Crypto Derivatives 26 March 2025

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

BTC spot has stabilised within the $86K to $89K range this week after several weeks of downward moves correlated to US equities. The arrested downward momentum is evident in derivatives markets which remain reactive to spot action, rather than looking ahead to upcoming drivers. Futures yields have halted their downward trend, funding rates are not quite as negative as they have been, and short-dated volatility smiles are skewed less strongly towards OTM puts. However, ETH retains its volatility premium over BTC, having barely managed to hold onto the psychological level of $2K over the same period.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

Implied volatility levels have fallen back towards their lowest levels since late February.

BTC 25-Delta Risk Reversal

BTC’s skew briefly traded positive, in favour of OTM calls, before reversing direction after spot slips back below $85K.

ETH Options

ETH SVI ATM Implied Volatility

Volatility levels continue to leak lower across the term structure.

ETH 25-Delta Risk Reversal

Short-tenor volatility smile skews have still not fully recovered from their skew towards OTM puts.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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