Weekly Crypto Derivatives Signals in Futures, Funding, and Options
Summary
This weekly report summarizes BTC and ETH derivatives conditions after their rallies. It observes short-dated futures yields converging toward longer tenors, while options volatility surfaces changed less at longer maturities and showed higher short-dated pricing tilted toward out-of-the-money puts. For BTC, futures remained above spot and the one-week yield moved toward longer-tenor yields. ETH yields were positive, though its one-week tenor sat below three- and six-month levels. Perpetual funding for both assets was near zero, which the report associates with weaker demand for long swap exposure.
The options review covers at-the-money implied volatility, 25-delta put-call skew, and volatility smiles. BTC and ETH implied volatility were broadly sideways; both had put-leaning short-dated skew, more pronounced for ETH. The material is a descriptive snapshot, supported by referenced charts and calibration snapshots, rather than a trading strategy or backtest. It does not explain its modeling assumptions or provide enough data to assess the persistence, uncertainty, or profitability of these signals.
Key ideas
- Short-dated futures yields converged toward longer-dated yields after BTC and ETH rallies.
- BTC futures remained above spot, while ETH futures yields were positive across the reported tenors.
- Perpetual funding near zero was interpreted as diminished demand for long swap exposure.
- Implied volatility was broadly sideways, with short-dated put skew in both assets.
- ETH showed a stronger short-tenor put skew than BTC in the report’s snapshot.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.