Thahbib Rahman
Research Analyst
Last Updated:
February 5, 2026
•
18 min read
Bitcoin Hits 15-month Low, Yet Derivatives Not Positioned for Crypto Winter
Risk appetite has deteriorated sharply over the last week, with nearly $500B wiped from total crypto market cap since late January, with BTC’s 40% drawdown from the $126K peak accompanied by a fall in perp open interest from ~$5B to ~$3.6B. The move has triggered the largest level of liquidations across crypto markets since the Oct 10, 2025 crash and sees BTC trade below the average purchase level across all spot ETF holders for the first time since before President Trump’s reelection.
Key insights
Risk appetite has deteriorated sharply over the last week, with nearly $500B wiped from total crypto market cap since late January, with BTC’s 40% drawdown from the $126K peak accompanied by a fall in perp open interest from ~$5B to ~$3.6B. The move has triggered the largest level of liquidations across crypto markets since the Oct 10, 2025 crash and sees BTC trade below the average purchase level across all spot ETF holders for the first time since before President Trump’s reelection.
However, derivatives market positioning is surprising: while demand for short-dated options has spiked higher, the volatility implied by options prices is still lower than the level of volatility that spot prices have moved with over the last seven days. In addition, the premium assigned to out-the-money protective puts is higher, but not as high as in previous extreme sell-offs.
Block Scholes BTC Risk Appetite Index
Block Scholes ETH Risk Appetite Index
Biggest crypto liquidation since 10/10
Nearly $500B from crypto’s total market-capitalization has been wiped out since late January 2026, following last weekend’s selloff. BTC fell to an intraday low just shy of $70K, down more than 40% from its all-time high and back to levels during November 2024's re-election of President Trump.
In fact, last weekend’s plunge in spot prices has resulted in the highest level of liquidations since October 10, 2025 - with open interest in BTC-denominated perpetual futures contracts falling from $5B down to $3.6B.
Does that mean crypto is in a full fledged ‘Crypto Winter’ bear market?
While a 40% drawdown from $126K is undoubtedly a significant move, there are parallels between now and the mid-cycle correction in 2021 which too saw BTC fall 40% from the then-ATH before recording a second peak in November of the same year.
- Firstly, the current correction shows signs of flow-driven price action; and less of fundamental or structural reasons. Trade volumes in both spot and perpetual futures, for example, are significantly lower than October 10.
- Secondly, despite a jump up in realized volatility, the response from options markets relative to historical bear market selloffs has so far been lacklustre. In 2022, for example, the demand for optionality spiked to extreme levels, with 7- and 30-day ATM implied volatility trading above 100%.
Not only is implied volatility closer to 50% for short-to-mid-dated options this time around, the ratio of BTC ATM implied volatility to realized volatility also indicated that options markets have priced in lower forward looking volatility expectations than the volatility that has been recently delivered (a ratio below 1). Compare that to 2022 for example during the FTX crash when implied volatility averaged 1.3x that which was delivered by spot prices.
Another way to compare the demand for downside protection and the market’s expectation of further selloffs is through the 25-delta put-call skew ratio. While BTC and ETH volatility smiles currently assign a 15 vol point and 18 vol point premium towards put options, we are far below the extremes seen in 2022, when put contracts traded with a premium of more than 60%. Instead, current levels of premiums in put options relative to calls are closer to the mid-cycle correction in 2021, when put-call skew was between -10% and -15% for BTC.
Average BTC ETF holder under water
In 2025, spot price rallies in both BTC and ETH were consistently supported by strong streaks of positive inflows into Spot Bitcoin and Spot Ethereum exchange-traded funds. It is perhaps unsurprising therefore, that the declines in spot prices post October 10, 2025 have coincided with mostly an exodus away from Spot ETF products. The first month of 2026 saw BTC Spot ETFs sell $1.6B worth of bitcoins, registering their third-worst month since launch in January 2024 – with only February and November 2025 seeing more outflows.
For Bitcoin Spot ETFs in particular, we find evidence that Digital Asset Treasuries (DATs) – specifically, Michael Saylor’s Strategy – are the main institutional buyers to have supported demand. The 20-day rolling sum of flows into Spot Bitcoin ETFs has been negative for most of Q4 2025 and into the new year, while the rolling 20-day sum when we include Saylor’s Bitcoin purchases is close to $1.5B.
With BTC trading in the lower-$70K region, the average Spot ETF buyer is currently underwater, given that the average purchase price of one bitcoin amongst Spot ETF holders is $84K (a current loss of -11%). The last time BTC traded below the cost basis was back in September 2024.
The story is more bearish when it comes to institutional demand for Ethereum. January marked the third month in a row where Spot ETFs net sold Ether, with signs of slowdown in buying from ETH’s largest DAT by supply-held (BitMine Immersion Technologies).
Despite the firm announcing that it had acquired 41,788 ETH over the past week, there are signs that the scale of its ETH purchases are slowing down, even in spite of ETH’s falling price.
Nonetheless, Chairman Tom Lee recently justified its purchases stating that “we view this pullback as attractive, given the strengthening fundamentals. In our view, the price of ETH is not reflective of the high utility of ETH and its role as the future of finance.” Lee also defended the firm’s $6B in paper losses, stating that the losses are “not a bug”, but “a feature” of an ETH-based DAT.
Plotting the same 20-day sum of ETF flows and flows including BitMine purchases, it is clear that momentum both from ETF buyers and BitMine is waning.
Hyperformance
Despite a market-wide de-risking, one asset stands out for its continued outperformance: Hyperliquid’s native HYPE token.
Trading volumes on Hyperliquid have recently exceeded $10B per day, driven by a surge in RWA-perp related trading. Over the past two weeks, daily 24-hour volume on Hyperliquid’s Silver perp contracts has repeatedly exceeded $1.5B, driven by first the rally and then subsequent correction in precious metal prices. Given Hyperliquid’s aggressive buyback program (which allocates 97% of the protocol’s revenue towards token buybacks), HYPE’s 30% rally over the past 30 days is perhaps somewhat unsurprising.
Not only is HYPE the only blue-chip crypto token that is trading above its 2025 levels, its outperformance over the rest of the market when benchmarked against BTC stands out too. Over the past month in particular, HYPE/ BTC is up close to 80% and HYPE is also the only altcoin so far this year to have a positive year-to-date return.
While the platform’s main focus has been on perpetual swap contracts that provide linear, leveraged exposure to an underlying asset, the protocol recently confirmed the announcement of HIP-4: Hyperliquid Improvement Proposal-4, which will introduce permissionless “Event Futures” on the platform – binary options contracts where users bet on the probability of an event occurring; similar to markets that currently exist on Polymarket.
Ethereum Scaling Needs a New Path
Since the September 2022 Merge shifted Ethereum from Proof-of-Work to Proof-of-Stake, Ethereum’s development has been delivered through periodic network upgrades (implemented via Ethereum Improvement Proposals - EIPs) and that have increasingly focused on scaling. In practice, much of that scaling effort has targeted making it cheaper for Layer-2 (L2s) rollups, including cheaper blockspace for L2s and rollups by introducing a completely separate market to pay for gas, called “blob gas to facilitate third-party L2s to taking on the mantle of scaling Ethereum as the “branded shards”.
As the chart below shows, L2s took on this task, and subsequent upgrades have repeatedly expanded the blob space devoted to them.
However, Ethereum founder Vitalik Buterin argued in an X post on Feb 3, 2026 that the original “branded shards” plan no longer makes sense because “two facts” have emerged in parallel:
- “L2s’ progress to stage 2 has been far slower and more difficult than originally expected” and
- “L1 itself is scaling, fees are very low, and gas limits are projected to increase greatly in 2026”
Together, they mean “the original vision of L2s and their role in Ethereum no longer makes sense, and we need a new path.”
