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
BTC Options
BTC SVI ATM Implied 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
The premium previously assigned to out-themoney BTC calls has now dropped to neutral for short-tenors.
ETH Options
ETH SVI ATM Implied Volatility
Volatility across ETH’s term structure continues to leak downwards, as with BTC.
ETH 25-Delta Risk Reversal
While short-tenor BTC skews have moved towards neutral, front-end skew for ETH is now tilted towards OTM puts.
Market Composite Volatility Surface
Listed Expiry Volatility Smiles
Constant Maturity Volatility Smiles
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