Crypto Derivatives: Analytics Report – Week 17

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The headline-driven environment continues to drive spot price action, with BTC briefly rising past $78K, its highest since the onset of the war more than seven weeks ago, last Friday. That came after President Trump announced Iran had fully reopened the Strait of Hormuz. That reopening would not last long and claims from the President that Iran had violated the terms of the ceasefire then weighed on spot prices. Despite the whipsaws in the spot market, risk-premium, as measured by implied volatility, has continued to decline for both BTC and ETH as the war has progressed. Block Scholes’ Risk Appetite Index for both tokens continues to slowly ascend higher in line with their 10% plus month-to-date performance. Options markets for BTC also briefly assigned a volatility premium for out-the-money call options on Friday amidst the rally in spot price – the first time skew has tilted to calls since the war began.

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 – Despite spot price turbulence, IV levels have continued to grind lower, alongside realised volatility.

BTC 25-Delta Risk Reversal – A brief spot rally past $78K pushed short-dated skew towards calls for the first time since the onset of the war more than seven weeks ago – though it did not last long.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s term structure is flat, as overall volatility levels continue to decline over the past month.

ETH 25-Delta Risk Reversal – Signs of diplomacy between the US and Iran have tilted the volatility smile towards calls several times over the past month for ETH, though the call-premium has struggled to stick for a sustained period of time in all cases thus far.

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