Weekly Crypto Derivatives Signals from Futures, Funding, and Options

Summary

This weekly market note reviews Bitcoin and Ether futures, perpetual swap funding, and options volatility and skew after ETF-related event risk had passed. It reports annualised futures yields near 10% for both assets, alongside consistently positive funding, indicating that traders were paying to maintain leveraged long exposure even as spot performance had been lacklustre. The report also describes at-the-money implied volatility in a 40% to 50% range and a retreat from earlier put skew toward more neutral smiles.

For Bitcoin, the note describes a steep implied-volatility term structure, rising from the short end to longer tenors, and a move in risk reversal toward a slight call tilt at longer maturities. Ether volatility was broadly sideways, with a similar move toward neutral skew. Surface comparisons use SABR smile calibration and z-scores based on the prior 30 days of hourly implied-volatility observations. These are snapshot observations, not a trading strategy or evidence of predictive returns; the report’s charts and underlying tables are not included in the supplied text.

Key ideas

• Bitcoin and Ether futures yields were reported near 10% annualised across maturities.
• Positive perpetual funding indicated demand to pay for leveraged long positions.
• At-the-money implied volatility was reported in a 40% to 50% range, with volatility cooling after ETF event risk passed.
• Put skew receded toward neutral, with Bitcoin showing a slight longer-dated call tilt.
• The analysis uses SABR calibrations and a 30-day hourly reference window for its volatility z-scores.

Tags

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