Crypto Derivatives: Analytics Report – Week 24

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

A near-20% plunge in BTC’s spot price last week has been reflected in a significant drop below 0.05 in our Block Scholes Risk Appetite Index. That selloff coincided with both the longest outflow streak from spot Bitcoin ETFs since launch (which after a brief pause has renewed), as well as Strategy Inc. (the largest BTC digital asset treasury) disclosing a 32 BTC sale. Since then, spot price has consolidated above $60K while Strategy announced a $103.1M BTC purchase of 1,550 bitcoins.

Despite the selloff easing, derivatives market positioning remains highly defensive – funding rates in ETH have traded negatively since June 5, 2026, a strong indication of the bearish bias in perp traders. Additionally, while ATM implied volatility has fallen ~20 percentage points for short-dated tenors for both BTC and ETH, term structures for both show a mild inversion. Volatility smiles also maintain a strong skew towards put 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 – Front-end volatility has dropped 20 percentage points as traders reduce expectations of larger-sized moves ahead.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s term structure remains mildly inverted, with 7-day IV selling off by a similar amount to 7-day BTC IV.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – The persistent put-premium that has characterised most of this year remains, with short-dated skew currently trading just shy of -9%. Still, that’s a significant improvement from the deeper -19% skew seen only five days ago, when spot price crashed below $60K.

ETH 25-Delta Risk Reversal – Similar to what we see in BTC options, ETH traders also remain hedged against further expectations for a selloff in spot price. ETH spot is currently down 66% from its record August 2025 high.

Market Composite Volatility Surface

BTC SVI – 8:00 UTC Snapshot.

ETH SVI – 8:00 UTC Snapshot.

Cross-Exchange Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Constant Maturity Volatility Smiles

BTC SVI, 30D TENOR – 8:00 UTC Snapshot.

ETH SVI, 30D TENOR – 8:00 UTC Snapshot.

Data Reference

Block Scholes Risk Appetite (BTC/ETH)

Block Scholes’ Risk Appetite index uses a composite spot index price; POST /api/v1/price/index

1-month ATM implied volatility (BTC/ETH)

At-the-money IV at a constant 1-month tenor; forward- looking vol expectations; POST /api/v1/iv/moneyness

Volatility term structure & SVI ATM IV by tenor (BTC/ETH)

SVI-fitted ATM IV across constant tenors (7d / 14d / 30d / 90d / 180d); POST /api/v1/modelparams

25-delta risk reversal / skew (BTC/ETH)

Spread between 25Δ call and 25Δ put IV; a measure of upside vs downside option demand; POST /api/v1/iv/risk-reversal

Market composite volatility surface (BTC/ETH)

BlockScholes composite SVI surface across forward moneyness and tenor, aggregating market-wide options pricing into one clean fitted surface; POST /api/v1/iv/moneyness + POST /api/v1/modelparams

Cross-exchange volatility smiles (BTC/ETH)

Venue-level (Deribit, Bybit) and composite smiles at a fixed tenor, for comparing exchange pricing against the market composite; POST /api/v1/iv/moneyness

Constant-maturity volatility smiles (BTC/ETH)

Like-for-like smile at a fixed tenor across strikes, showing how the smile shifted between dates; POST /api/v1/iv/strike

Thanks to Andrew Melville and Thahbib Rahman, Block Scholes