The implication is that L2s cannot rely on the assumption that they add value primarily by scaling Ethereum. Instead, he suggests L2s and rollups should distinguish themselves through clearer product trade-offs, including cases where “customers’ regulatory needs require them to have ultimate control”. However, price action in ETH and L2 governance tokens shows little reaction beyond the general underperformance of altcoins so far.
What’s New in DeFi?
1) Hyperliquid unveiled HIP-4, a proposal to add general-purpose “outcome trading” to its platform.
The upgrade introduces a new class of fully collateralised outcome contracts, which have dated expiries with non-linear payoffs using fully-collateralised event markets.
Outcome trading will debut on testnet, initially with a tailored set of markets, before potentially moving to permissionless listings if user feedback is positive.
The feature will settle in Hyperliquid’s USDH stablecoin and run on HyperCore, the exchange’s high-performance execution engine.
2) Jupiter, Solana’s largest decentralised exchange (DEX) aggregator, is bringing Polymarket to the network via a new in-app integration that embeds prediction markets directly into its trading interface.
In a post on X on Feb 1, Jupiter said it has launched a built-in “Prediction” feature, allowing users to trade Polymarket contracts without leaving the Jupiter app.
“Integrating Polymarket is primed for making Jupiter the most innovative predictions platform on Solana,” the exchange said, positioning Jupiter as a hub for prediction markets on Solana by combining its existing trading interface with Polymarket’s event-based markets, which are now accessible directly within the Jupiter app.
3) Aave Labs is scrapping the Avara umbrella and shutting down the Family wallet as it narrows its focus back to its core DeFi business.
Side projects that sat under Avara, including Lens, are now being set aside and not being treated as part of its core business, with future products and apps returning to the Aave Labs name.
The Latest Listings - PENGUIN
Nietzschean Penguin (PENGUIN) is a Solana-based SPL token that is positioned principally as a community- and culture-led digital asset. The project’s published materials indicate that it is driven by community participation and narrative momentum, and explicitly notes the absence of both a formal roadmap and any guaranteed utility. The principal drivers of market participation are expected to be community engagement, narrative traction and liquidity conditions, as opposed to observable progress in product feature delivery or protocol upgrades.
As a standard Solana SPL asset, PENGUIN benefits from high-throughput settlement and comparatively low transaction costs, with issuance and transfers handled through Solana’s native token programme rather than bespoke smart-contract logic. Trading activity is therefore expressed primarily through venue liquidity: on-chain via Solana-based liquidity pools and off-chain via centralised exchange order books, where pairs are commonly quoted against USDT.
Bybit has a new spot trading pair PENGUIN/USDT, listed on Jan 31, 2026
Data & methodology
Data acquisition, composition & timeline
Open interest and trading volume data are sourced “as is” from the Bybit exchange platform API exclusively, and as such do not represent a comprehensive picture of the sum of trading activity across all derivatives markets or exchanges. The data visualized in this report consists of hourly and daily snapshots, recorded over the previous 30 days. Daily (hourly) snapshots of trade volume record the total sum of the notional value of trades recorded in the 24H (1 hour) period, beginning with the snapshot timestamp.
If not explicitly labeled as derived from another exchange, the input instrument prices to all derivatives analytics metrics in this report are sourced from the appropriate endpoints of Bybit’s public exchange platform API. In the event that data is labeled or referred to as representing the market on another exchange source, that data is sourced from the appropriate endpoint of each respective exchange’s public API.
Macroeconomic charts and data are sourced “as is” from the Bloomberg Terminal. Exchange data is sourced “as is” from publicly available exchange APIs. Block Scholes makes no claims about the veracity of public third-party data.
Open interest & volume dollar denomination
After acquisition of underlying-denominated raw data for open interest and trading volume on the Bybit exchange platform from Bybit’s API endpoint, equivalent dollar-denominated figures are calculated using the concurrent value of Block Scholes’s Spot Index for the relevant underlying asset.
Block Scholes’s Spot Index represents the aggregate Spot mid-price for a given currency across the top five CEXs by volume (with USD-quoted markets). It considers the proportion of total volume in the instrument on the exchange, as well as the deviation of a data point from those on other exchanges.
Block Scholes–derived analytics metrics
Futures prices are used for Block Scholes’s futures-implied yields calculation services in order to derive the constant-tenor annualized yields displayed in the Futures section of this report.
Options prices are used for Block Scholes’s implied volatility calculation services in order to calibrate volatility surfaces, from which all derivatives volatility analytics displayed in the BTC Options and ETH Options sections of this report are calculated. Volatility smiles are constructed by calibrating to mid-market prices observed in Bybit options markets. As part of the calibration process, prices go through rigorous filtration and cleaning steps, which ensures that the resulting volatility surface is arbitrage-free and has exceptional fit to the market observables.
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Bitcoin Hits 15-month Low, Yet Derivatives Not Positioned for Crypto Winter
Risk appetite has deteriorated sharply over the last week, with nearly $500B wiped from total crypto market cap since late January, with BTC’s 40% drawdown from the $126K peak accompanied by a fall in perp open interest from ~$5B to ~$3.6B. The move has triggered the largest level of liquidations across crypto markets since the Oct 10, 2025 crash and sees BTC trade below the average purchase level across all spot ETF holders for the first time since before President Trump’s reelection.
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Crypto Volatility Spikes In Lead Up to Warsh Nomination as Fed Chair
Markets are aggressively repricing the Fed’s policy outlook, with the US dollar rebounding in anticipation of a less-dovish Fed under Kevin Warsh - President Trump’s confirmed pick for Fed Chair. A sharp reversal in precious metals has seen crypto take another leg lower, with the broader market losing around 4.7% of total crypto market cap in 24 hours. The move leaves BTC and ETH down over 5% and 8% year-to-date respectively – BTC around $82K puts it more than 30% below the Oct 6, 2025 high of $126.1K.
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Greenland Crisis, JGB Yields Spike Shocked Risk Sentiment, but Crypto’s Not Panicking
An outsized shock in Japanese government bonds that coincided with a similarly extreme move in longer-dated US Treasuries has seen risk-on sentiment in US equities, and crypto alike, lower. However, the move in crypto has not been anywhere near as cataclysmic as sell-offs as recently as the Oct 10, 2025 liquidation cascade. While major altcoins have underperformed BTC despite idiosyncratic catalysts, derivatives markets do not show marked increase in bearish positioning nor a meaningful pick-up in implied volatility.
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BTC at 2-month high spurs signs of turning derivatives sentiment
Sideways trading in the final stretch of 2025 was upended by a sharp and aggressive move higher this week in BTC spot price to a two-month high, nearly touching $98K. That move dragged the rest of the spot market up with it, and has had a strong effect on derivatives markets. Funding rates for select altcoins have shot higher, while open interest in perpetual futures contracts has increased, signalling new longs entering the market in hope of capturing any further upside moves in spot price. Volatility smiles have priced out their bearish put premium and now trade close to neutral for BTC and ETH. Additionally, spot ETFs for both majors show positive inflows year-to-date. ETH has also benefitted from idiosyncratic, on-chain tailwinds: demand for staking continues to soar, with 30% of the total ether circulating supply currently being staked. Despite the breakout from a month-long period of consolidation and various macro risks in the form of US-Iran tensions, December’s NFP release, December’s CPI report, a grand jury subpoena issued to the Federal Reserve, volatility has continued to trend lower.
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Bybit x Block Scholes: “2026: It's Different This Time?”
