Block Scholes x Bybit Crypto Derivatives May 28 2025

Key insights

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.

Perpetuals: Open interest remains at a strong high across tokens, despite the pullback from Bitcoin’s all-time high notched on May 22, 2025.

Options: A fall in realized volatility has caused a flattening in ETH’s term structure and a steepening in BTC’s as short-dated volatility expectations react. Volatility smiles for both tokens are bullishly skewed toward calls.

Block Scholes BTC Senti-Meter Index

Block Scholes ETH Senti-Meter Index

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Block Scholes’s Senti-Meter Index aggregates the funding rate, future-implied yield and volatility smile skew into a single expression of sentiment in derivatives markets. See more in the methodology article here.

Macro, tech & regs

Macro calendar & recent events

• Euro Area consumer confidence and economic sentiment — May 27, 2025 — The consumer confidence reading remained unchanged at –15.2, matching expectations, and the economic sentiment index came in at 94.8 (above the forecast of 94.1).

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• FOMC meeting minutes (March) — May 28, 2025 — Minutes from the Federal Open Market Committee’s March meeting were released.

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• US Q1 GDP revision — May 29, 2025 — The revised annualized GDP growth estimate for Q1 is expected to remain at –0.3%.

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• Initial jobless claims — May 29, 2025 — Jobless claims for the week ending May 24 are expected to be 230,000, up from 227,000 the prior week.

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• US PCE inflation (YoY) — May 30, 2025 — April PCE inflation is expected to ease to 2.2% year-on-year from 2.3%, with core PCE easing to 2.5% from 2.6%.

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• Japan Retail Sales (YoY & MoM) — May 30, 2025 — April retail sales are expected to rise 0.5% month-on-month, up from –1.2%, while year-on-year growth has slowed to 3.0% from 3.1%.

US equities and BTC — After a dislocation in their previously linear relationship on Apr 2, 2025, BTC and US equities have resumed rallying together in May.

Trending news

• Trump Media and Technology Group Corp. (DJT) has officially signed deals with approximately 50 institutional investors to raise $2.5B via common stock and zero-coupon convertible notes for the creation of a Bitcoin treasury.
• Circle, the issuer of USDC stablecoin, has applied for an IPO on the New York Stock Exchange under the ticker symbol “CRCL,” targeting a valuation of approximately $5.65B and correlating to a share price projection of approximately $24–$26.

Open interest grows with spot prices

Key insights

BTC’s May 22, 2025 all-time high of $111.97K led the entire crypto market higher. That was reflected in corresponding growth in the open interest of perpetual swaps, which saw growth supported by a wide base of tokens. This suggests that, as we’re used in crypto markets, much of the open interest in perpetuals has been opened by those seeking long exposure to the rally, a fact echoed by the persistently positive funding rates recorded for each of these tokens over the same period. BTC contracts continue to dominate the market, accounting for more than $6B of open interest alone. However, sideways spot price action since notching that most recent all-time high has left its mark on daily trade volumes, which have been more than half of the $26B high recorded on May 21, 2025, the day before the all-time high.

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BYBIT PERP OPEN INTEREST — Open interest reached a new peak of $11.1B in the same week that BTC spot price recorded its own all-time high.

BYBIT PERP TRADING VOLUMES — Daily trading volume remained far lower during the days of sideways spot price action that followed BTC’s all-time high price on May 22.

Persistently positive perps pale

Since May 19, 2025 (the beginning of the rally toward BTC’s most recent all-time high), funding rates across all coins were positive, indicating a strong willingness to pay for leveraged long exposure to the rally. This wasn’t just seen in BTC’s perpetual swap markets, but across all tokens, as the entire market was lifted during the rally. That regime of nearly nonstop positive rates persisted until May 28, 2025, when BTC slid from $109K to $107K, and BTC funding rates turned negative for the first time since May 15, 2025. While the funding rates of other coins have moderated, they haven’t yet reflected the same flip to negative as BTC’s.

