Andrew Melville
Research Analyst
Last Updated:
July 18, 2025
•
8 min read
Block Scholes x Bybit Crypto Derivatives July 16
An aggressive rally in BTC’s spot price over the past week has seen the largest cryptocurrency by market capitalization surge to multiple new all-time highs, eventually touching a top of $123K. With that move higher, all measures of directional sentiment in derivatives markets supported the rally, as funding rates for BTC have been persistently positive and options skew is tilted toward calls. SOL has once more underperformed relative to a basket of Layer 1 (L1) blockchains this week, despite several bullish tailwind drivers in the form of positive inflows in the REX-Osprey SOL ETF and a number of corporations adopting or expanding a SOL-focused treasury strategy, including DeFi Development Corp. and Mercurity Fintech Holding Inc.
Key insights
An aggressive rally in BTC’s spot price over the past week has seen the largest cryptocurrency by market capitalization surge to multiple new all-time highs, eventually touching a top of $123K. With that move higher, all measures of directional sentiment in derivatives markets supported the rally, as funding rates for BTC have been persistently positive and options skew is tilted toward calls. SOL has once more underperformed relative to a basket of Layer 1 (L1) blockchains this week, despite several bullish tailwind drivers in the form of positive inflows in the REX-Osprey SOL ETF and a number of corporations adopting or expanding a SOL-focused treasury strategy, including DeFi Development Corp. and Mercurity Fintech Holding Inc.
Perpetuals: Open interest has soared past $13B, a new high for the month of July, as BTC rose to $123K and ETH regained $3K for the first time since early February 2025.
Options: The implied volatility of short-tenor BTC options broke out of last week’s 25–35% range, reaching a high of 41% before falling down again, as traders took profits at historic highs, pulling BTC back to $118K.
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
- US CPI inflation for June — Jul 15, 2025 — The Consumer Price Index increased by 2.7% in June, indicating that inflation is beginning to rise again across the US after showing signs of easing earlier in the year.
- China GDP YoY for Q2 — Jul 15, 2025 — China’s economy grew by 5.2% in the second quarter as compared to a year ago, according to data from the Chinese National Bureau of Statistics, slightly surpassing the 5.1% growth forecast.
- US. PPI final demand YoY for June — Jul 16, 2025 —The US Producer Price Index for final demand fell to 2.2% year-over-year in June, down from 2.3% in May. This decline suggests a continued slowdown in wholesale inflation, indicating easing price pressures at the producer level.
- UK CPI for June — Jul 16, 2025 — The annual inflation rate in the UK rose to 3.6% in June 2025, the highest level since January 2024, up from 3.4% in May and exceeding expectations that it would remain unchanged.
- US Initial Jobless Claims — Jul 17, 2025 — Initial jobless claims are expected to rise to 234,000 from the previous week’s 227,000.
- Euro area CPI for June—July 17, 2025 — Euro area annual inflation is expected to be 2.0% for June 2025, up from 1.9% in May, according to a flash estimate.
XRP outperformance — As the Crypto market rallied, BTC reached a new all-time high of $123K and XRP outperformed, delivering 35% returns.
Trending news
- The Royal Government of Bhutan has moved 512.84 BTC ($62.6M) to Binance over the past four days in six transfers. This follows a 137.25 BTC move to the same Binance deposit address two weeks ago, and a $33M deposit in November 2024.
- UK-based global bank Standard Chartered today announced the launch of spot trading for Bitcoin and Ether through its UK branch — exclusively for institutional clients. Standard Chartered states that it has thus become the first global systemically important bank to offer regulated, deliverable spot crypto trading.
New highs in spot and open interest
Key insights
After ranging sideways at $108K between Jun 24–Jul 8, 2025, the past week saw BTC break out of its range aggressively. With that breakout, the spot price of the largest cryptocurrency by market cap rose to touch multiple new all-time highs:
- On Jul 9, 2025, it rose $30 higher than its May 22 ATH of $112K.
- The next stop was $118K on Jul 10, 2025.
- On Jul 14, 2025, BTC flew past $120K for the first time in its history — touching a top of $123K before signs of profit-taking brought its price back down to $118K. That upward explosion was partly driven by continued demand from Spot BTC ETFs and government-friendly policy momentum.
As such, open interest has far exceeded the highs we saw in June, and currently amounts to over $13B. That increase in open interest from last week hasn’t just been concentrated in BTC, either: ETH, SOL, XRP and other major altcoins have seen their open interest increase. Trading volumes on the day BTC touched $123K exceeded $27B — volumes we last saw on Jun 22, 2025, when US President Trump confirmed that the US military had struck three key Iranian nuclear facilities.
BYBIT PERP OPEN INTEREST — Total open interest reached a new high for July as a rally in BTC’s spot price extended to multiple new all-time highs.
