Crypto Derivatives 27 May 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.

Since breaking to new all-time highs last week on the back of advancements in the regulatory landscape (particularly for crypto stablecoins) BTC has since traded within a range of $111K (the new record high) and $107K. Despite spot price being unable to hold the new high for long, derivatives markets remain optimistic – all three measures of directional sentiment, although less bullish than in the run up to $111K, remain positive. Short-tenor volatility smile skews are tilted towards OTM calls by as much as 5%, funding rates are still positive and the futures yield for the 1-month tenor remains above 7%. ETH derivatives markets carry less of that optimism – perp funding rates are currently sub-zero, and ETH volatility smile skews are less skewed towards call options, though not yet tilted towards puts.

ATM Implied Volatility, 1-Month Tenor

F1 OKX Currency-Combined-1M-ATM-VOL-ETH

BTC Options

F2 BTC SVI Vol term structure

BTC SVI ATM Implied Volatility

F3 OKX BTC SVI ATM volatility

Short-term vol expectations dropped following the ATH, and rose again on US-EU tariff talks on Sunday May 25.

BTC 25-Delta Risk Reversal

F4 OKX BTC SVI PC skew

Short-tenor smiles still favour OTM calls, though to a lesser extent than when BTC first broke January’s $109K high.

ETH Options

F5 ETH SVI Vol term structure

ETH SVI ATM Implied Volatility

F6 OKX ETH SVI ATM volatility

Short tenor options carry a 4 point vol premium to longer-tenor options, compared to BTC’s steeper slope.

ETH 25-Delta Risk Reversal

F7 OKX ETH SVI PC skew

ETH’s skew is far below its May high, when spot rallied over 50% in a single-week, but 7-day options skewed towards OTM calls by more than 4%.

Market Composite Volatility Surface

F8 okx snap BTC SMILES.moneyness
F9 okx snap ETH SMILES.moneyness

Listed Expiry Volatility Smiles

F10 BTC BTC-27JUN25 Listed Expiry
F11 ETH ETH-27JUN25 Listed Expiry

Constant Maturity Volatility Smiles

F12 BTC-SVI Constant Maturity
F13 ETH-SVI Constant Maturity

The information provided in this document by Block Scholes Ltd is for informational purposes only and does not necessarily represent the views of OKX. Any additional disclaimers issued by these third parties are also applicable and should be considered as part of this document.

This report is not intended as financial advice, investment recommendation, or an endorsement of specific trading strategies. The contents of this report, including but not limited to any graphs, charts, and numerical data, are provided “as is” without warranty of any kind, express or implied. The warranties disclaimed include but are not limited to performance, merchantability, fitness for a particular purpose, accuracy, omissions, completeness, currentness, and delays.

The cryptocurrency markets are highly volatile and unpredictable, subject to substantial market risks including significant price fluctuations. The strategies, opinions, and analyses included are based on information available at the time of writing and may change without notice. They are also based on certain assumptions and historical data that may not be accurate or applicable in the future. Therefore, reliance on this report for the purpose of making investment decisions is at your own risk.

Past performance is not indicative of future results. While we strive to provide accurate and timely information, we cannot guarantee the accuracy or completeness of any data or information contained in this report. We are not responsible for any losses or damages arising from the use of this report, including but not limited to, lost profits or investment losses.

Investors should conduct their own research and consult with a qualified financial advisor before making any investment decisions. The inclusion of any specific cryptocurrencies or trading strategies does not constitute an endorsement or recommendation by OKX.

Disclaimer
This content is provided for informational purposes only and may cover products that are not available in your region. It is not intended to provide (i) investment advice or an investment recommendation; (ii) an offer or solicitation to buy, sell, or hold crypto/digital assets, or (iii) financial, accounting, legal, or tax advice. Crypto/digital asset holdings, including stablecoins, involve a high degree of risk and can fluctuate greatly. You should carefully consider whether trading or holding crypto/digital assets is suitable for you in light of your financial condition. Please consult your legal/tax/investment professional for questions about your specific circumstances. Information (including market data and statistical information, if any) appearing in this post is for general information purposes only. While all reasonable care has been taken in preparing this data and graphs, no responsibility or liability is accepted for any errors of fact or omission expressed herein.

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