Crypto Derivatives: Analytics Report – Week 20

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Despite a US-Iran ceasefire remaining elusive and both sides rejecting peace proposal over the past week, risk-sentiment continues to rise higher. BTC is currently consolidating above $80K, though its options markets still refuse to turn bullish. On the other hand, ETH’s temporary rally above $2,400 was accompanied by a nearly 4% skew towards 7-day OTM call options (a close to one-month high). That did not last long however and a failure to hold above that level has seen skew return back towards a put- premium.

Nonetheless, Block Scholes’ Risk Appetite Index for both assets has continued to move higher, with risk appetite in BTC now at a higher level than ETH, despite ETH crossing the 0.5 threshold (marking bullish momentum) at an earlier date.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

1-Month Tenor ATM Implied Volatility

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – 7-day IV bounced off the 31% level, a region where short-tenor IV has failed to fall below since September 2025.

BTC 25-Delta Risk Reversal – Despite spot price now consolidating at a higher $80-82K range, volatility smiles for BTC have failed to tilt towards OTM call options.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – IV levels have dropped across the curve relative to last week as traders expect less volatility in spot price.

ETH 25-Delta Risk Reversal – 7-day ETH skew rallied close to a one-month high in early May as ETH spot price jumped above $2,400.

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 9:00 UTC Snapshot.

ETH SVI, 30D TENOR – 9:00 UTC Snapshot.

Disclaimer

This article reflects the personal views of its author, not Deribit or its affiliates. Deribit has neither reviewed nor endorsed its content.

Deribit does not offer investment advice or endorsements. The information herein is informational and shouldn’t be seen as financial advice. Always do your own research and consult professionals before investing.

Financial investments carry risks, including capital loss. Neither Deribit nor the article’s author assumes liability for decisions based on this content.