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In this edition, we share the latest crypto derivatives weekly from Block Scholes.
The positive sentiment observed last week has consolidated, with bullishness reflected across key metrics for both majors. Perpetual funding rates remain positive, implied futures yields continue to show elevated levels and an inverted term structure, and the implied volatility smiles’ skew remains strongly tilted toward calls across tenors. The upcoming election is still impacting market dynamics greatly, with implied volatility for 14-day tenor options in both ETH and BTC rising, now approaching levels seen in longer-tenor options. At the same time, volatility at the far end of the term structure continues to trend sideways, only showing a slight decrease for BTC options. Notably, 7-day tenor options saw a spike in volatility last week, now having dropped sharply and sitting lower than last week.
ATM Implied Volatility, 1-Month Tenor
BTC Options
BTC SVI ATM Implied Volatility
Volatility continues to rise at the front end of the term structure, with 14-day tenor options showing elevated levels.
BTC 25-Delta Risk Reversal
Option smiles have maintained a strong skew towards calls, with the skew increasing slightly compared to last week.
ETH Options
ETH SVI ATM Implied Volatility
Implied volatility for ETH 14-day tenor options has risen, mirroring the increase seen in BTC ahead of the US election
ETH 25-Delta Risk Reversal
ETH’s skews have sharply risen and smiles are exhibiting call-skew across tenors.
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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