BTC options

Key insights

BTC’s most recent charge to an all-time high has been marked by a surprisingly low level of volatility, both realized in spot returns and implied by options prices. Short-dated volatility expectations have collapsed once more, strongly steepening a term structure that had already refused to invert to the same degree as ETH’s, despite BTC spot pushing to new highs while ETH remains close to 40% below its $4.6K all-time high. Also in contrast with ETH’s markets, BTC put options have recorded higher daily trade volume (peaking at $250M on May 21, 2025) and higher open interest when measured relative to call options. However, while lower than that assigned to ETH’s upside, BTC’s options markets continue to price OTM call options at a premium across the term structure.

BYBIT BTC OPTIONS VOLUMES

BYBIT BTC OPTIONS OPEN INTEREST

BTC’s volatility comeback hasn’t lasted

BYBIT BTC ATM TERM STRUCTURE — Volatility expectations have fallen across the term structure as front-end volatility edges closer toward 33%, its lowest level since June 2024.

BYBIT BTC SVI ATM IMPLIED VOLATILITY — As BTC’s spot price remains in all-time-high territory, volatility expectations have diverged between shorter and longer tenors.

BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Expectations for both realized volatility and 30-day implied volatility have realigned as BTC’s spot price continues to move sideways around $109K.

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ETH options

Key insights

After a catch-up rally of over 40% at the beginning of May, ETH has traded sideways in tandem with the rest of the crypto market. With that drop in realized volatility, the strong premium that options markets had previously assigned to short-dated optionality has dissipated, and the term structure of at-the-money implied volatility has returned to a far flatter shape, with implied volatility at all tenors trading lower within a tight 64–67% range. 

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Reflecting a similar phenomenon in perpetual swaps markets, daily trade volumes have been remarkably lower toward the end of the month in both bullish call options and bearish put options, with little change in the open interest of either contract.

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BYBIT ETH OPTIONS VOLUMES

BYBIT ETH OPTIONS OPEN INTEREST

Inversion correction

BYBIT ETH VOLATILITY TERM STRUCTURE — ETH’s term structure has disinverted, as all tenors are trading within a 64–67% range.

BYBIT ETH SVI ATM IMPLIED VOLATILITY — Volatility levels across all tenors have converged, with a tight spread around 68% as the term structure disinverts.

BYBIT ETH IMPLIED AND REALIZED VOLATILITY — Thirty-day implied volatility is relatively range-bound, despite a continued drop in realized volatility from its May highs.

SOL options

SOL retreated quickly from the local high that it recorded on May 22, 2025 (at the time of BTC’s most recent all-time high), falling 10% to $169. Its options markets have priced in a lower level of volatility across the term structure in response to a fall in realized volatility, which had previously remained elevated since early May. However, the term structure of at-the-money implied volatility remains inverted, with short-dated options trading at an implied volatility premium to longer-dated options. This creates an unusually shaped implied volatility term structure curve, as it’s rare for short-term volatility expectations to remain elevated at the same time as a drop in volatility.

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Still inverted during a fall in volatility

BYBIT SOL VOLATILITY TERM STRUCTURE — The term structure remains inverted at a lower level, as realized volatility fell at the beginning of the week.

BYBIT SOL SVI ATM IMPLIED VOLATILITY — While implied volatility levels have begun to fall, short-dated optionality is trading at a premium to longer-dated expirations.

BYBIT SOL IMPLIED AND REALIZED VOLATILITY — SOL realized volatility has trended downward over the past two days after a period of elevated choppiness.

ETH Skew Signals Optimism

Key insights

After a brief fall in short-tenor expectations toward bearish put/skewed volatility smiles for both BTC and ETH, outlooks have since recovered as BTC spot has traded mostly sideways just below its all-time-high. Each tenor’s BTC smile is skewed between 2–3% in favor of calls, with a stronger tilt at the 7-day tenor. Meanwhile, ETH options have shown a more decisive recovery in expectations following the initial rally, with volatility smiles at all tenors shorter than 90 days now reporting a 4% premium of 25-delta out-the-money calls relative to 25-delta out-the-money puts. Both markets reflect similar bullish sentiment in perpetual swap funding rates as well as futures-implied yields, indicating that traders are willing to pay a premium to bet on continued bullish momentum

Volatility by exchange

BTC, 1-MONTH TENOR, SVI CALIBRATION

ETH, 1-MONTH TENOR, SVI CALIBRATION

Bybit volatility surface

Constant maturity smile

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.

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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.

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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.

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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.

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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.

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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.