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Crypto Derivatives 6 May 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.

Implied volatility has dropped off from its April levels despite the potential for continued erratic trade policy in the US: the newest development involves a 100% tariff on all foreign-made films. BTC has stabilised above $90K, while risk US equities ended a nine-day consecutive win streak. BTC’s derivatives markets show some evidence of downward momentum: futures yields, while at a healthy 4%, have dropped off from 8% at the start of the month, 7-day implied volatility is approaching its 18-month floor of 35%, and short-dated volatility smiles are skewed less strongly towards OTM calls then they were at the end of April.

ATM Implied Volatility, 1-Month Tenor

F1 OKX Currency-Combined-1M-ATM-VOL-ETH

BTC Options

F2 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

F3 OKX BTC SVI ATM volatility

BTC’s volatility term structure has lost some of its steepness from last week, as front-end volatility has dropped off.

BTC 25-Delta Risk Reversal

F4 OKX BTC SVI PC skew

The premium previously assigned to out-themoney BTC calls has now dropped to neutral for short-tenors.

ETH Options

F5 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

F6 OKX ETH SVI ATM volatility

Volatility across ETH’s term structure continues to leak downwards, as with BTC.

ETH 25-Delta Risk Reversal

F7 OKX ETH SVI PC skew

While short-tenor BTC skews have moved towards neutral, front-end skew for ETH is now tilted towards OTM puts.

Market Composite Volatility Surface

F8 okx snap BTC SMILES.moneyness
F9 okx snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

F10 BTC BTC-30MAY25 Listed Expiry
F11 ETH ETH-30MAY25 Listed Expiry

Constant Maturity Volatility Smiles

F12 BTC-SVI Constant Maturity
F13 ETH-SVI Constant Maturity

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.

إخلاء المسؤولية
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