Volatility and Yield Data

Summary

This weekly report summarizes Bitcoin and Ether derivatives conditions using futures-implied yields, at-the-money implied volatility, volatility smiles, and option skew. For Bitcoin, it describes yields near zero across most tenors as spot returned to $20,000, at-the-money volatility between 60% and 75%, and an upward inflection in 25-delta put-call skew as demand for downside protection increased. Short-dated implied volatility underperformed the broader surface, while demand for out-of-the-money calls reduced the skew of the one-month smile over the week.

For Ether, annualized yields moved further below zero amid attention on the Merge, and one-month options had the highest at-the-money volatility as traders positioned around the event. The 180-day smile remained put-skewed, with only a small rise in out-of-the-money call volatility. The report names SABR and SVI smile calibrations and a 30-day historical z-score method, but the text provides no charts or underlying tables, limiting independent evaluation of the measurements.

Key ideas

• Bitcoin futures-implied yields were near zero across most tenors as spot returned to $20,000.
• Bitcoin at-the-money implied volatility was reported between 60% and 75%, with short-dated volatility lagging the rest of the surface.
• Bitcoin skew shifted as demand for short-dated puts and out-of-the-money calls changed.
• Ether yields fell further below zero amid the Merge narrative, while one-month at-the-money volatility was highest.
• The report references SABR and SVI calibrations and a 30-day historical z-score, but the text omits the supporting charts and tables.

Tags

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