Crypto Derivatives 11 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.
A deepening correction in spot prices has seen BTC trade more than 25% below the all-time high that it recorded in late January. ETH has suffered more, trading 53% below its December high of $4K. The derivatives markets of both assets paint a strong, bearish picture: short-tenor futures prices traded below spot prices, perpetual swap funding rates turned sharply and persistently negative, and options markets priced out much of their skew towards calls at longer tenors. The inversion of the term structure of volatility offered a brief reprieve at the end of last week, but returned in full force as US markets opened on Monday, as short-tenor volatility rallied once again and smiles skewed strongly towards puts.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
The term structure of volatility has repeated its inversion as the selloff in spot has deepened during US trading
BTC 25-Delta Risk Reversal
While not as bearish as ETH’s, BTC’s volatility smiles have also skewed towards puts at all tenors shorter than 3 months.
ETH Options
ETH SVI ATM Implied Volatility
A short-lived flattening in the term structure has turned into an even stronger inversion as the selloff deepened.
ETH 25-Delta Risk Reversal
The skew towards OTM puts has deepened significantly as short-tenor smiles assign a 21 point premium to the downside
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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