Last Updated:

June 5, 2024

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8 min read

Crypto Derivatives 4th June 24

With few macro and crypto-specific events on the immediate horizon, volatility has largely continued to trade sideways in both majors over the past week as spot prices trade near range highs of $68.9K and $3.8K. The vol smile skew for BTC and ETH at short-dated tenors has increased from previous neutral levels, as implied vol for OTM puts has fallen. Over the past month, demand for leveraged long exposure in both majors has increased as futures yields have risen consistently, indicating that investors are willing to pay a premium above spot price in order to gain exposure to the underlying asset. Over a shorter lookback period of a few days, yields at short-dated tenors have fallen in both majors, although the long term trend remains intact.

Crypto

Derivatives

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

Yields at short-dated tenors increased steadily, before spiking, and then falling, as BTC trades at range highs.

ETH Annualised Yields

Yields at short-dated tenors has mostly traded above longer-dated tenors following the announcement of an ETH ETF.

Perpetual Swap Funding Rates

BTC Funding Rate

Continued to trade positively over the past week as BTC spot price remains at range highs, although the volatility with which it traded towards the end of May has subdued.

ETH Funding Rate

Trades close to zero, at similar levels to BTC, indicating that investors are not currently opening heavily leveraged long positions.

BTC Options

BTC SVI ATM Implied Volatility

Vol at the front-end has increased from May’s monthly lows as BTC continues to trade at the top of its range.

BTC 25-Delta Risk Reversal

Skew at short-dated tenors has recovered from bearish levels as implied vol for OTM puts fell over the past week.

ETH Options

ETH SVI ATM Implied Volatility

Vol across the term structure has traded sideways following a muted reaction to the news of an ETH ETF.

ETH 25-Delta Risk Reversal

Trades higher at short-dated tenors as implied vol for OTM puts falls, and is skewed towards calls at all tenors.

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

ETH, 1-Month Tenor, SVI Calibration

Put-Call Skew by Exchange

BTC, 1-Month Tenor, 25-Delta SVI Calibration

ETH, 1-Month Tenor, 25-Delta SVI Calibration

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Cross-Exchange Volatility Smiles

Constant Maturity Volatility Smiles

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Andrew Melville

Research Analyst

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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.

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.

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.

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.

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.

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).

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

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.

Crypto Markets Daily Feb 19 2025

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.

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.

Bybit x Block Scholes: The Altcoin Rotation: Why and When Altcoins Outperform Bitcoin

The elusive "altseason" phenomenon—when altcoins historically outshine Bitcoin in market cycles is one of the most anticipated moments in all historical crypto cycles. Unlike past booms, 2024 has bucked the trend, with BTC holding strong while altcoins struggle to steal the spotlight. Ethereum’s underperformance, institutional dominance via ETFs, and a pre-halving all-time-high rally may have disrupted the usual capital rotation. Yet, increasing stablecoin supply, supply-demand factors and memecoin speculation hint that a belated altseason-like frenzy could still be ignited — if the right spark catches fire.

Crypto Markets Daily Feb 10 2025

China confirmed its retaliatory tariffs on U.S. imports including 15% levies on liquid natural gas and coal. President Trump announced some more tariffs of his own too, which coincided with a temporarily pullback in BTC's spot price. CPI in China rose more than expected, though seasonal factors likely skewed the data.

President Trump's long awaited tariff program has caused a knee-jerk reaction in crypto markets which have led the risk-off move. BTC temporarily crashed to $91K with both BTC and ETH's term structures inverting. ETH perp funding rates have dropped to -0.07%, and a basket of the Trump Trade altcoins have posted double digit losses.

DeFi Analytics 31st January 2025

This week's edition of our Crypto DeFi Analytics. Solana continues to cement its year-to-date dominance in fee generation compared to Ethereum with a notable divergence. Ethereum's blob gas usage remains stable and Uniswap V3 sets a new January high for transaction count.