“This time it’s different” — the four year cycle can no longer be used as the primary framework for spot price behavior in 2026. A new source of demand, supportive macro conditions and continued regulatory support encourages a constructive base case for 2026 — not the definitive bear market the traditional four-year cycle theory would suggest.
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Tokenised Markets on Bitget UEX: Unlocking Real-World Assets On-Chain for 24/7 Global Access
Bitget has unveiled its Universal Exchange (UEX) model, the platform’s vision of a unified trading hub that brings together the experience of centralized exchanges (CEXs), decentralized exchanges (DEXs), and traditional finance (TradFi). For users, that means the ability to trade a wide variety of asset types in one place, adding tokenized stocks of ETFs, gold, and equities to Bitgets’s crypto offering.Bitget will initially onboard tokenized stocks offered by Xstocks and Ondo Finance’s Global Markets. This will allow traders to trade a wide range of real-world assets, from equity tickers such as Tesla (TSLA) and Nvidia (NVDA), as well as ETF funds that track equity indices, for example SPYon or QQQon (which track the S&P 500 and Nasdaq-100, respectively). Tokenized stocks maintain their value because each digital token is backed one-to-one by the real asset, safeguarded by a regulated brokerage entity. This structure mirrors how regulated stablecoins such as USDC maintain value by holding equivalent reserves, where 1 USDC on-chain is backed by the equivalent of $1 off-chain held by Circle.
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No Signs of Impending Santa Rally
Despite the Fed delivering their third consecutive cut to interest rates as was widely expected on Dec 10, 2025, and subsequent labor market data showing that US unemployment had ticked up to its highest level since September 2021 at 4.6%, sentiment in crypto remains at extreme lows. BTC and ETH remain 30% and 40% below their 2025 high water marks, and seem unable to sustain any meaningful recovery rally for longer than 24 hours. As a result, participation levels in derivatives markets remain low, with subdued levels of trade volumes and a drop in volatility expectations. What positioning does remain is bearish, with a skew of volatility smiles towards puts suggesting strong demand for put options at expiries well into the new year.
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Final FOMC meeting of the year does little to abate bearish crypto sentiment
The week’s main event, the FOMC’s final meeting of the year, saw policymakers deliver a 25bps rate cut – an outcome largely expected by markets. Chair Powell delivered a moderately hawkish press conference, leaving the door both open to a rate cut or a pause in the January 2026 meeting. The outcome for crypto markets? Certainly no “firework” reactions. Open interest in perpetual swap contracts has mostly been sideways for the entire week, implied volatility in options markets had steadily fallen lower even ahead of the meeting and perpetual swap funding rates for BTC showed a lack of participation for leveraged position taking. Even after the Fed delivered its third cut of the year and provided a more optimistic outlook on the US economy via the Summary of Economic Projections, volatility smiles in options markets continue to point bearishly – skewed towards OTM puts.
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Sentiment slowly shifting, but not yet bullish
After an early scare at the start of the month, crypto asset spot prices have enjoyed a modest recovery rally that’s seen BTC reach a two-week high above $94K and ETH reclaim the psychological $3,000 mark. To recap, during early Asian trading hours on Dec 1, 2025, BTC led other risk-on assets and sold off sharply amidst hawkish signs from the Bank of Japan and a spike in JGB bond yields, foreshadowing the move in US equities when trading in New York began. However, recent bullish developments (including Vanguard opening its platform up for trading crypto ETFs and mutual funds) have encouraged a sharp recovery rally. As such, sentiment in derivatives markets, particularly in options markets has picked up.
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Slow-but-steady recovery in crypto sentiment
A slow-but-steady recovery in macro risk appetite has also seen crypto stage a modest recovery from its weekend lows. After revisiting spot prices not seen since April 2025, BTC and ETH now trade above $91K and $3K respectively.
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BTC dips below $82K as risk aversion finds no relief from resilient US jobs report.
The past week saw far fewer relief rallies in spot price than the week that preceded it. Instead, BTC plunged from $105K all the way down past $82K. Not only did that wipe out all of its year-to-date gains, but it also meant the average ETF investor is now firmly underwater, with the average entry price circa $89K. The move lower in spot price accelerated over the past 24 hours following a stronger-than-expected September jobs report and an announcement from the BLS that there will be no October report – both pieces of news the market has taken as a sign the Fed may not need to cut rates in December. Options markets reacted as expected: short-tenor volatility has exploded higher at the front end of the term structure following a move in realized volatility and traders priced in a significant premium for short-dated bearish put options.
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Bybit x Block Scholes Crypto Derivatives Analytics Report November 12, 2025
U.S. equities continue to scrape against all-time highs, buoyed by signs that the government shut-down is nearing an end. However, crypto-assets have failed to enjoy the same positive sentiment, with every attempt by spot prices to re-rally back to the levels lost in successive October and November sell-offs met with resistance. The bearish slog in spot markets is marked by signs of bearish position-taking in derivatives markets, as implied volatility levels refuse to return to the lower levels that they traded at in September and volatility smiles price-in a relative premium for protective puts.
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Bybit x Block Scholes Crypto Derivatives Analytics Report November 7, 2025
A revisit to $100K for BTC has further diminished sentiment in derivatives markets. Open interest in perpetual futures contracts remains low, with very few signs of traders showing any willingness to reenter positions that may have been closed out during the $19B liquidation unwind in October. However, the lack of a major drop in perp open interest suggests that the most recent spot market crash was driven by the selling of spot holdings, rather than a liquidation cascade, such as back in October. On the other hand, open interest in BTC and ETH options still remains resilient, suggesting an increased use of options contracts in order to gain spot exposure.
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Bybit x Block Scholes Crypto Derivatives Analytics Report October 31, 2025
A record-breaking liquidation event in crypto’s history has certainly taken its toll on perpetual swap contract markets, with Bybit traders showing almost no willingness to re-enter lost leveraged positions. More than $6B in notional positions were wiped out on Oct 10, 2025, ignited by a re-escalation of trade tensions between the US and China. Those tensions eased earlier this week as US and Chinese negotiators agreed on a “very positive framework” for discussions between President Xi and President Trump — that then set the table for a much anticipated trade deal between the two nations that was signed on Oct 30, 2025.
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Premia x Block Scholes: Introducing Kyan
Premia, a decentralized derivatives exchange, first launched in 2021 on the Ethereum mainnet with the goal to “bring options trading onchain”. In this report we will cover the design choices across the entire protocol and evaluate whether those choices achieve two overarching goals of Kyan.
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Block Scholes x Bybit September Volatility Review
BTC volatility awakens from a long period of dormancy. After steadily declining since April, BTC’s implied volatility broke sharply higher in mid-October, following a $19B liquidation cascade — the largest in crypto’s history.
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Bybit x Block Scholes Quarterly Report: Rise of Perp DEXs — and how to catch the opportunity
The demand for decentralized perpetual swap contract exchanges (perp DEXs) has emerged as a key narrative in crypto markets, particularly since September 2025. In this report we aim to understand exactly why perp DEXs are experiencing unprecedented growth in volumes and fees, what advantages (and disadvantages) they have over traditional centralized venues (CEXs) and whether metrics such as fee generation can provide insight into the value of a perp DEX’s native token.
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Bybit x Block Scholes Crypto Derivatives Analytics Report October 8, 2025
Despite the “debasement trade” dominating headlines this week as BTC and gold rallied concurrently with each other, beneath the surface, derivatives markets indicate the rally is a fragile one. Open interest in perpetual swap contracts has declined over the past few days, suggesting signs of profit-taking, and funding rates have remained between neutral and modestly positive levels — hardly a hallmark of an ATH rally. This is further supported by suppressed activity in BTC, ETH and SOL options markets, where volumes have remained low and skewed mostly toward puts, and volatility smiles have been skewed toward puts.
