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

Summary

This weekly report summarizes market conditions in Bitcoin and Ether derivatives. It describes futures-implied yields as broadly flat in a low range across maturities, while short-lived realised volatility led at-the-money implied volatility to rise and then cool. Ether retained a volatility premium over Bitcoin and showed a stronger downside skew at longer tenors. The report also notes muted Bitcoin perpetual swap funding and a positive funding-rate spike in Ether as long positions paid shorts during a spot rally.

For options, the report uses SABR-calibrated at-the-money volatility, 25-delta risk reversals, and volatility-surface z-scores based on hourly observations over the prior 30 days. It reports recent volatility below that reference history across both assets, alongside a recovery toward more neutral risk reversals. These measures help describe how option prices vary by tenor and strike, but the document is a dated market snapshot rather than a forecast or trading rule. Its charts are referenced but not included in the text, limiting independent assessment of the size and persistence of the reported moves.

Key ideas

• Futures-implied yields for Bitcoin and Ether were described as low and broadly flat across maturities.
• Ether maintained higher implied volatility than Bitcoin and a stronger longer-dated skew toward out-of-the-money puts.
• Perpetual funding indicated little excess positioning in Bitcoin, while Ether funding turned positive during a spot rally.
• The report compares SABR volatility measures with their prior 30-day hourly distributions.
• Recent implied volatility was below that reference history across both assets, but the report gives no forward-looking signal.

Tags

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