![Block Scholes -Bl](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6xKZWOPnNSfGYeWHU4k940/0a72e6694fa4cf1a4668bd15a3394d14/Institutional_Research_Partner_-_Block_Scholes.png?x-oss-process=image/resize,w_1600,h_844/format,webp)
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.
As spot prices trade at their lowest levels since early May, we see a stark divergence in the sentiment priced in by BTC and ETH options markets. ETH continues to trade with a 10-15 volatility premium across the term structure, and the most recent move lower in spot prices has seen BTC vol smile skew turned decidedly bearish at short tenors while ETH smiles skew neutral or towards calls at all tenors. While the fall in future-implied yields has recovered to last weeks levels, funding rates in the two majors have repeatedly charged short positions since the 9th June -- a phenomenon that we observe across perpetual-swap markets.
Futures Implied Yield, 1-Month Tenor
![fig1 Currency-Combined-Spot-Yields](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1KajuCdS82rEb0yijzcCVs/bfb1fd6fb5e3bee2d4ce932b34e22c03/fig1_Currency-Combined-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ATM Implied Volatility, 1-Month Tenor
![fig2 Currency-Combined-1M-ATM-VOL-ETH](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6YrGwh2Qi9qRUe2LuN7i40/804fcd6d6412273ad1133d972837604f/fig2_Currency-Combined-1M-ATM-VOL-ETH.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Crypto Senti-Meter Index
BTC Sentiment
![fig3 20240702 btc senti](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/7C9Zh4HcgXaTwui50xx0Bi/67990d60bc95256fa954d27839ae89d0/fig3_20240702_btc_senti.png?x-oss-process=image/resize,w_1350,h_650/format,webp)
ETH Sentiment
![fig4 20240702 eth senti](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5M0zHuCXRgbOAvBZtSXwrt/afeaa019b2b381e6f996ab3260f27c6d/fig4_20240702_eth_senti.png?x-oss-process=image/resize,w_1350,h_650/format,webp)
Futures
![fig5 Futures term structure](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2l7jh2CmbBSTLfGlH0EGWP/a86049b401d8dd0bd7f9c3469471ec57/fig5_Futures_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
BTC Annualised Yields
Yields at short-dated expiries have recovered to the levels of longer-dated expiries, compressing the term structure
![fig6 BTC-Spot-Yields](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1ziM0ExFF0ldSNpE8UPKQl/b6d5a55dbedeffaf4cbd204a49544bb4/fig6_BTC-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Annualised Yields
Yields follow BTC’s upwards to trade in a tight range across the term structure across both markets
![fig7 ETH-Spot-Yields](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/4zNKxqkPVGvCZFPkJVQ67J/ef2ff7bcd8356c3efb0d7e8fe73a62a7/fig7_ETH-Spot-Yields.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Perpetual Swap Funding Rates
BTC Funding Rate
A recovery in sentiment sees a persistent funding rate paid by long positions for leveraged exposure through the contract
![fig8 BTC USDC Perpetual](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1XFgow7Kv1iSC5KqXCj6AO/14aa0cdf4a92a629fb63012e4d0fcc9f/fig8_BTC_USDC_Perpetual.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Funding Rate
Funding rates are more consistently positive in ETH than BTC, owing to excess bullishness that we have seen since the recovery in ETF approval chances in May
![fig9 ETH USDC Perpetual](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/4J5SHbwr1BToZ1jZP1Rw1l/1f5ac3b98bbdea7bb9092fab82e82b45/fig9_ETH_USDC_Perpetual.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
BTC Options
![fig10 BTC SVI Vol term structure](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/5FPpyQVvoHTJjbZMjDUO1J/8d1956eda9375e82480689e9830a2bb5/fig10_BTC_SVI_Vol_term_structure.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
BTC SVI ATM Implied Volatility
Volatility levels continues in broadly the same monthly range, with shorter tenor vols falling in the last 24H
![fig11 Composite BTC SVI ATM volatility](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2X9OfuFawhinwvHVftQ6R6/f91fcbba26c23f5adf198d621c36f80f/fig11_Composite_BTC_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
BTC 25-Delta Risk Reversal
We see a distinct upward trend in short tenor smiles back towards a neutral skew
![fig12 Single Tenor Composite BTC SVI PC skew](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/4WugHhDajVaKVpNqe3latN/cf1af88d779f857a0152c05c9fad5d23/fig12_Single_Tenor_Composite_BTC_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH Options
![fig13 ETH SVI Vol term structure.png](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/Zub8xEgwO6VfUPDU6pePh/04ff34a765d7ce323b611f6de77e1a38/fig13_ETH_SVI_Vol_term_structure.png.png?x-oss-process=image/resize,w_1450,h_450/format,webp)
ETH SVI ATM Implied Volatility
ETH sees the same rangebound movements at a 10-15 point premium above BTC’s levels
![fig14 Composite ETH SVI ATM volatility](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6A7LY46FpGcpUBIrtFvMbQ/8f8f3eab552729eb94bb129efdec4495/fig14_Composite_ETH_SVI_ATM_volatility.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH 25-Delta Risk Reversal
