Weekly Crypto Derivatives Signals: Low Volatility and Positive Futures Yields

Summary

This weekly snapshot reviews BTC and ETH futures, perpetual funding, options volatility, risk reversals, and volatility surfaces. It reports that recent realized volatility was low and that implied volatility for both assets continued to decline toward levels described as historic lows. BTC and ETH risk reversals were near neutral overall, with short tenor pricing leaning toward out of the money puts. Futures yields were positive, and the report notes renewed positive funding conditions for short positions in perpetual markets.

The report compares the two assets: ETH implied volatility remained somewhat above BTC's, and ETH risk reversals varied more across maturities. It also describes using SABR calibrated implied volatility data and a rolling 30 day hourly distribution to calculate volatility surface z scores. The material is a market monitoring report rather than a trading strategy. Its observations represent a 10:00 UTC snapshot and do not establish how these signals predict subsequent returns or volatility.

Key ideas

• BTC and ETH implied volatility declined during a period of low delivered volatility.
• Short dated options showed a modest tilt toward out of the money puts, while longer dated risk reversals were broadly neutral.
• Futures traded above spot, and perpetual funding returned toward positive rates paid by longs to shorts.
• The report uses SABR calibration and compares volatility surface readings with a rolling 30 day hourly history.

Tags

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