Weekly Crypto Derivatives Signals Across Futures, Funding, and Options
Summary
This weekly market recap tracks crypto derivatives conditions using futures-implied yields, perpetual swap funding, and BTC and ETH options metrics. It describes a brief spot rally alongside falling implied volatility, a temporary shift in options risk reversals toward a more neutral smile, and futures that remained above spot across maturities. Funding rates rose as traders sought leveraged exposure through perpetual swaps.
The report also compares BTC and ETH volatility: BTC at-the-money implied volatility remained in a historically low range, while ETH implied volatility fell below BTC’s for only the second period in the cited three-year history. Surface measures indicated broad volatility declines, with a stronger cooling in longer-dated ETH options. The analysis uses SABR-calibrated volatility smiles and defines its z-scores against 30 days of hourly data. These are descriptive observations from a weekly snapshot, not evidence of a predictive strategy; the excerpt supplies no trade rules, full charts, or outcome testing.
Key ideas
- The brief spot rally did not reverse the broader decline in BTC and ETH implied volatility.
- Futures remained above spot across maturities despite reversals in short-term yield spikes.
- Perpetual swap funding rates rose as traders sought leveraged exposure to the rally.
- ETH implied volatility fell below BTC’s, while longer-dated ETH volatility cooled more strongly.
- The report uses SABR smile calibration and a 30-day hourly reference period for z-scores.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.