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Bybit x Block Scholes Crypto Derivatives Analytics Report October 3, 2025
A recent major liquidation event beginning Sep 22, 2025 dropped the levels of open interest in Bybit perpetual swap contracts. That resulted in the notional value of outstanding contracts falling from the all-time highs reached in the run-up to the Federal Reserve’s September FOMC meeting. The decline coincided with a major slump in spot prices, in which BTC lost a key support level and dropped below $108K, while ETH plunged through the $4,000 level. Since those local lows, crypto asset spot prices have begun to recover, with BTC now trading back above $118K and ETH at $4,400. That’s also despite a US government shutdown, which has (as yet) had seemingly little impact on spot or derivatives markets.
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Block Scholes x Bybit August Volatility Review
Realized volatility levels have collapsed across crypto assets. The first two weeks of September have seen realized volatility fall to historic lows for BTC, ETH and SOL spot tokens, despite a slew of macroeconomic factors and the resumption of the Fed’s rate-cutting cycle.
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Bybit x Block Scholes Crypto Derivatives Analytics Report September 18, 2025
This week saw markets grapple with a pivotal FOMC meeting — not for the on-the-day interest rate cut decision, which was a near lock-in for a 25 bps cut, but for the likely path of monetary policy at the remaining two meetings in 2025. The whipsawing reaction to the release of contradictory signals resulted in significant intraday volatility, but options markets have been quick to return to a slow slog lower in implied volatility levels since then. This shouldn’t come as a surprise, given that realized volatility levels for BTC and ETH have fallen to extreme lows (close to 20% and 40%, respectively). In fact, what’s truly surprising is that implied volatility hasn’t fallen with them, instead trading at elevated levels (10 and 20 points higher, respectively).
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Bybit x Block Scholes Crypto Derivatives Analytics Report September 12, 2025
A sideways slog in spot prices over the past week means that the bearishness in options markets positionings for both BTC and ETH continues. Volatility smiles across the term structure for BTC continue to price OTM puts at a premium to call options, while short-dated ETH options are also maintaining their expectations for further downside price action. The main driver of spot prices this week has been macro-induced events, on both sides of the Fed’s dual mandate. An ever so slightly hotter than expected CPI print pushed BTC lower after it tapped $114K, though it quickly recovered. The inflation print came after a slew of data releases pointed to a marked weakening in the US jobs market: including JOLTs data and NFP. Markets are now bracing for three rate cuts by the Federal Reserve by the end of the year.
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Bybit x Block Scholes Crypto Derivatives Analytics Report September 5, 2025
Risk-on sentiment in both US equities and bond markets has vanished over the past week. US equities fell lower after an extended holiday, amidst a global bond market rout that has seen long-dated bond yields across G7 nations soar to record highs. BTC’s spot price has mostly declined after Federal Reserve Chair Jerome Powell’s Jackson Hole speech, reaching a local bottom of $107K earlier last week, while ETH’s spot price is down 5% over the past seven days. Some altcoins have, however, fared stronger, with SOL a particular case in point.
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Bybit x Block Scholes Quarterly Report: What will drive crypto in Q3 2025?
Chair Jerome Powell of the Federal Reserve delivered his highly anticipated Jackson Hole speech on Aug 22, 2025. In it, he caught markets offside with a more-dovish-than-expected signal that the Fed is preparing to cut interest rates as soon as September. The Fed’s shifting policy stance has become apparent in BTC’s reaction function to various macroeconomic data releases — and, in fact, slightly predates the pivot from Powell.
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Block Scholes x Bybit July Volatility Review
BTC’s volatility smile has flattened to cycle lows: Since 2022, BTC’s volatility smile steepness has become shallower, dropping close to its lowest levels in July 2025 — a sign that options markets appear to be assigning a lower probability of extreme BTC moves in either direction relative to moves close to the current spot price.
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Block Scholes x Bybit Crypto Derivatives August 22nd
Cryptocurrency spot prices began their sell-off last Thursday on Aug 14, 2025 following a stronger-than-expected PPI inflation report that showed the largest increase in inflation (at the wholesale level) since June 2022. That sell-off has extended into this week at a slower pace as traders await Fed Chair Jerome Powell’s speech on Friday at the Jackson Hole Economic Policy Symposium, hoping for further clarity on the path of monetary policy in the US.
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Block Scholes x Panoptic: Perpetual Options
What if options never expired? Perpetual options are a new financial primitive that behave like traditional options that are continuously rolled forward. Instead of expiring, they maintain a fixed time-to-expiry horizon, say 30 days, by automatically rolling each day. The key benefit of this structure is efficiency: unlike manual rolling, perpetual options avoid repeated transaction fees and bid-ask spreads, making them significantly cheaper to maintain over time. They exhibit similar exposures to those of a traditional option, while smoothing volatile, market-dependent upfront costs into a continuous funding rate.
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Block Scholes x Bybit Crypto Derivatives August 15th
ETH stole the spotlight this past week, with a rally of over 20% that brought it within inches of its November 2021 (ATH). That’s not to say BTC has traded quietly, however — on Aug 14, 2025 it reached a new all-time high (ATH) of $124K, driving a sentiment shift in options markets toward OTM calls. ETH has been strongly supported by a wave of institutional buying from corporate digital asset treasuries, such as SharpLink Gaming and BitMine Immersion Technologies, Inc. as well as Spot ETH ETFs, which had their first $1B inflow day on Aug 11, 2025. This is significant because derivatives markets signal a strong bullishness for the rally to continue.
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Block Scholes x Bybit Crypto Derivatives August 8th
The month of August has started in a far more bearish manner than the month that came before it. Positioning in derivatives markets suggest that market participants were anticipating a bigger downside move than what has so far materialized and that, despite the pullback in spot prices abating, sentiment has yet to fully recover. The past week has not been short of narratives for crypto traders: President Trump extended his reciprocal tariff program as his self-imposed Aug 1, 2025 deadline was reached, weaker-than-expected US jobs data has reignited uncertainty over the Fed’s monetary policy path and the SEC’s “Project Crypto” provided some bullish news for the advancement of tokenization in the US and Layer 1 blockchains that stand to benefit from the regulatory positivity.
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Bybit x Block Scholes Quarterly Report: Altcoin season and the evolving role of Bitcoin
The previous time we evaluated the potential for a crypto altseason, we defined it as a period of significant and sustained outperformance by altcoins (cryptocurrencies other than Bitcoin). Such market regimes have historically begun when Bitcoin dominance reaches a local peak, leading to evidence of capital rotation from Bitcoin into Ethereum, and subsequently into smaller, riskier altcoin projects. This rotation results in rapid price appreciation across altcoins, with many surpassing their previous cycle highs. Altseason ends when the total market capitalization of all altcoins reaches a new all-time high (ATH), often just prior to the broader market peak.
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Block Scholes x Bybit Crypto Derivatives August 1st
A slowdown in spot prices this week has seen short-tenor BTC and ETH options assign a slight volatility premium to out-of-the-money (OTM) put options, a signal of bearish sentiment. This contrasts with the bullish outlook portrayed in perpetual futures markets, in which funding rates for BTC, ETH and a slew of other tokens have been persistently positive. BTC has traded range-bound between $115K and $120K, reaching that lower bound on Jul 25, 2025 — coinciding with a sale of 80,000 Bitcoins facilitated by Galaxy Digital from a “Satoshi-era investor.” BTC’s spot price quickly recovered from that low, but has since failed to break past $120K.
