Crypto Derivatives 25 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.

The extreme selloff in the crypto spot has hit ETH and altcoins harder than BTC, and this sentiment has been reflected in derivatives markets. ETH trades at a significant volatility premium to BTC’s, and its term structure has inverted far beyond the level of BTC’s flattening at the front-end. Short-tenor volatility smiles have skewed towards puts for both coins in an expression of bearish sentiment and covering of downside exposure. However, longer-dated tenors (all those beyond one-month, in fact) remain stubbornly skewed towards OTM calls. In addition, BTC’s perpetual swap funding rate has not traded negative throughout the most recent selloff, while ETH’s has not yet reached the depths of the Feb 3, 2025 selloff.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

While ETH’s term structure has inverted, BTC’s trades are marginally flatter.

BTC 25-Delta Risk Reversal

Short-tenor volatility smiles have skewed strongly towards OTM puts, but longer-dated tenors remain stubbornly bullish

ETH Options

ETH SVI ATM Implied Volatility

The term structure has inverted once again, above BTC’s inversion but below the level recorded on Feb 3, 2025.

ETH 25-Delta Risk Reversal

Short-tenor volatility smiles have skewed strongly towards puts in the selloff, but longer-dated smiles remain bullish.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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