Crypto Derivatives: Analytics Report – Week 35

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The August summer volatility lull was significantly disrupted after an announcement from Treasury Secretary Scott Bessent that the US Treasury would at least double the size of its buyback program for off-the-run longer-dated government bonds. That announcement helped raise chatters of the so-called Debasement Trade and also coincided with a push from President Trump for Senate to pass the Clarity Act. Together, the events helped drive a 20% rally in BTC over the past week (with BTC now trading above $80K) and a 30% rally in ETH.

All three major directional measures of sentiment in derivatives markets repriced with the move in spot. Options skew is now firmly positive, and marks one of the few times this year that tenors beyond 7-days trade with a call-premium. Funding rates remain positive and in futures markets, the term structure is inverted.

Block Scholes BTC Risk Appetite Index

Block Scholes ETH Risk Appetite Index

1-Month Tenor ATM Implied Volatility

Futures Term Structure

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Front end volatility broke out on Aug 19, 2026 as the US Treasury announced it would double the size of its government bond buyback program.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – The summer volatility lull in ETH was equally disrupted as spot price jumped over 30% this week.

BTC and ETH Skew

BTC 25-Delta Risk Reversal – As chatter of the Debasement Trade has picked up steam again, BTC’s spot price broke through $80K for the first time in three months. Skew has violently repriced to the upside and it has not just been limited to short-dated 7-day tenors as in the past. Options up to 90-day maturities all trade with a call-premium.

ETH 25-Delta Risk Reversal – With ETH rallying even more than BTC, short- dated skew reached a year-to-date high last week.

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

This article reflects the personal views of its author, not Deribit or its affiliates. Deribit has neither reviewed nor endorsed its content.

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.