Weekly BTC and ETH Derivatives Signals from Volatility, Skew, and Funding

Summary

This weekly report summarizes crypto derivatives conditions using futures yields, perpetual swap funding, option implied volatility, risk reversals, and volatility surfaces. It describes a cooling in at the money implied volatility after a spot rally slowed, with ETH options slightly below BTC across tenors. BTC and ETH options are characterized as pricing upside and downside similarly, while their futures implied yields converged at modest positive levels. ETH perpetual funding rose above BTC after lagging during the prior rally.

The report also notes lower short tenor BTC futures yields, ETH yields in a stated range, neutral 25 delta risk reversals, and elevated longer tenor out of the money call volatility relative to recent history. Surface z scores use the prior 30 days of hourly observations and SABR smile calibration. These are time specific snapshots, not a persistent signal or a backtested strategy, and the provided text omits the underlying tables and charts, limiting independent assessment.

Key ideas

• The report combines futures yields, perpetual funding, implied volatility, and risk reversals to describe market conditions.
• At the snapshot, implied volatility had eased as the recent spot rally lost momentum.
• ETH funding had increased relative to BTC, while futures yields showed different tenor patterns.
• Both assets had near neutral risk reversals, with longer tenor call volatility elevated against recent history.
• The volatility surface context uses a 30 day hourly history and SABR calibration, so findings depend on that sample and timestamp.

Tags

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