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Block Scholes x Bybit Crypto Derivatives July 25
The beginning of “Crypto Week” saw a number of positive developments for the crypto industry. As the week began, BTC surged to a new all-time high of $123K. However, as the week’s end approached, the spotlight switched toward altcoins, which rallied significantly to bring the total market cap of crypto assets above $4T for the first time in history. ETH reached its highest levels all year, breaking past $3,800, while SOL, which for the past two weeks had underperformed other L1 blockchains, crossed the $200 threshold. Crypto Week also saw the signing of the GENIUS Act into law by US President Trump, and the passing of the CLARITY Act and the CBDC Anti-Surveillance State Act by the US House.
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Block Scholes x Bybit Crypto Derivatives July 16
An aggressive rally in BTC’s spot price over the past week has seen the largest cryptocurrency by market capitalization surge to multiple new all-time highs, eventually touching a top of $123K. With that move higher, all measures of directional sentiment in derivatives markets supported the rally, as funding rates for BTC have been persistently positive and options skew is tilted toward calls. SOL has once more underperformed relative to a basket of Layer 1 (L1) blockchains this week, despite several bullish tailwind drivers in the form of positive inflows in the REX-Osprey SOL ETF and a number of corporations adopting or expanding a SOL-focused treasury strategy, including DeFi Development Corp. and Mercurity Fintech Holding Inc.
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Block Scholes x Bybit Crypto Derivatives July 10
This week has seen an outperformance in altcoins relative to BTC, with ETH and XRP rallying more than 16% over the past seven days. BTC reached a new all-time high of $118K, extending past its previous high on May 22, 2025. Throughout the week, short-tenor BTC options have traded with a range-bound level of implied volatility, between 26% on July 4, 2025, and 35% following the new all-time high. Despite positive tailwinds for the Solana ecosystem, including another quarter of revenues that have outperformed all other L1 and L2 blockchains, the SOL token has rallied by a smaller 2% for the week.
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Block Scholes x Bybit June Volatility Review
BTC volatility has reached historically low levels against ETH and SOL: In June, BTC implied volatility fell to 28% and 7-day realised vol to 22–25 %, extending a multi-year down-trend despite sizable macro shocks (geopolitical strikes, policy feuds, first US stable-coin law).
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Block Scholes x Bybit Crypto Derivatives July 4
For most of the past seven days, the majority of crypto assets had traded within a tight range, despite a rally in US equities which has seen the benchmark S&P 500 and Nasdaq-100 indices reaching new all-time highs. That changed on Jul 2, 2025 as spot prices broke out of their respective ranges, coinciding with the US reaching a trade deal with another trade partner, Vietnam. BTC broke out of the $105–108K region to trade upward of $110K and ETH cleared its own $2,500 ceiling. The result of the sideways spot price slog and subsequent rally saw implied volatility jump for both BTC and ETH options. For the former, the one-week tenor traded with an implied volatility as low as 26% earlier in the week, before bouncing to 35%. Volatility smiles for BTC however remain mostly unchanged from the rally.
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Block Scholes x Bybit Crypto Derivatives June 27
The past week was packed with enough macro events to make even an asset class as volatile as crypto stand out with more volatility. Over the past seven days alone, the US Senate bilaterally passed the GENIUS Act, a landmark legislation to regulate stablecoins. Later in the week, Fed Chair Jerome Powell reiterated the Fed’s wait-and-see approach as the FOMC left interest rates unchanged. Then, the US militarily intervened in the Middle East and forced a retaliatory response from Iran, before negotiating a peace treaty and ceasefire. Understandably, spot markets plunged and then rallied, and implied volatility has gone through its own series of ups and downs.
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Bybit x Block Scholes Crypto Insights Report: Deep dive into US crypto regulations
Just over 151 days of President Trump’s administration have already delivered significant shifts in the US’s crypto policy: Active promotion of a comprehensive regulatory framework for digital assets includes appointing pro-crypto regulators, ending high-profile lawsuits against crypto companies, clarifying rules around staking and fostering ETF approvals. Stablecoin regulation via the GENIUS Act and the proposed BITCOIN Act indicates major institutional and governmental acceptance: These acts establish frameworks for the safe issuance of stablecoins, and may potentially lead to significant institutional demand for Bitcoin. Stablecoins could dramatically scale in adoption. More speculative bills, such as the BITCOIN Act, could position the US government among the largest holders of Bitcoin globally.
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Block Scholes x Bybit Crypto Derivatives June 19
The conflict in the Middle East left its mark on the trading volume of perpetual swap contracts, as well as on funding rates, which have turned negative for a slew of tracked tokens. Market-wide de-risking over fears of a worsening Iran-Israel conflict has also resulted in a sea of red for crypto assets over the past week. BTC is down more than 4%, ETH more than 8% and SOL 10%. Nevertheless, ETH options markets are carrying a less bearish tilt toward OTM puts (relative to BTC short-tenor options), and for expirations beyond 30 days, the ETH put-call skew is positive.
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Block Scholes x Bybit Crypto Derivatives June 13
A public feud at the end of last week between President Trump and Tesla CEO Elon Musk had a minimal impact in perpetual funding rate markets, although it resulted in a temporary sea of red in crypto spot markets. That didn’t last long — BTC is now trading only $2K shy of its ATH of $111K, though its options markets are neutral to slightly bullish. This contrasts significantly with ETH options markets, in which short-tenor volatility smiles skewed more than 10% toward OTM calls earlier today, as ETH’s spot price has outperformed over the past seven days as well.
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Block Scholes x Bybit May Volatility Review: ETH-BTC volatility reaches a five-year high as ETH plays catch-up
ETH options traded at historically high volatility premiums relative to BTC in May 2025, driven by ETH’s significantly higher realized volatility amid a sharp spot price rally. The ETH-to-BTC implied volatility ratio reached a nearly five-year high (over 2x for short-dated tenors).
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Block Scholes x D2X: Stablecoin and Fiat-Denominated Options
Unlike TradFi equivalents, cryptocurrency options markets are far smaller than the spot markets of their underlying assets, with sparse underlying offerings and illiquid markets. The difficulty in trading crypto-currency options is compounded by the disparate base currencies used – few venues offer direct exposure to BTC or ETH options denominated clearly in fiat currencies like the EUR or USD. Instead, options exposure is collateralised by and quoted in stablecoins or even the underlying itself, complicating calculations of greeks and understanding of market exposure.
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Block Scholes x Bybit Crypto Derivatives June 4
As BTC’s spot price failed to hold at its all-time high (ATH) of $111K for a sustained period of time, the drop toward $105K has now brought a shift in the sentiment of options markets. The bullish skew that was apparent in volatility smiles across the term structure has abated, with short-tenor options skewing briefly toward OTM puts before returning to neutral. ETH’s term structure of volatility is no longer disinverted, with volatility expectations across tenors compressed. Short-tenor skew for ETH is pointed toward OTM puts, though ETH funding rates are exhibiting more bullish sentiment than indicated by options markets.
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Block Scholes x Bybit Crypto Derivatives May 28 2025
BTC’s march to a new all-time high on May 22, 2025 has been followed by a period notable largely for its lack of volatility. Realized volatility has fallen across cryptocurrencies, causing a corresponding drop in short-dated implied volatility. For ETH, that’s resulted in a flat term structure, while for BTC it’s caused a reasonably strong steepening as the 7-day tenor has fallen back below 40%. Options and futures markets have expressed bullish sentiment throughout the past week, with positive futures yields and funding rates and a skew toward OTM calls. However, a downturn in BTC’s spot price on May 28, 2025 has clouded the picture somewhat in funding rates.
