Crypto Derivatives 13 February 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 near-two week long period of choppy, sideways spot price action has taken its toll on derivatives markets. Futures yields have trended down to their lowest levels of 2025, while BTC’s funding rate remains far below the highs of mid-January. ETH’s funding rate shot sharply negative during the Feb 3 selloff, and has since traded at a neutral level. Short tenor volatility smiles, having remained skewed firmly towards OTM puts since that same selloff, have recently changed course and now price OTM calls at a volatility premium.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

BTC’s term structure is distinctly steep, in contrast to ETH’s stubbornly flat shape.

BTC 25-Delta Risk Reversal

A recovery in sentiment over the last 24H sees BTC’s short-tenor volatility smiles skew towards OTM calls once again.

ETH Options

ETH SVI ATM Implied Volatility

While not inverting to the same extremes, ETH’s term structure stays flat over the past week.

ETH 25-Delta Risk Reversal

Short tenor volatility smiles have skewed back towards OTM calls after a week of dismal sentiment.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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