BTC’s upward trend is replicated in ETH’s markets at short tenors, pushing further towards the bullish call skew seen in longer tenors
![fig15 Single Tenor Composite SVI PC skew](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/56rW2wrLey5en18MUElio0/723ff132c60753e4ab0c68ed9fec48b0/fig15_Single_Tenor_Composite_SVI_PC_skew.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Volatility by Exchange
BTC, 1-Month Tenor, SVI Calibration
![fig16 Exchange comparison BTC ATM Vol](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1W6BU2JIrMrgbc6lBrF6cy/9fb15e69704231effc43c254c85ee9cb/fig16_Exchange_comparison_BTC_ATM_Vol.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH, 1-Month Tenor, SVI Calibration
![fig17 Exchange comparison ETH ATM Vol](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1Arse3uOBRQDxL58jZ0VAo/c04d761b686e679ac05f1f9bdafb4632/fig17_Exchange_comparison_ETH_ATM_Vol.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Put-Call Skew by Exchange
BTC, 1-Month Tenor, 25-Delta SVI Calibration
![fig18 Exchange Comparison Put-Call Skew BTC](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/2SxW4wAuTIA90p1iUShRFB/40b97592ef55fe0195fa73cb73984228/fig18_Exchange_Comparison_Put-Call_Skew_BTC.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
ETH, 1-Month Tenor, 25-Delta SVI Calibration
![fig19 Exchange Comparison Put-Call Skew ETH](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/735GhnknTj7v9kn1XqPeNK/47f393f3c7a859c50b957259979ef830/fig19_Exchange_Comparison_Put-Call_Skew_ETH.png?x-oss-process=image/resize,w_1450,h_650/format,webp)
Market Composite Volatility Surface
![fig20 v2composite snap BTC SMILES.moneyness](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6pYJPs6U71GuRLr98D9SCW/2cd28330e2bd8618fe02bccc5bdc03d6/fig20_v2composite_snap_BTC_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig21 v2composite snap ETH SMILES.moneyness](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/BSQvFb1kSuODGCccPAZoR/d0a7b6573741915d09a661c01eeffef3/fig21_v2composite_snap_ETH_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Listed Expiry Volatility Smiles
![fig22 BTC BTC-26JUL24 Listed Expiry](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/6AtwKTJ8tdGVJf9RlgNJrh/7c85bf5aa5c508a41a3b1eaf0772d9e9/fig22_BTC_BTC-26JUL24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig23 ETH ETH-26JUL24 Listed Expiry](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1tP12WELlE1XHslo1aaZDY/34f6278e03e3d41cd963db4d5c1e9b81/fig23_ETH_ETH-26JUL24_Listed_Expiry.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Cross-Exchange Volatility Smiles
![fig24 Exchange comparison BTC SMILES.moneyness](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/pcmyls1nYpUzhB5rcGYmj/8d7d54a33bd73e7374c1a37fb1974700/fig24_Exchange_comparison_BTC_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig25 Exchange comparison ETH SMILES.moneyness](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/4LpYWzBjozleb5em6u9Hze/8729673e37f3ec64321974489f39b143/fig25_Exchange_comparison_ETH_SMILES.moneyness.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
Constant Maturity Volatility Smiles
![fig26 BTC-SVI Constant Maturity](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/1GvzSQt4klRKpvMnNFCCh5/0235ad53dbc8f6ef01ead630bf8ebea4/fig26_BTC-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
![fig27 ETH-SVI Constant Maturity](https://www.okx.com/cdn/assets/plugins/contentful/4nqoo8goeymu/50iKRGHMmLDIYl0X0ubNY/7ac60a3bcad86f3136058e2d1b03e858/fig27_ETH-SVI_Constant_Maturity.png?x-oss-process=image/resize,w_1000,h_700/format,webp)
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.
Les actifs numériques, y compris les stablecoins, impliquent un niveau de risque élevé et peuvent fluctuer considérablement. Vous devez examiner attentivement si le trading ou la détention d'actifs numériques vous convient, compte tenu de votre situation financière et de votre tolérance au risque. OKX ne fournit pas de recommandations d'investissement ou d'actifs. Vous êtes seul responsable de vos décisions d'investissement et OKX n'est pas responsable des pertes éventuelles. Les performances passées ne sont pas indicatives des résultats futurs. Veuillez consulter votre conseiller juridique, fiscal ou financier pour toute question relative à votre situation particulière. Les fonctionnalités d'OKX Web3, y compris OKX Web3 Wallet et OKX NFT Marketplace, sont soumises à des conditions de service distinctes sur www.okx.com.
© 2025 OKX. Cet article peut être reproduit ou distribué dans son intégralité, ou des extraits de 100 mots ou moins de cet article peuvent être utilisés, à condition qu'il s'agisse d'une utilisation non commerciale. Toute reproduction ou distribution de l'intégralité de l'article doit également comporter une mention bien visible : « Cet article est © 2025 OKX et est utilisé avec autorisation ». Les extraits autorisés doivent citer le nom de l'article et inclure l'attribution, par exemple « Nom de l'article, [nom de l'auteur le cas échéant], © 2025 OKX ». Aucune œuvre dérivée ou autre utilisation de cet article n'est autorisée.