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Bybit X Block Scholes Institution Report: Drivers and Sentiments Behind Ether’s Recent Breakout and How Far It Can Go
While a large portion of the past two crypto bull runs (2015-18 and 2019-22) was dominated by Bitcoin outperformance, that did not last forever – both cycles eventually experienced a period of vicious capital rotation out of BTC and into altcoins. This eventually heated up into what is referred to in crypto folklore as ‘Altseason’: a time of significant and sustained outperformance of altcoins relative to Bitcoin. Ethereum, the second-largest cryptocurrency by market capitalization, has long stood as the bellwether for the wider altcoin market and, in extension, with altseason.
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Block Scholes x Bybit Crypto Derivatives May 23
Front-end volatility for BTC has been reactive to the whipsaw in spot price over the past week, which has more recently resulted in BTC reaching a new all-time high (ATH) of $$111.97K – the first new ATH since January 20, 2025, four months ago. At-the-money implied volatility levels remain between 45% and 50%, as short-tenor volatility expectations have now picked up significantly from their lows of last week. Perpetual funding rates remain tempered despite a spot price that has reached new highs, although options skew temporarily steepened towards calls by as much as 7%, due to renewed demand for OTM calls.
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Block Scholes <> Quant Insight Bitcoin’s Sensitivity Shift
This paper sets out to evaluate the changing relationships between macro fundamentals and crypto sentiment. Quant Insight’s unique quantitative macro framework firstly identifies and then measures the macro "DNA" of any asset. Block Scholes Senti-Meter provides a way to track the degree to which crypto derivative technicals are driving price action. As Bitcoin increasingly moves into the TradFi space, all crypto investors need to adopt an investment framework that covers macro, technical, positioning & sentiment factors.
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Block Scholes x Bybit Crypto Derivatives May 9 2025
Further sideways spot price activity has led both BTC and ETH to trade within their respective bounds of $94–97K and $1.7K–$1.8K. In response, their respective implied volatility levels continued dropping off for most of the past seven days before each bounced off its own 18-month floor after it was announced that the US and China would be having their first trade talk following a long game of cat and mouse, which saw neither side back down. In turn, we saw a near recovery of ETH skew from OTM puts and a bullish bounce toward calls from neutral levels for BTC.
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Block Scholes x Bybit April Volatility Review
After months of foreshadowing, on Apr 2, 2025, US President Donald Trump announced a series of steep “reciprocal” tariffs on most of the country’s trading partners — rewriting global trade policy in the US to extremes last seen in the 1930s. As a consequence, April was characterized by another wave of volatility across crypto, equities and fixed-income, not only in response to a deluge of changing tariff headlines and narratives, but in anticipation of further revisions and repeals.
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DeFi Analytics 2nd May 2025
This week's edition of our Crypto DeFi Analytics. Solana’s daily fees are now nearly triple Ethereum’s, while Beacon Chain activity remains flat with minimal deposits and withdrawals.
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Block Scholes x Bybit Crypto Derivatives April 25 2025
At the start of the week, Bitcoin began to show signs of decoupling from its relationship with US equities. However, following US president Donald Trump's positive comments regarding the US’s ongoing trade war with China (which saw tariffs of 145% imposed on Chinese goods entering the US), a relief rally has gripped markets across asset classes. In turn, BTC has once more been moving up alongside US equities. With that spot move, implied volatility at 7-day and 14-day tenors has jumped, and BTC’s put-call skew has recovered at short tenors, a sign that traders are indeed looking for upside exposure to the rally.
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DeFi Analytics 25th April 2025
This week's edition of our Crypto DeFi Analytics. Ethereum's daily fee generation rebounded this week from a monthly low of approximately $280K to over $1.1M, while Aave users experienced liquidations amid the crypto resurgence.
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DeFi Analytics 17th April 2025
This week's edition of our Crypto DeFi Analytics. The Beacon Chain continues to show a strong net outflow of validators while Solana widens its daily fee generation lead over Ethereum, with an over $1M difference.
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Block Scholes x Bybit March Volatility Review
Implied volatility continued to spike sharply in response to spot price moves, with repeated inversions in the term structure driven more by macro shocks than by pre-positioning ahead of known events. US president Donald Trump’s series of tariff announcements and walkbacks created whipsawing price action, with crypto volatility peaking after major policy moves — and collapsing just as quickly in periods of calm.
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Block Scholes x Bybit Crypto Derivatives April 9 2025
After initially holding firm following US president Donald Trump’s “Liberation Day” tariffs, crypto joined the global market sell-off as BTC dropped from $87K on Apr 2, 2025, down to a local bottom of $74K. Its term structure once again inverted before slightly abating, as we’ve often seen it do, and ETH’s term structure has remained at an already inverted state. Short-tenor BTC volatility smile skews reached a bias toward OTM puts, reflecting even more bearish sentiment than during the turmoil of the US banking crisis in Q1 2023. These levels of volatility have since dropped off, as Trump announced yet another pause on his tariff plan. This time, the reciprocal tariffs have been temporarily paused for 90 days (except for those on China), which has resulted in a dramatic spot price rally.
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DeFi Analytics 11th April 2025
This week's edition of our Crypto DeFi Analytics. April 7th saw Ethereum's daily fee generation more than double Solana's, liquidations spike on Aave and Compound and Bitcoin plunge from $83K to below $76K.
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Bybit Incident Postmortem
On Feb 21, 2025, Bybit, the world's second-largest cryptocurrency exchange by trading volume, suffered a major security incident that involved an exploit of one of its Ethereum cold wallets. In this report, we’ll provide a guided explanation of the immediate market impact of the security incident and subsequent recovery.
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Block Scholes x Bybit Crypto Derivatives April 6 2025
As markets finally approach the day of tariffs that US president Donald Trump has dubbed America’s “Liberation Day,” crypto continues its macro-sensitive spot volatility. That volatility has seen BTC drop from its $88K local high to $82K, as President Trump showed signs that his reciprocal tariffs would not spare any country, though notably, the tariffs do not apply to Russia or North Korea. Implied volatility has exploded and since eased. Other derivatives markets metrics show BTC and ETH volatility smile skews remain significantly skewed towards puts, though slightly higher than the recent levels reached, which were last seen in March 2023.
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DeFi Analytics 4th April 2025
This week's edition of our Crypto DeFi Analytics. Solana and Ethereum's daily fee generation shows an emerging cyclical trend, while Ethereum’s Beacon Chain has seen a steady rise in active validators since mid-March.
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DeFi Analytics 28th March 2025
This week's edition of our Crypto DeFi Analytics. Solana maintains its lead over Ethereum in daily fee generation, while blob gas drawdowns hint at easing demand from Layer 2s.
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Block Scholes x Bybit Ethereum’s Pectra upgrade and the market’s cautious reaction
Ethereum’s persistent underperformance relative to both BTC and competitor smart contract–enabled blockchains highlights the urgency behind the Pectra upgrade, which seeks to enhance network scalability, staking efficiency and user experience. Technical improvements in the form of Ethereum Improvement Proposals (EIPs), such as validator consolidation (EIP-7251) and streamlined withdrawal mechanisms (EIP-7002), address current structural inefficiencies, potentially attracting more staking participation, while adjustments to blob space (EIP-7691) further the incentives for increased Layer 2 adoption initiated by March 2024’s Dencun upgrade.
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One Last Inversion For March?
The week began with a relief rally but the risk-on appetite has proven to be short-lived. SPX and NDX extended their losses into a third consecutive day following Trump's auto tariffs and and the major 4 crypto assets have all fallen 3-6% on the day so far. BTC's term structure of volatility briefly inverted whilst ETH's term structure is currently flat. Separately, Intercontinental Exchange Inc. is partnering with Circle to explore the integration of the USDC stablecoin into ICE’s derivatives exchanges and clearinghouses.
