Crypto Derivatives: Analytics Report – Week 33

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

Despite some major macro moves in the form of a joint US-Japan yen-buying intervention operation and a considerably weaker-than-expected nonfarm payrolls report for July, BTC has mostly traded sideways within a tight range of $63K and $65K. Markets have since priced out some expectations for a September rate hike, with current market probabilities split almost 50-50 with regards to the Fed’s next move.

Options markets continue to trade defensively, while short-dated volatility reached year-to-date lows for both BTC and ETH amidst the seasonal summer volatility lull. Block Scholes Risk Appetite Index continues to tick higher for both assets, slowly approaching levels that have historically preceded an outperformance in spot price.

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 – Volatility in August reached a year-to- date low, amidst the summer volatility lull.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – ETH volatility equally fell to a year-to- date low in early August, as spot price traded around $1,900.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – With BTC consolidating between $63K and $65K for most of the month so far, options markets have failed to turn bullish like they did briefly back in July. For now, put options continue to trade at premiums.

ETH 25-Delta Risk Reversal – Sentiment in ETH has been supported by spot ETF inflows and ETH is up 5% over the past 30 days – that has yet to translate to options markets however, where skew continues to tilt in favour of OTM puts.

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

Disclaimer

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Deribit does not offer investment advice or endorsements. The information herein is informational and shouldn’t be seen as financial advice. Always do your own research and consult professionals before investing.

Financial investments carry risks, including capital loss. Neither Deribit nor the article’s author assumes liability for decisions based on this content.