Crypto Derivatives: Analytics Report – Week 40

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Risk assets including crypto are trading against a deteriorating macro backdrop of higher oil prices, a continued US-Iran impasse over the Strait of Hormuz, and a deepening in the selloff in US Treasuries. Despite that macro environment (and sector-specific factors such as the US Senate’s recent failure to advance the Clarity Act), BTC and crypto assets have remained incredibly resilient. BTC has consolidated between $82K and $84K over the past week, after reaching $86K earlier last week. Institutional demand also backs that resilience as spot Bitcoin and Ethereum ETFs have seen more than seven straight days of inflows.

Options markets however show traders are reacting with caution to the current macro hurdles however. 25- delta put-call skew for both BTC and ETH across tenors has oscillated between demand for downside protection and some appetite for exposure to a potential rally.

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 – After BTC’s rally past $86K at the start of last week, the price of BTC options spent the remainder of the week falling. IV levels have jumped slightly this week after President Trump rejected Iran’s seven-day peace proposal.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – As with BTC, implied volatility for 7-day ETH options has jumped nearly 10 percentage points amidst higher bond market volatility and oil prices.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – 25-delta skew for short-dated options has oscillated between demand for downside protection and some positioning for a potential upside rally over the past week, as traders weigh the risks in the current macro backdrop.

ETH 25-Delta Risk Reversal – 7-day ETH skew currently trades positively, indicating a stronger demand for call options than puts. That’s also supported by sentiment in ETH spot ETFs, which have seen seven days of inflows.

Market Composite Volatility Surface

BTC SVI – 8:00 UTC Snapshot.

ETH SVI – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Data Reference

Block Scholes Risk Appetite (BTC/ETH)

Block Scholes’ Risk Appetite index uses a composite spot index price; POST /api/v1/price/index

1-month ATM implied volatility (BTC/ETH)

At-the-money IV at a constant 1-month tenor; forward- looking vol expectations; POST /api/v1/iv/moneyness

Volatility term structure & SVI ATM IV by tenor (BTC/ETH)

SVI-fitted ATM IV across constant tenors (7d / 14d / 30d / 90d / 180d); POST /api/v1/modelparams

25-delta risk reversal / skew (BTC/ETH)

Spread between 25Δ call and 25Δ put IV; a measure of upside vs downside option demand; POST /api/v1/iv/risk-reversal

Market composite volatility surface (BTC/ETH)

BlockScholes composite SVI surface across forward moneyness and tenor, aggregating market-wide options pricing into one clean fitted surface; POST /api/v1/iv/moneyness + POST /api/v1/modelparams

Cross-exchange volatility smiles (BTC/ETH)

Venue-level (Deribit, Bybit) and composite smiles at a fixed tenor, for comparing exchange pricing against the market composite; POST /api/v1/iv/moneyness

Constant-maturity volatility smiles (BTC/ETH)

Like-for-like smile at a fixed tenor across strikes, showing how the smile shifted between dates; POST /api/v1/iv/strike

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.