Andrew Melville
Research Analyst
Last Updated:
January 24, 2025
•
8 min read
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.
Key Insights
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.
Perpetuals: A consistently high funding rate applied to almost all markets has persisted beyond the inauguration event.
Options: Realized volatility spiked toward post-election highs, despite a fall in implied volatility levels, as a result of an overestimated inauguration day for crypto. Positioning remains bullishly tilted at all tenors.
Block Scholes BTC Senti-Meter Index
Block Scholes ETH Senti-Meter Index
Block Scholes’ 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
- China GDP — Jan 17, 2025 — Annualized Q4 GDP in China was 5.4%, pushing the country to meet its 5% yearly GDP target, evidence that fiscal and monetary stimulus in are showing early signs of positive transmission.
- President Trump Inauguration Speech — Jan 21, 2025 — President Trump fell short of announcing any tariffs during his inauguration speech, which brought temporary relief for various foreign currencies, such as the euro, CNY and GBP, against the dollar.
- Japan CPI — Jan 23, 2025 — CPI in Japan is expected to have ticked up from 2.7% in November 2024 to 3% in December 2024, year-over-year.
- Bank of Japan (BoJ) Interest Rate Decision — Jan 24, 2025 — The BoJ is likely to raise interest rates by 25 bps from its current rate of 0.25%, with current market expectations at 97%. This will be the first hike since July 2024, when the BoJ announced the move unexpectedly and rattled markets amid a shakier U.S. jobs market backdrop as well.
- S&P Flash PMI January — Jan 24, 2025 — The first set of flash Purchasing Manager Index (PMI) data for 2025 will be released for the U.S., U.K., eurozone and other major regions. This will capture the economic conditions in each of these regions since the New Year.
BTC New ATH — BTC rallied to a new high of $109K, alongside a rally in Polymarket-implied odds that “Trump [will] create a Bitcoin reserve within his first 100 days.”
Trending News
- The SEC has announced a new cryptocurrency-dedicated task force, intended to “set the SEC on a sensible regulatory path that respects the bounds of the law” when it comes to regulating digital assets.
- President Trump and First Lady Melania Trump both launched their crypto tokens, $TRUMP and $MELANIA, with the $TRUMP token reaching an all-time high of $73 and currently trading at $42.
Solana Activity Spikes Following $TRUMP Launch
The inauguration weekend saw the highest perpetual swap trade volumes in over a month, as traders took positions ahead of an anticipated slew of crypto-positive executive orders. However, it was SOLUSDT perps that enjoyed a particularly large increase in activity, as the token recorded new all-time highs (as well as a significant spike in its realized volatility). Trump’s launch of a meme coin ($TRUMP) in the days before the event on Solana DEXs saw the network outpace smart contract–platform competitors in fee generation. More symbolic was the choice of a sitting U.S. president to launch a meme coin on Solana rather than Ethereum.
Bybit Perp Open Interest — Despite higher realized volatility and increased trading volumes, open interest levels in BTC and ETH remain consistent.
Bybit Perp Trading Volumes — The weekend of the inauguration saw the highest trade volumes in over a month, with SOLUSDT enjoying a particularly large increase.
Funding Rates Positive Despite Spot Volatility
Perpetual swap funding rates experienced little of the repricing that we saw in volatility as inauguration day came and went without a significant announcement or executive order. Instead, funding rates across all coins remained at neutral-to-bullish levels. As indicated by open interest data, markets displayed no significant opening or closing of open positions, despite the spot price volatility. Therefore, despite options markets moderating expectations for the very short term, sentiment across derivatives markets appears to have treated the disappointing passing of inauguration day as just one chance of many for positive news for the industry.
BTC Options
Bets that the incoming president would announce a strategic Bitcoin reserve in his inaugural speech caused a buildup of short-tenor options positioning in the days and hours ahead of the event. As a result, options markets saw a significant and sustained increase in call buying, and the strongest inversion of the at-the-money term structure since the election on Nov 5, 2024. The relatively extreme pricing of front-end volatility has dissipated, but the strong skew toward OTM calls hasn’t, indicating a continued preference for upside exposure now that Trump is able to put pen to paper on executive orders.
BYBIT BTC OPTIONS VOLUMES
BYBIT BTC OPTIONS OPEN INTEREST
Volatility Expectations Were Disappointed
BYBIT BTC ATM TERM STRUCTURE — The term structure has completed a round trip to a slightly steep shape following the inauguration.
BYBIT BTC SVI ATM IMPLIED VOLATILITY — Volatility across the term structure trended down following the inauguration, while the inversion resolved to a steep shape.
BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Realized volatility levels hit their highest levels (even before the election) during the disinversion.
ETH Options
While ETH has largely underperformed BTC since the election, it too enjoyed a spike in bullish positioning ahead of the inauguration. However, the choice of the Trump family to launch two meme coins on DEXs on rival blockchain Solana was likely at least part of the reason that we saw increased activity in put trading over the weekend. Nevertheless, volatility smiles remain skewed toward OTM calls (albeit less extreme than for BTC), and open interest reflects a net bullish position of the market.
BYBIT ETH OPTIONS VOLUMES
BYBIT ETH OPTIONS OPEN INTEREST
Implied Volatility Falls, Realized Volatility Spikes
BYBIT ETH VOLATILITY TERM STRUCTURE — The term structure is flat at the front end, as it was last week, while longer-tenor volatility has repriced lower.
BYBIT ETH SVI ATM IMPLIED VOLATILITY — The inversion of the term structure only flattened following a disappointing inaugural speech.
BYBIT ETH IMPLIED AND REALIZED VOLATILITY — Price action around the inauguration delivered a much higher level of volatility than is now priced in by options.
SOL Options Activity Explodes
The extreme spike in SOL’s realized volatility came alongside a sustained increase in trading volumes of options contracts. The activity was broadly balanced between both calls and puts, likely indicating a mix of both leveraged long positions and some protective put buying as SOL recorded a new all-time high of $293. The result of that flurry of trading activity is a substantial increase in open interest, that now surpasses the level of open interest immediately before December’s end-of-year expiration event. Open interest in calls slightly edges out that of puts, with positioning dominated by mid-tenor contracts.
BYBIT SOL OPTIONS VOLUMES
BYBIT SOL OPTIONS OPEN INTEREST
SOL Realized Volatility in Context
SOL’s recent grab at a new all-time high has come alongside significant realized volatility that sees it move with higher choppiness than its peers. However, while it is the most recent token to enjoy an “ATH” headline, SOL is not the best post-election performer. That title is claimed by XRP, which towers above each of BTC, ETH, and SOL having recorded a 6x multiple. This incredible performance was responsible for the drawdown in Bitcoin dominance in late November, rather than a broad-based altcoin rally. SOL’s recent realized volatility also pales to XRP’s early-December highs.
Volatility Falls but Skew Remains
President Trump’s inauguration on Jan 20, 2025 saw a sharp reversal in the previously bearish sentiment at short tenors. The launch of two Trump family meme coins, and speculation that his inaugural speech would contain a reference to a strategic Bitcoin reserve, saw markets take significant positions ahead of the event. However, while outright volatility levels at the front end of the term structure repriced lower, the bullish skew toward OTM calls that had been priced remained. Volatility smiles at all tenors assign a 5–10 point premium to OTM call options.
BYBIT BTC 25-delta call-put skew
BYBIT ETH 25-delta call-put skew
Volatility by Exchange
BTC, 1-MONTH TENOR, SVI CALIBRATION
ETH, 1-MONTH TENOR, SVI CALIBRATION
Bybit Volatility Surfaces
Constant Maturity Smiles
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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.
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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.
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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.