Crypto Derivatives 3 June 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.

Following a breakout to an ATH of $111K, the abrupt slowdown in BTC’s spot price has brought a shift in derivatives markets sentiment. The bullish skew of volatility smiles across the term structure is now no longer the case, as 7- and 14-day options trade with a volatility premium towards OTM puts. Additionally, the weeks long inverted shape of BTC’s futures curve has now come to an end, and perpetual futures funding rates have come down from their highs of 0.027% following a more than 4% drop in spot price over the past seven days. ETH options markets initially resisted the bearish tilt in short-tenor skew, however ultimately also followed suit as 7-day options are now slightly tilted towards OTM puts.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Short-term vol expectations have declined in line with a slowdown in BTC spot price and a slowdown in ETF inflows.

BTC 25-Delta Risk Reversal

As spot price trades 4% lower over the past seven days, short-tenor smiles now favour OTM puts.

ETH Options

ETH SVI ATM Implied Volatility

ETH’s volatility term structure has compressed and flattened, while spot price is up 5% on the day

ETH 25-Delta Risk Reversal

As short-tenor BTC smiles skewed towards downside protection last week, ETH smiles initially resisted. However, 7-day smiles are now also slightly tilted towards OTM puts by 1%.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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