Crypto Derivatives: Analytics Report – Week 20
Block Scholes
Weekly recap of the crypto derivatives markets by BlockScholes.
Key Insights:
Despite a US-Iran ceasefire remaining elusive and both sides rejecting peace proposal over the past week, risk-sentiment continues to rise higher. BTC is currently consolidating above $80K, though its options markets still refuse to turn bullish. On the other hand, ETH’s temporary rally above $2,400 was accompanied by a nearly 4% skew towards 7-day OTM call options (a close to one-month high). That did not last long however and a failure to hold above that level has seen skew return back towards a put- premium.
Nonetheless, Block Scholes’ Risk Appetite Index for both assets has continued to move higher, with risk appetite in BTC now at a higher level than ETH, despite ETH crossing the 0.5 threshold (marking bullish momentum) at an earlier date.
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 bounced off the 31% level, a region where short-tenor IV has failed to fall below since September 2025.
BTC 25-Delta Risk Reversal – Despite spot price now consolidating at a higher $80-82K range, volatility smiles for BTC have failed to tilt towards OTM call options.
ETH Options
ETH SVI ATM IMPLIED VOLATILITY – IV levels have dropped across the curve relative to last week as traders expect less volatility in spot price.
ETH 25-Delta Risk Reversal – 7-day ETH skew rallied close to a one-month high in early May as ETH spot price jumped above $2,400.
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
