Block Scholes x Bybit Crypto Derivatives July 10

Key insights

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.

Perpetuals: BTC funding rates have been consistently positive through both the range-bound spot price and then the $118K all-time high. TON also saw a string of positive funding rates, bolstered by news of a Ton Foundation UAE Golden Visa, which was later walked back.

Options: BTC options implied volatility for shorter tenors continue to carry a volatility premium just under half of that for ETH 7-day options while the rally in spot price saw the volatility premium assigned to OTM calls relative to OTM puts rise as high as 5%.

‍

Block Scholes BTC Senti-Meter Index

Block Scholes ETH Senti-Meter Index

‍

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 retail sales for May — Jul 7, 2025 — Eurozone retail sales fell by 0.7% month-on-month in May, following a revised 0.3% increase in April, aligning with market expectations.

‍

• US NFIB Small Business Optimism Index for June — Jul 8, 2025 — The Index fell slightly to 98.6 in June, down from 98.8 in May and below market expectations of 98.7. Despite the decline, it remains just above its 51-year average of 98.

‍

• China PPI for June — Jul 9, 2025 — Dropped 3.6% year-on-year in June, steeper than the 3.3% decline in May and marking the sharpest fall since July 2023.

‍

• China CPI for June — Jul 9, 2025 — Moved back into growth territory for the first time since January 2025, rising to 0.1% year-on-year from −0.1% in May, exceeding market expectations.

‍

• US Initial Jobless Claims — Jul 10, 2025 — Initial jobless claims rose to 227,000, below the forecasted 235,000, and down from 233,000 in the previous week.

‍

• Japan PPI for June — Jul 10, 2025 — Japan’s PPI rose 2.9% year-on-year, in line with expectations, and at a drop from May’s 3.3%.

‍

BTC market capitalization dominance — The upward trajectory continues since 2023, indicating sustained and focused demand for BTC as the crypto industry grows.

Trending news

• Bitcoin accumulation treasury Strategy™ (Nasdaq: MSTR) has announced a new at-the-market (ATM) equity offering on July 7 of up to $4.2B in its 10.00% Series A perpetual strife preferred (STRD) stock.

‍

• Gamesquare (Nasdaq: GAME), a gaming, esports and digital media technology company, has announced an $8M underwritten public offering, which will be put toward the creation of an Ethereum treasury. GameSquare's Board has approved an ETH treasury allocation of up to $100M.

Highest open interest in a month

Key insights

For most of the past seven days, BTC’s spot price had struggled to break out of its $105K to $110K range, and equally, open interest in perpetual contracts remained range-bound, even dropping slightly from $11.1B earlier in the week to $10.5B. That decline in open interest was initially rooted in a drop in BTC contracts, as opposed to a larger drop in open interest for altcoins such as ETH or SOL. However, the recent spot price rally, which saw BTC reach a new all-time high of $118K, has resulted in a spike upward in open interest in both BTC and altcoin contracts. With that move upward, total open interest across the tracked tokens is at its highest in exactly one month ($11.1B).

‍

Daily trading volumes in July had mostly continued their descent until yesterday. Excluding the spike on Jul 9, 2025, relative to the first week of July, perp trading volume has been lower by roughly $4B, and relative to the peaks of June, much of the past seven days have seen more than half the volumes that were registered on Jun 22, 2025, for example — when President Trump confirmed that the US had struck three key Iranian nuclear facilities.

‍

BYBIT PERP OPEN INTEREST — Total open interest across the observed tokens reached a monthly high as BTC surged past $118K.

BYBIT PERP TRADING VOLUMES — Excluding yesterday’s spike, daily trade volumes over the past seven days have been $4B lower than the previous week, and represent less than half of the volumes seen in late June.

Funding is now firmly positive

After a few weeks of mixed funding rates, traders showed stronger conviction for higher spot prices in certain crypto assets, and we’ve thus observed more consistently positive funding rates. That was then extended to an even wider range of assets, as BTC’s spot price shot higher on the evening of Jul 9, 2025, dragging the altcoin market higher with it.

‍

The past seven days have seen only one negative funding rate on an 8-hourly basis for BTC, registered on Jul 8, 2025, coinciding with President Trump indicating that his tariff deadline for Aug 1, 2025, wouldn’t be extended any further, despite claims only a day prior that he was “not 100% firm” on the August date. Another asset that has had a relatively consistent string of positive funding rates is TON. The TON Foundation recently announced a UAE Golden Visa program, prompting a sharp rally in spot price to $3, though it later issued a statement that the visa was in development only, and not yet formally approved.

BTC options

Key insights

The past week has seen a number of notable macro developments, to which BTC traders have responded both in spot and options markets. On Jul 2, 2025, a stronger-than-expected JOLTS report (which showed the highest number of job openings since November 2024) and a US trade deal announcement with Vietnam spurred a short rally in BTC toward $109K. That helped push the implied volatility premium on 7-day BTC options from 28.2% to 35%. This rally was extended further following the US NFP report for June the following day, which exceeded the expectations of all economists in Bloomberg’s survey and showed the US economy adding 147,000 jobs in June (vs. an expected 106,000). Short-tenor IV once more bounced from a low of 26% to 34% following the report’s release.

