Weekly BTC and ETH Options Volatility, Skew, and Futures Yields

Summary

This weekly market recap reviews BTC and ETH derivatives using futures-implied yields, at-the-money implied volatility, and option volatility smiles. It reports BTC futures-implied yields above zero at tenors below one year, with at-the-money implied volatility between 70% and 75% across tenors. BTC’s 25-delta smile remains tilted toward out-of-the-money puts, and short-dated puts show especially high implied volatility relative to their recent history. The report also says BTC’s one-month smile rises across strikes.

For ETH, yields remain negative across tenors following post-Merge trading activity, while at-the-money volatility declines despite a falling spot price. Its 180-day smile has a skew similar to BTC’s, and its one-month smile shows lower implied volatility for out-of-the-money calls while put volatility is largely unchanged. The report references SABR and SVI calibrations and a 30-day hourly history for its volatility z-scores. It offers market observations and chart headings rather than a complete dataset or trading test, so the findings are descriptive and tied to the report’s snapshot period.

Key ideas

• BTC futures-implied yields are reported above zero at maturities shorter than one year.
• BTC at-the-money implied volatility is reported between 70% and 75% across tenors.
• BTC’s volatility smile is skewed toward out-of-the-money puts, especially at short maturities.
• ETH yields remain negative while its at-the-money volatility falls despite a declining spot price.
• The report uses SABR and SVI smile calibrations and compares volatility z-scores with recent hourly history.

Tags

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