Weekly Crypto Derivatives Review of Yields, Volatility, and Skew

Summary

This weekly market recap describes shifts in BTC and ETH futures yields and options metrics. It reports a recovery in annualized futures yields, especially in shorter maturities, alongside cooling at-the-money implied volatility. The implied volatility surfaces also eased across most observed points, while BTC’s six-month, low-delta calls were an exception. The report says ETH volatility remained materially higher than BTC volatility despite cooling in both markets.

The analysis interprets lower SABR rho readings as reduced downside skew and less premium assigned to out-of-the-money puts, while noting that deep out-of-the-money options remained relatively rich compared with earlier levels. It uses hourly implied-volatility observations over the preceding 30 days to calculate surface z-scores, and provides calibration snapshots for a stated expiry and tenor. The document is a dated market snapshot rather than a trading method or causal study; its conclusions depend on the observation window and the market conditions of that week.

Key ideas

• BTC and ETH annualized futures yields recovered during the week, particularly at shorter maturities.
• At-the-money implied volatility cooled for both assets, though ETH remained higher than BTC.
• Most of each asset’s implied volatility surface declined, with BTC six-month low-delta calls an exception.
• SABR rho fell, consistent with reduced downside skew and lower put-protection premiums.
• The report’s z-scores compare hourly readings with the prior 30-day distribution.

Tags

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