Crypto Derivatives: Analytics Report – Week 3

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

A number of big macro events over the past week have failed to materially disrupt the wider trend of a downward drift in BTC and ETH implied volatility. Last Friday saw a mixed NFP report for December: while the US economy added fewer jobs than expected (50,000 vs 70,000), the unemployment rate also came in lower than expected (4.4% vs 4.5%). The Supreme Court failed to reach a verdict on the legality of President Trump’s reciprocal tariffs, while more recently the Department of Justice served the Federal Reserve with grand jury subpoenas and President Trump announced a 25% tariff on goods from all countries “doing business” with Iran. ETH funding rates are currently flat and close to neutral levels signalling little demand for leveraged exposure and perhaps a reflection of the asset’s sideways spot lull around $3K over the past week. That’s also reflected in a seeming stall in our in-house Risk Appetite Index for ETH. Finally, volatility smiles for both assets also continue to price in a bearish put premium across the volatility surface.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

Futures Implied Yields

1-Month Tenor ATM Implied Volatility

Perpetual Swap Funding Rate

BTC FUNDING RATE – Perp contracts still show a willingness to pay for bullish exposure, despite BTC attempting to break the $94-95K resistance and failing earlier last week. Since then it has mostly traded around $90K.

ETH FUNDING RATE – ETH funding rates have been more modest and close to neutral currently – perhaps a reflection of the ongoing sideways spot trading.

Futures Implied Yields

BTC Futures Implied Yields – Yields have mostly traded between 3-6% in the past week. Short-tenors still maintain a higher yield, resulting in an inverted term structure, and a sign of some speculative short-term positioning.

ETH Futures Implied Yields – The futures term structure for ETH is mostly flat with futures trading at a 4% premium to spot at all tenors.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Despite a month heavy with macro events, BTC volatility has continued to dwindle lower since Jan 5, 2025.

BTC 25-Delta Risk Reversal – After a brief skew towards OTM calls at the start of the year, smiles at all tenors now show modestly bearish expectations for spot in the near future. 7D smiles assign a 2.8% premium towards OTM puts.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – Similar to BTC, ATM implied volatility has slowly drifted lower over the past week.

ETH 25-Delta Risk Reversal – The call premium of early January has now reverted back towards put contracts for ETH, though smiles are far less bearish than they were at the tail-end of 2025.

Market Composite Volatility Surface

CeFi COMPOSITE – BTC SVI – 9:00 UTC Snapshot.

CeFi COMPOSITE – ETH SVI – 9:00 UTC Snapshot.

Listed Expiry Volatility Smiles

BTC 30-JAN EXPIRY – 9:00 UTC Snapshot.

ETH 30-JAN EXPIRY – 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