Weekly Crypto Derivatives Signals Across Futures, Funding, and Options
Summary
This weekly report reviews BTC and ETH derivatives conditions using futures-implied yields, perpetual swap funding rates, option implied volatility, risk reversals, and volatility surfaces. It describes a rise in spot prices alongside higher futures yields and funding rates. ETH volatility remains below BTC’s across tenors, while both assets show increased implied volatility and a preference for out-of-the-money calls at longer maturities; the call skew is stronger in BTC. The report also notes stronger increases in longer-dated BTC volatility and a rise across the ETH volatility surface.
The analysis combines market snapshots with volatility smile and surface measures. It specifies a 10:00 UTC snapshot convention for table data and explains that its volatility z-scores compare current implied volatility with the prior 30 days of hourly observations at matching delta and tenor, using SABR calibration. These measures provide a descriptive cross-section of market pricing, not a forecast or tested strategy. The excerpt contains no full tables or charts, and a single weekly observation cannot establish whether the reported moves persist.
Key ideas
- Higher spot prices coincided with rising futures-implied yields and perpetual funding rates.
- ETH implied volatility remained below BTC volatility across the reported tenors.
- Longer-dated risk reversals showed a preference for out-of-the-money calls, especially in BTC.
- Implied volatility rose across both assets, with stronger increases at longer BTC maturities.
- The report’s z-scores compare implied volatility with 30 days of hourly observations 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.