Crypto Derivatives: Analytics Report – Week 13

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

After issuing a 48-hour ultimatum over the weekend to Iran, the week began with President Trump striking a more conciliatory tone and a five-day pause on any US attacks on Iranian energy infrastructure. The effects of Trump’s announcement were most apparent in spot markets, with BTC (in-line with all risk-assets) jumping from $68K to $71K and ETH firmly trading above $2.1K. The reaction in derivatives markets has been more mixed. BTC funding rates briefly moved higher after Trump cited “CONSTRUCTIVE CONVERSATIONS” between the US and Iran, while ETH funding rates barely registered the message. In options markets, short-dated at-the-money implied volatility fell following the announcement, while volatility smiles lost some of their premium towards puts. Still, as we have seen for much of the year, the brief rally in spot price was not enough to drive a bullish tilt in option’s positioning, where smiles for BTC and ETH continue to skew towards put contracts.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – Funding rates briefly rose to 0.007% after President Trump’s announcement of a five-day reprieve from attacking Iranian energy infrastructure, though fell just as quickly.

ETH FUNDING RATE – Trump’s announcement that the US and Iran had “VERY GOOD AND PRODUCTIVE CONVERSATIONS” was met with minimal interest from ETH perp traders too, with funding rates trading sideways since Monday.

Futures Implied Yields

BTC Futures Implied Yields – The futures-implied yields term structure briefly inverted as BTC’s spot price vertically rallied above $70K yesterday, though it is now once again compressed between 2-3% across all tenors.

ETH Futures Implied Yields – As futures traders rushed for leveraged exposure on signs of a de-escalation in the Middle East, 7-day ETH futures contracts traded with a premium as high as 7% relative to spot price.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Signs of de-escalation also helped reduce short-term vol expectations, as 7D vol has fallen slightly from 57% to 52%.

BTC 25-Delta Risk Reversal – As we have seen most of this year, small rallies in spot have not been enough to halt the negative skew towards put options. The most recent move from $68K to $71K has eased some of the premium towards put contracts, though they still trade at a 5-point premium to calls.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s vol term structure has flattened relative to last week’s modest inversion.

ETH 25-Delta Risk Reversal – Similar to sentiment in BTC options, put-call skew eased slightly from its 11 vol point premium towards puts after Trump’s de-escalation message, though traders are yet to turn bullish.

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.

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