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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