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The Stablecoin Rush
Fidelity Investments and the State of Wyoming join Trump-backed World Liberty Financial in the race towards stablecoin issuance whilst GameStop Corp. announce plans to raise $1.3B via 0% Convertible Senior Notes in order to acquire Bitcoin. Risk-on assets fell once again after a brief reprieve earlier in the week and President Trump has announced a 25% tariff on all auto imports, beginning April 2.
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BTC, GME and WLF
BTC is trading close to its two-week high, though the move up in spot hasn't quite been matched by the same bullish momentum in derivatives markets. BTC's funding rate is close to 0% and both the term structure of volatility for BTC and ETH has continued to steepen as front-end expectations decline. In DeFi, World Liberty Financial has announced plans to launch its own dollar-backed stablecoin and Cboe has filed on behalf of Fidelity for a Solana ETF.
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Another Relief Rally?
Crypto and equities started the week with a rally, after a one-month long stretch of losses amidst signs that President Trump's "Liberation Day" tariffs may be narrower in focus than expected. BTC has benefitted from the boost in risk-sentiment, breaking past $88K briefly. While not turning strongly bullish, sentiment in derivatives markets has at least pulled away from the persistently bearish tilt it’s held over the last few weeks with futures yields rising particularly at short tenors and funding rates flipping positive.
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The Recovery Continues
The modest recovery of the crypto market continues as BTC currently trades at $87K amidst signs that President Trump's reciprocal tariff program may be more targeted and focused than previously expected. Front-end volatility for both BTC and ETH is close to their lowest levels of the month and BTC’s volatility smile looks to be shifting towards calls. ETH’s front-end skew levels have also ticked up, indicating some renewed demand for out-the-money call options relative to OTM puts.
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DeFi Analytics 21st March 2025
This week's edition of our Crypto DeFi Analytics. The trend of Solana’s daily fee generation outperforming Ethereum’s has re-emerged, while ETH’s hourly average gas fees burned per block remain minimal with no noticeable spikes in demand.
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Block Scholes x Bybit Crypto Derivatives March 21 2025
The broad-based decline in global asset prices was arrested this week, with crypto assets continuing their high correlation to US equities during a recovery. BTC is trading higher, above $85K, while ETH has recovered a key psychological level at $2K. Despite this, activity in derivatives markets has remained low. Funding rates for major tokens BTC, ETH and SOL have been consistently negative over this period. However, the demand for short-dated options, which was particularly strong in protection against further downside moves, has fallen alongside an end to the high level of realized volatility that has dominated markets over the past month.
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“Ending the last administration’s regulatory war on crypto”
President Trump’s two-minute video presentation at the Blockworks Digital Assets Summit disappointed market participants, with BTC falling from $86K down to $83K. With that move in spot, BTC’s term structure of volatility has steepened and at-the-money implied volatility for 7-day tenors is currently at its lowest since late February. Short-dated optionality once again expresses appetite for downside protection with volatility smiles for tenors less than 30 days tilted towards OTM puts. Separately, Pump.fun, a memecoin launchpad protocol, has launched its own decentralised exchange, PumpSwap, on Solana.
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"Transitory Inflation"
The Federal Reserve, as expected, left the federal funds rate unchanged at 4.25%-4.50%. The FOMC's revised SEP shows higher inflation at the end of 2025 and lower GDP growth from 2.1% to 1.7%. Chair Powell also expressed the FOMC's "base case" for tariff-induced inflation as "transitory" and announced a slowdown in the pace of quantitative tightening. Markets took the dovish delivery positively with BTC volatility smiles skewing towards calls at all tenors at BTC spot price rallied through $87K.
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Rates Hold, Inflation Pressures
The Bank of Japan has kept interest rates unchanged and the Fed is expected to follow suit—but uncertainty looms amid inflationary pressures and global trade risks. Institutional crypto adoption gains momentum as CME Group launches SOL futures. Meanwhile, MicroStrategy (MSTR) is offering 5 million shares of its 10% Series A Perpetual Strife Preferred stock to the public.
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Sideways Lull
BTC appears to be in a sideways lull since Friday around 20% below its all-time high, as the wider crypto market consolidates without a lack of new news to drive price action. That muted sentiment is reflected in derivatives markets too – while both BTC and ETH’s volatility term structures have re-inverted, they remain considerably compressed since last week’s highs. Additionally, although they are no longer trading below spot price, short-dated futures currently do not trade close to the spread above spot that they did during the run to $109K in January.
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DeFi Analytics 14th March 2025
This week's edition of our Crypto DeFi Analytics. Ethereum and Solana's daily fee generation are now more comparable, and overall down from last week. Aave liquidations surged on March 11, as ETH spot hit a new 2025 low.
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Volatility Review February 2025
While crypto volatility in February 2025 was bookended by two incredibly choppy periods, the middle of the month saw BTC trade with a realized volatility level of just 29%. This level has marked the floor of BTC’s realized volatility over the past 18 months, with reversions to the mean occurring shortly after. Despite a significant drop-off in volatility expectations when the market digested the details of US president Donald Trump’s plan for a strategic crypto-asset stockpile, volatility expectations have once again rallied for short-dated options. This has resulted in a return to the inverted term structure of volatility that BTC and ETH options had traded with at the end of February.
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Crypto Markets Daily Mar 14 2025
The increasing worries surrounding an ever-evolving program of tariffs by President Trump continues to weigh on risk-on sentiment for US equities. The latest episode involves a potential 200% tariff on EU wine and alcohol products. The S&P 500 has officially joined the NDX in entering a technical correction, though crypto-assets on the other hand have slowly moved up through yesterday evening into today.
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Crypto Markets Daily Mar 13 2025
US equities felt some reprieve yesterday with a softer-than-expected CPI print which also saw BTC slowly move upwards to $84K. Its term structure of implied volatility has compressed almost into a flat structure, however ETH’s term structure of volatility is still inverted. Skew levels for ETH at all tenors excluding the 7-day have lost some of their bias towards puts as its spot price continues to trade sideways since the beginning of the week, though only the 180-day tenor option assigns a call-premium. Canada announced some further "dollar for dollar" retaliatory tariffs.
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Crypto Markets Daily Mar 12 2025
President Trump walks back yet another tariff threat, this time on raising steel and aluminium levies on Canada to 50%. Additionally, the President has downplayed recession risks stating the US economy is "going to boom", with yesterday's JOLTS report adding some aid to that narrative. BTC is currently experiencing a relief rally, though derivatives markets remain less bullish -- volatility smile skews are still towards puts for all tenors below three months, futures prices trade below spot for the first time since the November election, and perpetual swap funding rates have turned negative.
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Crypto Markets Daily Mar 11 2025
The three-week long US equities sell-off deepened even further yesterday with the S&P 500 posting its largest single-day loss since December 2024 and the Nasdaq-100 entering a correction zone. That widespread de-risking saw BTC fall to $78K, whilst treasuries rallied. BTC and ETH’s term structures remain inverted, with skew for all tenors below 90 days significantly put-skewed.
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DeFi Analytics 7th March 2025
This week's edition of our Crypto DeFi Analytics. Ethereum and Solana's daily fee generation remains low. Arbitrum's hourly volume spiked to nearly $450M after Trump's bullish post about a potential US crypto reserve triggered a market rally.
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Block Scholes x Bybit Crypto Derivatives March 5th 2025
Crypto price action continues to be driven by US President Trump’s policies. Several SEC cases against crypto-native firms have been dropped over the past month, positive news for the industry that was followed up by Trump’s weekend announcement of the inclusion of BTC, ETH, XRP, SOL and ADA in a US strategic reserve.
