Crypto Derivatives 20 March 2025

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

While not delivering a complete recovery rally back to January’s all-time high, this week has at least seen a pause in the intense and persistent collapse in risk appetite. Futures yields continue to fall and funding rates trade negative. However, the skew towards OTM puts pricedin by volatility smiles across the term structure was briefly erased as the lower level of delivered volatility has caused a dis-inversion in the term structure of at-the-money implied volatility. Front-end volatility levels for BTC and ETH trade below 45% and 60% respectively — the bottom of their respective ranges in March.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Short dated volatility levels fall to 45%, their lowest levels since the period of repeated inversion began in March.

BTC 25-Delta Risk Reversal

BTC’s skew briefly traded positive, in favour of OTM calls, before reversing direction after spot slips

ETH Options

ETH SVI ATM Implied Volatility

The dis-inversion of the term structure continues as 7d tenor volatility falls below 60%

ETH 25-Delta Risk Reversal

Skew recovers from its steeper skew towards OTM puts, but remains tilted towards downside protection

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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