Crypto Derivatives 18 February 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.

Strong directional sentiment in derivatives markets has waned in response to the largely sideways moves in spot over the last two weeks. Funding rates for both majors, BTC and ETH, remain close to zero after ETH saw a strong negative spike earlier in the month. Volatility in ETH retains a premium over BTC, and its term structure of volatility threatens to invert at the next strong move in spot price, having traded flat for much of February. Short tenor volatility smiles have lost the strong skew towards OTM calls that they had held, while longer-dated optionality continues to price in a tilt towards the upside.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

In contrast to ETH’s, BTC’s volatility term structure is at its steepest over the last month.

BTC 25-Delta Risk Reversal

Short tenor volatility smiles have lost the strong skew towards OTM calls still held by smiles at longer tenors

ETH Options

ETH SVI ATM Implied Volatility

The term structure of volatility has steepened and re-flattened alongside spot moves this week.

ETH 25-Delta Risk Reversal

Short tenor volatility smiles have been skewed towards OTM calls for much of the past week.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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