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Crypto Markets Daily Mar 7 2025
The much anticipated Strategic Bitcoin Reserve was formally signed in an Executive Order by President Trump, though the overall market reaction has been one of disappointment, with BTC falling over 5% on the news, before paring some losses back. Derivatives markets reflect that disappoint too. Implied volatility at the front-end for BTC has dropped sharply by over 10 points and BTC perpetual futures funding rates have also dropped negative.
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Crypto Markets Daily Mar 6 2025
BTC continues its recovery amidst a wider breath of relief from risk-on assets as Trump exempts automakers from his recent tariffs for one month. The term structure of volatility for both BTC and ETH is still inverted, though skew for short tenor BTC options is now positioned closer to neutral. Euro-area bond yields have rallied significantly amidst increased EU fiscal spending.
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Crypto Markets Daily Mar 5 2025
BTC rebounded from $82K to $89K (+6%), coinciding with a 0.88% rise in SPX futures post-close, after Commerce Secretary Lutnick suggested Trump may reconsider tariffs on Canada & Mexico. Markets fell sharply - SPX dropped 1% to its lowest post-election level, while 2-year Treasury yields declined 11bps. Fed rate cut expectations have risen, with three cuts now priced in for 2025.
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Crypto Markets Daily Mar 4 2025
President Trump's 25% tariffs on Canada and Mexico and doubled levies on China weighed heavily on risk-on sentiment across the board, with BTC down 9% on the day. ETH has completely erased its Sunday gains following the Strategic Reserve announcement and both majors' currently have an even steeper implied volatility term structure. ISM Manufacturing data disappointed and the Atlanta Fed's GDPNow forecast has fallen even lower.
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Crypto Markets Daily Mar 3 2025
President Trump's announcement for a Strategic Crypto Reserve containing BTC, ETH, XRP, SOL and ADA has partly reversed the price slump of February. BTC and ETH's implied volatility term structures once again inverted and BTC's short-tenor options are skewed towards puts. The Atlanta Fed's GDPNow model currently predicts a 1.5% annualised decline in GDP growth for Q1 2025.
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DeFi Analytics 28th February 2025
This week's edition of our Crypto DeFi Analytics. Ethereum and Solana saw their lowest daily fee generations this month and aggregate liquidations across Aave & Compound remain surprisingly low.
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Block Scholes x Bybit Crypto Derivatives February 28th 2025
Macro headwinds are once again in the driver’s seat for crypto, as a sell-off that began over the weekend has deepened throughout the early part of this week. Following a period of dismal sideways price action, BTC, ETH and almost all altcoins have followed the lower trajectory of equities, gold and treasury yields. Derivatives markets, however, only began to show signs of significant bearish sentiment and a material increase in volatility expectations on Wednesday afternoon as the selloff deepened.
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Crypto Markets Daily Feb 28 2025
Bitcoin's selloff intensified during the opening of Asian equity trading hours, reaching an intra-day low of $78.5K. The deepened correction has resulted in BTC and ETH's implied volatility term structures to invert more significantly, with BTC 7-day tenor ATM volatility almost matching levels during the early February inversion. President Trump gave the greenlight for Mexico, Canada and China tariffs from March 4. Separately, there are multiple new developments in DeFi.
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Crypto Markets Daily Feb 27 2025
BTC and ETH's implied volatility term structures have once again inverted as front-end vol lagged a limp rebound in spot prices during early Asian trading hours. Spot Bitcoin ETFs continue their onslaught of selling, recording the highest single day of outflows earlier in the week. President Trump further added to market uncertainty yesterday as he gave mixed messages regarding his tariff implementations on Mexico and Canada.
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Crypto Markets Daily Feb 26 2025
The Conference Board's recent survey showed consumer confidence in February saw the largest single-month fall since August 2021. The 10Y US yield dropped to its lowest level year-to-date following the release and markets are now fully pricing in two rate cuts over the course of 2025. ETH's implied volatility term structure has flattened from its inversion yesterday and is currently up 4% today. The SEC has officially acknowledged Greyscale's Cardano (ADA) ETF filing.
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Crypto Markets Daily Feb 25 2025
BTC and the wider crypto market has been steadily falling driven by a confluence of factors. That fall was amplified further by President Trump confirming his tariffs on Mexico and Canada “are going forward, on time”. ETH is down 10% on the day and its volatility term structure has notably inverted.
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Bybit ETH Hack
Bybit was hacked for $1.46 billion in Ethereum and staking derivatives, allegedly by the Lazarus Group. The attack involved a phishing-style manipulation of a routine multisig cold wallet transaction rather than a flaw in the Ethereum network itself. While some stolen funds were swapped into Bitcoin and Tether froze 181K USDT, the market impact on ETH was minimal given the asset’s large trading volume.
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Block Scholes x Bybit Crypto Derivatives February 21st 2025
Driven by fewer macroeconomic releases than in the first month of 2025, crypto’s lower-volatility environment has resulted in a sideways slog in spot prices. This has in turn had the expected impact on derivatives markets: lower implied volatility pricing, a steepening term structure and nearly unchanged levels of open interest across all instruments. ETH options markets, however, continue to price in a continuation of its more volatile spot price moves. As we’ve seen in previous instances, this sideways spot price movement includes an underperformance in altcoins, expressed most obviously in derivatives markets as a disappointing funding rate.
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DeFi Analytics 21st February 2025
This week's edition of our Crypto DeFi Analytics. Feb 17th saw Ethereum's fee generation outperform Solana's for the day with gas fees burnt per block spiking. Liquidations across Aave and Compound spike on the same date, coinciding with the brief ETH spot rally.
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Crypto Markets Daily Feb 21 2025
At-the-money volatility for BTC and ETH continue to drop across all tenors, with ETH 7-day tenor options maintaining a 50% volatility premium. Core inflation in Japan rose to its highest since June 2023, increasing the expectation for a BOJ rate hike, and growth in Europe remains sluggish. There are multiple new developments in DeFi including Franklin Templeton's new Bitcoin and Ethereum ETF.
Free
PREMIUM
Institutional
Crypto Markets Daily Feb 20 2025
BTC and ETH both move sideways at +0.7% and +1.5% (24hrs) respectively. Derivatives markets reflect this, with ETH’s volatility term structure flattening after a mild inversion, while BTC’s remains steep.
Free
PREMIUM
Institutional
Crypto Markets Daily Feb 19 2025
BTC and ETH both move sideways at +0.7% and +1.5% (24hrs) respectively. Derivatives markets reflect this, with ETH’s volatility term structure flattening after a mild inversion, while BTC’s remains steep.
Free
PREMIUM
Institutional
Crypto Markets Daily Feb 18 2025
SOL is down 8% on the day, coinciding with the 90% drawdown in the Solana based LIBRA memecoin token. ETH on the other hand, rallied 8% yesterday before paring its gains back, resulting in an inverted at-the-money implied volatility term structure.
Free
PREMIUM
Institutional
Crypto Markets Daily Feb 17 2025
Binance Smart Chain is making a comeback, with Pancake Swap processing $1T in cumulative trading volume. Abu Dhabi sovereign wealth fund Mubadala Investment Company purchased $436.9M of BlackRock's IBIT ETF in Q4 2024 and GameStop is also considering purchasing Bitcoin with its $4.6B cash reserve. The President of Argentina is facing impeachment threats following his endorsement for the LIBRA token which has lost 90% of its market-cap.
Free
PREMIUM
Institutional
DeFi Analytics 14th February 2025
This week's edition of our Crypto DeFi Analytics. Solana' continues to outperform Ethereum in fee generation. Hourly Average Cost to Transfer ETH (21,000 Gas) drops to the lowest levels seen this month and liquidations across Aave and Compound are negligible.