Weekly Crypto Derivatives Review: Falling Volatility and Near-Neutral Funding
Summary
This weekly report summarizes Bitcoin and Ether futures, perpetual swap funding, and options conditions. It describes annualized futures yields as moving sideways, with short tenors recovering from the prior week, especially for Ether. Funding rates for both assets stayed near zero, indicating little apparent market preference for long or short perpetual swap exposure. The report’s market observations use a 10:00 UTC snapshot unless stated otherwise.
Options metrics point to declining implied volatility across both assets. Bitcoin’s volatility drifted lower across tenors and its risk reversal was broadly neutral after a brief call-skewed spell. Ether also saw lower volatility, with a steeper short-tenor decline, and retained a modest out-of-the-money put skew. Surface z-scores are defined against the previous 30 days of hourly observations at matching delta and tenor, using SABR smile calibration. The text supplies no underlying tables or charts, so readers cannot independently inspect the scale of changes; this is a dated descriptive snapshot, not a forecast or trading test.
Key ideas
- Bitcoin and Ether futures yields moved sideways, while shorter tenors recovered from the prior week.
- Perpetual funding rates near zero suggested little directional positioning preference.
- Implied volatility declined across both assets, with Ether’s shorter tenors falling more sharply.
- Bitcoin’s risk reversal was neutral, while Ether retained a modest out-of-the-money put skew.
- Surface z-scores compare readings with 30 days of hourly data at matching delta and tenor.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.