Crypto Derivatives: Analytics Report – Week 15

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Volatility levels remain elevated but less sharply inverted across BTC and ETH options markets compared to one week ago. The halt in the selloff in spot prices that sees BTC now trade ~45% below its October 2025 all-time high has seen a recovery in risk sentiment, as indicated by Block Scholes’ risk appetite index. ETH’s risk appetite index value is higher, and closer to crossing the -0.5 level that has historically preceded bullish momentum. However, directional sentiment remains strongly pessimistic across crypto option markets as the skew towards OTM puts remains strong. While BTC’s skew is not quite as strong as last week, continued uncertainty generated by the war in Iran continues to influence risk-on assets across markets as Trump has given Tehran until Tuesday, 8:00 P.M. Eastern Time to reach what he describes as an “acceptable” agreement.

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 – Volatility levels fell sharply lower over the last week, but have compressed slightly at the beginning of this week.

BTC 25-Delta Risk Reversal – The skew towards puts has relented over the last week, but retains its bearish positioning.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – While volatility levels remain elevated, the term structure has disinverted with shorter tenors trading slightly lower.

ETH 25-Delta Risk Reversal – Skews remain bearish across the term structure as Iran approaches Trump’s Tuesday night deadline for a deal.

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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