Crypto Derivatives: Analytics Report – Week 18

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

A 16% month-to-date rally has pushed BTC towards its highest level since the US-Iran war began. BTC reached a twelve-week high above $79K, driven by nine straight day of Spot ETF inflows as well as $2.8B worth of buying from Strategy. Block Scholes’ Risk Appetite Index for both BTC and ETH has surged towards 0.5 – a region which typically marks a more bullish regime. Despite the rally in spot markets however, derivative markets continue to fail to back the rally. Funding rates have yet to turn meaningfully positive, while the 25-delta skew continues to tilt towards put options. Historically, a rally in spot price of 15-16% over the past 20 days has seen a positive call-skew of 1-2% across BTC and ETH 7-day options. Meanwhile, implied volatility continues to selloff with 7-day ATM ETH implied volatility down 20 points from its April highs.

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 – Implied volatility continues to decline, driven by the front-end, resulting in a positively sloped term structure.

BTC 25-Delta Risk Reversal – Despite spot price trading close to a 12-week high, options markets continue to assign a premium towards OTM put options. So far in April, only the mid-month rally past $78K briefly pushed short-dated skew towards calls, though that did not last long.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Short-dated volatility has declined from its month-to-date highs of 71% and now trades close to 50%.

ETH 25-Delta Risk Reversal – Similar to BTC, ETH volatility smiles briefly tilted towards calls, though the past week has seen skew trade sideways in favour of put contracts.

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