Crypto Derivatives: Analytics Report – Week 34

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The summer volatility lull continues to weigh on derivatives markets as 7-day BTC at-the-money implied volatility trades around its lowest levels since 2023, in line with a drop in realised volatility which is also at its lowest since September 2025.

Despite a number of macro developments over the past week, BTC continues to mostly trade sideways around $60K. President Trump expressed an apparent lack of willingness to extend the June memorandum of understanding signed between the US and Iran which expired Monday, while a softer-than-expected CPI and nonfarm payrolls print helped markets significantly reduce their expectations of a September rate hike. Nonetheless, Monday’s bounce to $64K coincided with a recovery in put-call skew at the front-end – though not enough to turn options markets bullish.

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 ATM IV fell to 23% last week, its lowest level since September 2023.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – The summer volatility lull is equally apparent in ETH, where short-dated vol fell towards 30% in mid-August.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – A modest rally in Monday’s trading session back above $64K has coincided with a move higher in short-tenor put-call skew. However, as we’ve seen for most of the year, skew is yet to turn positive meaningfully. Despite the move in skew, sentiment recently has been dragged down by a run of outflows from spot ETFs and nearly two-months of no buying from Strategy, the largest BTC digital asset treasury.

ETH 25-Delta Risk Reversal – ETH put-call skew trades negatively across all tenors, though like BTC, has recovered at the front end. ETH is currently up around 2% on the month.

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