Crypto Derivatives: Analytics Report – Week 19

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

With tensions in the Middle East conflict rising once again, BTC continues to show its resilience having briefly rallied past $81K and ending the month of April up +22%. That rally has occurred against a backdrop of a fifth week of inflows from Spot Bitcoin ETFs as well as optimism around the CLARITY Act. Our Bitcoin and Ethereum Risk Appetite Indexes are now also both firmly in a region typically characterised by bullish spot price behaviour.

Despite the strong rally, BTC options markets have yet to fully turn bullish yet – 7-day skew currently trades at neutral levels, contrasting the call-premium in short-dated ETH options.

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 – 7-day IV briefly fell to 31%, its lowest level since late January this year.

BTC 25-Delta Risk Reversal – With spot price breaking through $81K, and a 20% rally over April, front end skew is currently trading at neutral levels, though has yet to shift decisively towards call options.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Similar to BTC, implied volatility in ETH options has continued to selloff across the surface.

ETH 25-Delta Risk Reversal – Options traders in ETH markets are backing a continuation of the spot rally as 7-day calls trade at a 1 vol point premium over puts.

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