Weekly Crypto Derivatives Signals in Volatility, Skew, Yields, and Funding

Summary

This weekly snapshot reviews Bitcoin and Ether derivatives conditions using futures yields, perpetual swap funding, option implied volatility, risk reversals, and volatility surfaces. It reports positive futures yields, with Bitcoin’s annualised curve inverted and Ether short-tenor yields higher. Funding stayed positive for both assets, though rates eased during the spot selloff. Option measures showed implied volatility stabilising after a rise in realised volatility, while risk reversals moved lower, indicating a stronger tilt toward out-of-the-money puts.

The report compares the assets: Ether implied volatility was lower and its near-term surface rose less than Bitcoin’s, whose front-end volatility increased more than longer tenors. It describes SABR-calibrated volatility smiles and a 30-day hourly-history z-score approach for comparing surface levels. Observations are based on specified UTC snapshots and a limited weekly window; the document gives no strategy rules, trade outcomes, or causal evidence that these metrics forecast prices.

Key ideas

• The report combines futures yields, swap funding, implied volatility, risk reversals, and volatility surfaces to describe weekly derivatives conditions.
• Bitcoin and Ether futures yields were positive, and funding rates remained positive despite a spot selloff.
• Risk reversals shifted toward out-of-the-money puts around the downside move.
• Bitcoin’s front-end implied volatility increased more than its longer-dated volatility, while Ether’s near-term rise was smaller.
• The volatility surface analysis uses SABR smile calibration and compares implied volatility with a recent hourly history.

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