Crypto Derivatives 27 May 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.

Since breaking to new all-time highs last week on the back of advancements in the regulatory landscape (particularly for crypto stablecoins) BTC has since traded within a range of $111K (the new record high) and $107K. Despite spot price being unable to hold the new high for long, derivatives markets remain optimistic – all three measures of directional sentiment, although less bullish than in the run up to $111K, remain positive. Short-tenor volatility smile skews are tilted towards OTM calls by as much as 5%, funding rates are still positive and the futures yield for the 1-month tenor remains above 7%. ETH derivatives markets carry less of that optimism – perp funding rates are currently sub-zero, and ETH volatility smile skews are less skewed towards call options, though not yet tilted towards puts.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Short-term vol expectations dropped following the ATH, and rose again on US-EU tariff talks on Sunday May 25.

BTC 25-Delta Risk Reversal

Short-tenor smiles still favour OTM calls, though to a lesser extent than when BTC first broke January’s $109K high.

ETH Options

ETH SVI ATM Implied Volatility

Short tenor options carry a 4 point vol premium to longer-tenor options, compared to BTC’s steeper slope.

ETH 25-Delta Risk Reversal

ETH’s skew is far below its May high, when spot rallied over 50% in a single-week, but 7-day options skewed towards OTM calls by more than 4%.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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