Crypto Derivatives 13 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.

Cryptocurrencies were engulfed by a wave of risk-on momentum over the past week, as President Trump announced the US’s first trade deal with a major partner, and later a 90-day tariff pause with China. ETH fared as the largest beneficiary of the subsequent rally, up 40% in a week. Implied volatility soared at the front-end of the term structure, before a pause in the rally sent volatility expectations plunging down again. BTC finally regained the $100K mark, for the first since early February, however short-tenor volatility was largely compressed through the move, and has dropped off since. Short-tenor smiles are still skewed positively towards calls.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Despite blowing past $100K, front-end volatility did not rise enough to invert the term structure, in contrast to ETH.

BTC 25-Delta Risk Reversal

Short-tenor smiles skewed towards OTM calls during the spot rally, briefly touching 5.56% before dropping off to 3%.

ETH Options

ETH SVI ATM Implied Volatility

After the largest single-day increase in spot price since 2021, front-end volatility lifted 20 points overnight on May 9.

ETH 25-Delta Risk Reversal

ETH’s 25-day risk reversal soared during the peak of its rally, however the 7D tenor now holds less of a bullish skew than BTC 7D tenors.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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