Weekly Crypto Derivatives Signals in Futures, Funding, and Options

Summary

This weekly report surveys BTC and ETH derivatives after an ETF-related false alarm. It tracks futures implied yields, perpetual swap funding, option implied volatility, and 25-delta risk reversals. BTC yields briefly rose on ETF speculation before retreating at the short tenor; ETH yields remained lower at short and medium tenors. Funding was positive for both assets, more consistently and strongly for BTC, while options sentiment returned to a low-volatility environment with a slight put skew.

The report compares volatility surfaces and smiles using SABR calibration, with z-scores based on hourly implied-volatility observations over the prior 30 days. It describes stronger short-tenor volatility in BTC and broad cooling in ETH and in longer-dated downside protection for both assets. These measures provide a structured snapshot of market pricing and positioning, rather than a standalone forecast. The findings are tied to a particular reporting week and timestamp, and the document supplies no strategy backtest or causal evidence linking the observed signals to subsequent returns.

Key ideas

• Futures yields and perpetual funding provide complementary views of crypto positioning and sentiment.
• BTC and ETH options returned to a low-volatility regime with a modest downside skew.
• BTC funding was more consistently positive than ETH funding in the reported period.
• SABR surfaces and 30-day hourly z-scores were used to compare implied volatility across strikes and tenors.
• The weekly snapshot describes market pricing but does not demonstrate predictive power.

Tags

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