Weekly BTC and ETH Derivatives Signals from Yields and Implied Volatility

Summary

This weekly market recap reviews BTC and ETH futures yields and options implied volatility. It reports that short tenor futures yields weakened, with ETH yields falling below zero at shorter tenors, while longer tenor yields were comparatively steady. It also describes changes in at-the-money term structures, put-call skew, and volatility smiles across option deltas and maturities.

The report refers to implied volatility tables, surfaces, and SABR and SVI smile calibrations, and explains that its z-scores compare current readings with hourly observations over the prior 30 days. These measures provide a framework for tracking shifts in options pricing and relative downside demand. However, the supplied text contains no tables, charts, or underlying values, and gives only qualitative conclusions. It is a dated snapshot rather than a trading rule or evidence of predictive performance.

Key ideas

• Short tenor BTC futures yields declined while higher tenor yields were described as flat.
• ETH short tenor yields weakened further below zero, underperforming BTC.
• The report describes renewed inversion in short term at-the-money volatility structures for both assets.
• BTC and ETH put-call skew and volatility smiles showed differing changes across the delta range.
• Its volatility z-scores compare readings with the preceding 30 days of hourly data.

Tags

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