BTC fell to $97K amidst a wider Trad-Fi decline. Skew levels have now dropped towards OTM puts for short-tenors with funding rate close to 0%. China's DeepSeek LLM is causing concerns about U.S. tech stock valuations. Looking ahead, the Fed and the ECB are meeting through the week amongst a slew of macro data including U.S. GDP and PCE inflation.

DeFi Analytics 24th January 2025

This week's edition of our Crypto DeFi Analytics. Trump's inauguration week made it's mark on DeFi metrics. With the official launch of $TRUMP and $MELANIA, exclusively on the Solana network, Solana saw a spike of approximately $31M fees generated in one day. Ethereum saw a similar increase in network demand on Jan 19, reflected by a spike of gas fees pricing. Uniswap v3 paints a similar picture of increased transaction count and blob gas usage remains steady around 400k.

Block Scholes x Bybit Crypto Derivatives January 24th 2025

Trump’s inauguration on Jan 20, 2025 was preceded by the launch of two Trump family meme coins, TRUMP and MELANIA, which quickly amassed billions of dollars in market capitalization. However, the rumors that a strategic Bitcoin reserve would be among the flurry of executive orders signed by Trump on day one of his administration are what saw derivatives markets positioning shift strongly toward a bullish outcome — inverting the term structure of volatility, raising funding rates levied on long positions and tilting short-tenor volatility smiles toward calls. When that bullish outcome wasn’t delivered, implied volatility levels fell, despite a pickup in realized volatility. However, the bullish skew toward OTM calls remained.

DeFi Analytics 10th January 2025

This week's edition of our Crypto DeFi Analytics. Ethereum network activity surged early in January, with gas fees spiking before stabilizing at lower levels, while blob gas usage remained steady around 400k. Excess blob gas saw a sharp drawdown this week but quickly rebounded, reflecting sustained activity on the network. Uniswap V3 continues to sustain trading activity amid a volatile market.

Block Scholes x Bybit Crypto Derivatives January 10th 2025

Bitcoin's brief climb above $100K to start the year quickly faltered as economic data cast doubt on sustained U.S. interest rate cuts, fueling inflation concerns and weighing on risk assets. Derivatives sentiment failed to support the 100k move and realized volatility collapsed amid lower trade volumes, even as open interest levels held steady. Despite the steep volatility term structure, shorter-term implied volatility is still trading at a significantly higher level than the level of realized volatility. End of December 2024 marks the largest premium of forward-looking volatility since the U.S. elections, despite no clear event risk.

Volatility Review December 2024

Despite the largest single-day expiration events on Dec 27, 2024, the volatility of BTC, ETH and SOL spot prices has been decreasing, rather than spiking, defying expectations of a volatile event driven by a delta-hedging unwind. In our December review, we cover why this was the case, highlighting that only $65.53M of the $350M BTC options expired in-the-money (ITM), including calls with strikes far above the spot price and puts below it.

DeFi Analytics 3rd January 2025

This week's edition of our Crypto DeFi Analytics. Ethereum gas fees spiked to $5 as demand rebounded post-holidays. Excess blob gas dipped slightly but recovered to 55M as Layer 2 activity resumed. Uniswap V3 also saw a holiday trading slowdown, now stabilising.

Block Scholes x Bybit Crypto Derivatives January 3rd 2025

Far from the explosion in volatility expected by some commentators, December’s end-of-year options expiration event has resulted in a collapse in realized volatility levels back to the bottom of their December range. Perpetual swap open interest levels remained consistent throughout the event, suggesting that perp markets weren’t used to hedge a significant proportion of the delta of the expired options contrasts, perhaps explaining the lack of volatility that materialized as they expired.

