Crypto Derivatives: Analytics Report – Week 47

Weekly recap of the crypto derivatives markets by BlockScholes.

Key Insights:

The past week has seen BTC hit a slew of new lows, with derivatives markets continuing to bet that the slide is far from finished. On Nov 14, 2025, BTC fell below $97K for the first time since early May 2025. That then extended to $93K – a level that meant BTC had erased all of its year-to-date gains – and then $89K. While the drop in crypto asset prices is part of a broader risk-off move amidst growing speculation over a potential AI bubble and Fed talk indicating a possible December rate pause, it is nonetheless crypto tokens that have been hit the hardest. As a result, implied volatility levels in both BTC and ETH options remain elevated, while volatility smiles have maintained a persistent skew towards downside protection. For ETH, the expectation of elevated volatility, particularly in the short-term, has meant an inverted term structure of volatility that has shown little signs of abating. In another sign of bearish sentiment, short-dated BTC and ETH exposure in futures markets show futures prices trading below spot prices, indicating that markets are willing to accept a lower price when shorting compared to the spot price.

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 – While Deribit’s inverse BTC contract has persistently traded with a negative funding rate, the linear contract (USDC) shows some signs of traders willing to take bullish bets.

ETH FUNDING RATE – Despite trading 38% below ATH levels, funding rates in ETH contracts show a bullish picture, in stark contrast to its options markets.

Futures Implied Yields

BTC Futures Implied Yields – Short-dated BTC futures (7-day) trade below spot price, suggesting a strong demand for short positions.

ETH Futures Implied Yields – Short-dated ETH exposure also shows futures prices below spot, though not to the same bearish degree as seen in BTC.

BTC Options

BTC SVI ATM IMPLIED VOLATILITY – Multiple drops below $100K and a year- to-date wipe out of gains has set the stage for an inverted vol term structure.

BTC 25-Delta Risk Reversal – Traders are not quite willing to bet that the most recent drop to $89K marks the local floor as skew is firmly towards puts.

ETH Options

ETH SVI ATM IMPLIED VOLATILITY – As we expect, ETH options have reacted more sensitively to the selloff, with short-dated IV surging past 80%.

ETH 25-Delta Risk Reversal – The lack of a meaningful spot recovery means vol smiles are skewed towards puts at all short-to-mid dated tenors.

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 26-DEC EXPIRY – 9:00 UTC Snapshot.

ETH 26-DEC 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