Crypto Derivatives: Analytics Report – Week 16

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The past week has seen the US and Iran reach a conditional two-week ceasefire, a 21-hour marathon negotiation which ended with a failure to bring a permanent end to the war, and now more recently optimistic signs from President Trump that the two sides are on track for another round of negotiations before the two-week deadline expires. As such, risk assets, including BTC and ETH, have continued to whipsaw to the tunes of geopolitical headlines. Over the past 24 hours, BTC recovered to a one-month high of $74K, while ETH rallied harder towards $2,400. Our risk-appetite indexes continue to ascend higher having recently re-crossed the -0.5 threshold, a region that typically marks a transition towards a more bullish market phase. Derivative markets in ETH have reacted the strongest to the recent risk sentiment rebound however – funding rates jumped higher, the term structure of futures-implied yields has inverted, and options markets briefly skewed towards call options, a rare occurrence so far this year.

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 – Vol levels across the surface have dropped since the April 8 ceasefire announcement.

BTC 25-Delta Risk Reversal – The strong skew towards put contracts in BTC options markets has eased following the ceasefire and the possibility of another round of negotiations. However, those de-escalatory measures have not been enough to convince traders to flip bullish just yet in BTC.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Similar to BTC, ETH’s vol term structure is entirely flat across all tenors.

ETH 25-Delta Risk Reversal – Unlike BTC however, vol smiles have briefly skewed towards calls twice over the past week, the more significant move occuring on April 11, 2026. The skew towards calls marks a sharp departure from the strong put-premium we have seen for most of the year.

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.

Thanks to Andrew Melville and Thahbib Rahman, Block Scholes