DeFi Analytics 20th December 2024

This week's edition of our Crypto DeFi Analytics. We highlight the stabilisation of gas fees on Ethereum's network with no significant spikes in demand. Meanwhile, blob gas usage remains elevated at 400k, revealing ongoing and sustained Layer 2 demand for data uploads. An insight into DeFi activity is marked by Uniswap V3 transaction volume on Arbitrum and liquidation activities across Aave and Compound.

Block Scholes x Bybit Crypto Derivatives December 18th

BTC’s spot price has recorded yet another all-time high, but unlike previous records this quarter, derivatives markets haven’t reflected the same leveraged bullish positioning. This is likely a result of the reset in leverage earlier last week, which has seen funding rates return to “normal” levels across the board, a letup in the growth of futures yields and a slightly less exuberant skew toward calls in options.

DeFi Analytics 13th December 2024

This week's edition of our Crypto DeFi Analytics. We highlight Ethereum's increased network demand and the change in hourly average gas fees burnt per block and excess blob gas fees associated with this. An insight into DeFi activity is marked by Uniswap V3 transaction volume on Arbitrum and liquidation activities across Aave and Compound.

Block Scholes x Bybit Crypto Derivatives December 12th

BTC and ETH’s oscillating spot levels over the last week below psychological price targets have left their mark on derivatives markets. A pullback in spot price was exacerbated by a spate of liquidations of over-leveraged long positions in perpetual swaps markets. The aftermath sees a fall in open interest in the instruments, particularly in ETH markets, and a reset of previously overheated funding rates to much lower (but still positive) levels across the board.

DeFi Analytics 6th December 2024

This week's edition of our Crypto DeFi Analytics. We highlight Ethereum's surging network activity: burnt gas fees neared 2 ETH per block alongside transfer costs peaking at $10 amid a growing ETH spot price. Excess blob gas remained elevated, exceeding 70M- a factor of consideration for Layer 2s. An insight into DeFi activity is marked by Uniswap V3 transaction volume on Arbitrum and liquidation activities across Aave and Compound.

Block Scholes x Bybit Crypto Derivatives December 5th

Following several repeated attempts, BTC has finally breached its $100K price target. The effect on derivatives markets is a clear increase in bullish positioning on top of the resilient positive sentiment that we had commented on in the build-up to the move. Perpetual swaps and futures markets reflect a persistent desire for further upside exposure. Short-tenor implied volatility, which has repeatedly inverted the term structure in tandem with spot price rallies, has risen once again as traders rush for exposure to the rally through options.

Volatility Review November 2024

November’s turbulent spot price movements had a pronounced impact on derivatives markets, highlighting notable trends in crypto volatility. The term structure of at-the-money implied volatility became a focal point in the weeks leading up to the election on November 5, 2024, as short-term implied volatility surged to levels approximately 25 percentage points higher than post-election expirations. This spike, coupled with bullish positioning observed in perpetual swaps and futures markets, underscored a strong demand for optionality at expirations near the election date, reflecting traders’ singular focus on the event's outcome. In the two weeks following the election, the term structure continued to oscillate between inversion and steepness, signaling a highly responsive market that rapidly adjusted to shifting sentiment and evolving conditions.

Futures Implied Yield, 1-Month Tenor

ATM Implied Volatility, 1-Month Tenor

Futures

BTC Annualised Yields

ETH Annualised Yields

Perpetual Swap Funding Rates

BTC Funding Rate

ETH Funding Rate

BTC Options

BTC SVI ATM Implied Volatility

BTC 25-Delta Risk Reversal

ETH Options

ETH SVI ATM Implied Volatility

ETH 25-Delta Risk Reversal

Volatility by Exchange

BTC, 1-Month Tenor, SVI Calibration

ETH, 1-Month Tenor, SVI Calibration

Put-Call Skew by Exchange

BTC, 1-Month Tenor, 25-Delta SVI Calibration

ETH, 1-Month Tenor, 25-Delta SVI Calibration

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Cross-Exchange Volatility Smiles

Constant Maturity Volatility Smiles

Table of contents

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