Crypto Derivatives: Analytics Report – Week 14

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Yesterday, Chair Powell highlighted rising tension between the Fed’s dual mandate, as inflation risks remain elevated while the labour market softens, though he suggested tariff-driven inflation may be a temporary one-off increase. He stressed that the Fed is committed to returning inflation to 2% but can afford to wait for greater clarity, given high economic uncertainty and weak job creation, particularly for new entrants. Overnight, BTC traded down to about $66.7K, down roughly 1.3%, while ETH decreased to around $2,037, down about 1.1%. The reaction in derivatives markets mirrored sentiment, with BTC and ETH implied volatility rising across the curve. In BTC, futures positioning has become less bearish, though the inverted vol term structure and persistent demand for puts still point to downside hedging. In ETH, the term structure has flattened, but skew remains firmly negative, with short-dated puts trading at a clear premium to calls.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Futures Implied Yields

BTC Futures Implied Yields – In contrast to the skew of short-dated volatility smiles, futures have lost most of their extreme bearish tilt, having traded negative.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – The term structure of implied vol is inverted, leaving it at odds with the shape of ETH’s term structure.

BTC 25-Delta Risk Reversal – Puts are in relative demand as all tenors trade with a bearish skew of more than 6 points.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Bearishness does not translate to higher vol expectations, as the term structure dis-inverts to a flat shape.

ETH 25-Delta Risk Reversal – Sentiment is bearish, as short-tenor put options trade 11 vol points above similarly OTM calls.

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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