‍

Even during the most recent jump to a new all-time high, short-tenor volatility has struggled to break out of its range between 25% and 35%. As BTC’s spot price rose from $107K to $118K, 7-day at-the-money volatility rose from 28% to just under 35%, and is currently at 34%. Open interest and options volumes are still dominated by puts for BTC, similar to a week earlier.

‍

BYBIT BTC OPTIONS VOLUMES

BYBIT BTC OPTIONS OPEN INTEREST

BTC implied volatility is range-bound

BYBIT BTC ATM TERM STRUCTURE — Relative to this period last week, BTC’s term structure of volatility is almost unchanged. Volatility at the belly of the curve is slightly lower, and has lifted by less than 1 percentage point at the front end.

BYBIT BTC SVI ATM IMPLIED VOLATILITY — Short-tenor implied volatility jumped from 28% to 35% as BTC rose to a new all-time high, but has struggled to extend beyond 35%.

BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Realized volatility has bounced from its low of 20%, as BTC spot’s price exceeded its May 22 all-time high.

ETH options

Key insights

ETH’s spot price has outperformed BTC’s this week. The latter’s performance was lifted by a new ATH, and is up more than 8% over the past five days. Comparatively, ETH has surged more than 18% over the same period of time. ETH short-tenor options continue to maintain their sizeable premium over similar-dated BTC options, something we’ve consistently highlighted in 2025. That premium peaked in May to a ratio above 2, and has since abated slightly — though it’s currently at 1.9 for the 7-day ETH option IV relative to the 7-day BTC option IV. 

Additionally, ETH’s term structure of volatility has now flattened, from its previously upward sloping curve. That has occurred alongside a jump in skew further toward call options, and an overnight 6% rally in spot price to $2,800. 

Meanwhile, options volumes haven’t been dominated in any particular direction over the past seven days. On Jul 4, 2025, volumes were more than $60M higher in puts, relative to calls. However, more recently that gap has narrowed, and then extended, in the opposite direction on Jul 9, 2025, as call volume was nearly double that of puts. Open interest, on the other hand, is firmly larger in calls than in puts, though by a smaller amount than last week.

BYBIT ETH OPTIONS VOLUMES

BYBIT ETH OPTIONS OPEN INTEREST

ETH term structure flattens

BYBIT ETH VOLATILITY TERM STRUCTURE — Outright volatility levels have lifted by 4 percentage points at the front end, and only slightly at the back end.

BYBIT ETH SVI ATM IMPLIED VOLATILITY — ETH’s 10% spot price increase over the past five days has been accompanied by an increase in implied volatility to 63% across all tenors.

BYBIT ETH IMPLIED AND REALIZED VOLATILITY — ETH’s 7-day delivered volatility is 12 percentage points lower than the premium implied by 30-day ETH options.

SOL options

Solana’s ecosystem continues to be bolstered by positive developments and on-chain fundamentals, though these aren’t yet translating into a meaningful response in its spot price (which is up only 1.5% in the past seven days). SOL has slightly outperformed BTC this week, but has so far underdelivered relative to ETH and XRP. President Trump’s Trump Media & Technology Group filed with the SEC for a “Truth Social Crypto Blue Chip ETF” that will allocate 8% of its funds into SOL. The Solana blockchain also generated over $271M in revenue in Q2 2025 — the third consecutive quarter where it has led all other chains in network revenue. As is often the case, options volumes are more than twice as large for calls as for puts, and open interest in calls continues to hover around $6M.

BYBIT SOLUSDT OPTIONS VOLUMES

BYBIT SOLUSDT OPTIONS OPEN INTEREST

SOL volatility

BYBIT SOL VOLATILITY TERM STRUCTURE — SOL’s term structure is close to flattening, as implied volatility levels range between 60 and 64%.

BYBIT SOL SVI ATM IMPLIED VOLATILITY — Relative to BTC and ETH, the implied volatility premium for SOL options jumped by a smaller 2–3% during yesterday’s crypto spot rally.

BYBIT SOL IMPLIED AND REALIZED VOLATILITY — After briefly converging, the spread between realized volatility and 30-day implied volatility has widened to 10 percentage points.

BTC and ETH skew are positive

Key insights

Short-tenor BTC volatility smiles have completely changed direction within the past two days. On Jul 9, 2025, the 7-day put-call skew was tilted 2% toward OTM puts, as BTC’s spot price was trading sideways at $107K. As its spot price then broke out of its range in a near-vertical fashion and surged above $118K, the volatility premium assigned to OTM calls relative to OTM puts duly jumped — and rose as high as 5%.

‍

Despite an even stronger performance in ETH’s spot price, sentiment in skew isn’t as bullish. Short-tenor skew currently assigns a 2% premium to OTM calls, while longer-dated options, such as the 90-day tenor, are slightly higher at above 3%. The recovery in skew from puts toward calls for both assets, however, over the past week matches the more bullish sentiment in perpetual swap markets as expressed by the funding rates charged to long positions.

‍

BYBIT BTCUSDT CALL-PUT SKEW

BYBIT ETHUSDT CALL-PUT SKEW

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.

‍

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.

‍

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.

‍

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.

‍

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.

‍

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.