Crypto Derivatives: Analytics Report – Week 25

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

After falling below $60K, a level last seen in October 2024, BTC reached a two-week high above $67K. Sentiment across risk-on assets has rebounded after President Trump confirmed the electronic signing of a Memorandum of Understanding (MOU) with Iran, pushing down oil prices and causing markets to re- evaluate the probability of a Fed rate hike by year-end. In derivatives markets, much of the bearish premium that options traders had assigned earlier in the month has reversed with 7-day skew reaching -2.2% and -0.7% respectively for BTC and ETH.

The moves towards a more permanent peace deal have also seen at-the-money implied volatility fall back towards its year-to-date lows, in line with a summer volatility lull that we’ve seen every year since 2023. 7- day ATM IV currently trades around 33%, only a few percentage points above the May YTD low of 28%.

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 – The summer volatility lull that we’ve seen since 2023 is visible as 7-day vol trades slightly above the YTD low of 28%.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH’s term structure has normalised from last week’s mild inversion.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – With spot price briefly trading above $67K, volatility smiles have continued to price out the skew towards put options. While still negative, the 25-delta for 7-day options reached -2.2%, a one- month high.

ETH 25-Delta Risk Reversal – The volatility smile for ETH is slightly less bearish than BTC as the 25-delta put-call skew traded at -0.8% when ETH spot price broke through $1,800.

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