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
The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.
This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.
The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.
Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.
Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.
Digital assets, including stablecoins, involve a high degree of risk and can fluctuate greatly. You should carefully consider whether trading or holding digital assets is suitable for you in light of your financial condition and risk tolerance. OKX does not provide investment or asset recommendations. You are solely responsible for your investment decisions, and OKX is not responsible for any potential losses. Past performance is not indicative of future results. Please consult your legal/tax/investment professional for questions about your specific circumstances. OKX Web3 features, including OKX Web3 Wallet and OKX NFT Marketplace, are subject to separate terms of service at www.okx.com.
© 2025 OKX. This article may be reproduced or distributed in its entirety, or excerpts of 100 words or less of this article may be used, provided such use is non-commercial. Any reproduction or distribution of the entire article must also prominently state: "This article is © 2025 OKX and is used with permission." Permitted excerpts must cite the name of the article and include attribution, for example "Article Name, [author name if applicable], © 2025 OKX." No derivative works or other uses of this article are permitted.