BYBIT PERP TRADING VOLUMES — As BTC breezed past $120K for the first time in its history, daily trade volumes more than doubled from the weekend levels of $9B.
Funding tells the story
In last week’s commentary, we noted that after several weeks of mixed funding rates, the first week of July saw traders portraying a stronger conviction for higher spot prices, leading to more consistently positive funding rates. This week, if you weren’t aware that BTC had made multiple new all-time highs, funding rates for perpetual swap contracts may have given a sign that a big market move had taken place.
Across the board we’ve seen even stronger positive funding rates. For BTC, ETH, XRP, TON, DOGE, ADA and ATOM, the past seven days have witnessed the longest consecutive period over the past two months during which traders have shown a willingness to pay for leveraged upside exposure. That makes sense, given that BTC and a slew of the largest altcoins have all rallied between 9% and 30% over the past week, including SOL, which has increased 9%. However, unlike some of the other L1 tokens, SOL’s funding rates haven’t shown the same exuberant, consistently high positive values, with two negative eight-hourly rates even being registered since July 7, 2025. That may be a reflection of the fact that despite a 9% return over the past week, SOL has been outperformed by most L1s: over the same period, ETH is up 21%, XRP is up 26% and ADA is up 27%.
BTC options
Key insights
During the first week of July, the at-the-money (ATM) implied volatility premium on 7-day BTC options struggled to break free from the range of between 25% and 35%. This wasn’t due to a lack of macro or crypto related events, either. In fact, a US JOLTS report, a later nonfarm payroll report and also a trade deal made between the US and Vietnam still failed to spur a larger increase in the implied volatility of short-tenor BTC options.
However, the past week’s aggressive spot rally from $108K to $123K was able to at least partly buck the trend. On Jul 13, 2025, as BTC was trading around $118K, the implied volatility on a 7-day BTC option shot up from 32% to 41%. As BTC’s price passed $120K, volatility remained in the upper 30% region. The move was ultimately short-lived, however, as traders sought to take profits at historically high levels and BTC’s spot price pulled back to $116K, falling 5% on Jul 15, 2025. With that move down, implied volatility levels once again fell toward the low 30s (now currently at 33%). Thus, we’re once more in an environment in which BTC’s spot price is historically high while the implied volatility of its options is close to historically low levels.
Nonetheless, after weeks of options volume and open interest being dominated in puts, this week a more-than-$200M increase in open interest for calls has now nearly balanced the open interest between calls and puts — and yesterday (Jul 15, 2025), options volumes in calls exceeded that of puts by $100M.
BYBIT BTC OPTIONS VOLUMES
BYBIT BTC OPTIONS OPEN INTEREST
BTC volatility
BYBIT BTC ATM TERM STRUCTURE — A larger increase at the front end of the term structure relative to the back end compared to last week has steepened BTC’s volatility term structure.
BYBIT BTC SVI ATM IMPLIED VOLATILITY — As BTC’s spot price pared back its gains from $123K to $116K, short-tenor implied volatility fell from 41% to 34%.
BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Realized volatility has more than doubled from its July lows, and is now higher than that implied by 30-day BTC options.
ETH options
Key insights
For the first time since early February 2025, ETH has regained an important psychological price point of $3,000. Today, it’s up more than 5%, and over the past seven days more than 20%, with its spot price currently trading at $3,150. Additionally, over the past week, implied volatility for short-tenor ETH options has surged higher. From Jul 8–16, 2025, the implied volatility premium on a 7-day ETH option has increased from 54% to 71%. Various directional measures of sentiment in derivatives markets all support a further rally in ETH, with skew tilted nearly 5% toward OTM calls for shorter maturity options, funding rates consistently positive and a positive yield on ETH futures contracts above spot price.
Options volumes exploded higher over the past week, and open interest is now once more dominated more than 2x by call options (relative to the open interest for puts).
BYBIT ETH OPTIONS VOLUMES
BYBIT ETH OPTIONS OPEN INTEREST
ETH’s term structure is flat
BYBIT ETH VOLATILITY TERM STRUCTURE — Outright volatility levels are trading between 64–65%, as ETH’s term structure has completely flattened.
BYBIT ETH SVI ATM IMPLIED VOLATILITY — Since Jul 8, 2025, short-tenor ETH volatility jumped from 54% to a high of 71% on Jul 13, 2025, a day before ETH’s spot price rose to $3,000.
BYBIT ETH IMPLIED AND REALIZED VOLATILITY — Similar to BTC, ETH delivered volatility has risen from its July lows, though by less than double, and is now at the same levels as that implied by 30-day ETH options.
SOL options
As we highlighted in last week’s commentary, the Solana ecosystem continues to be bolstered by positive developments, yet it’s still underperforming a basket of other large L1 blockchains. Over the past week SOL has returned 9%. However, alternative L1 blockchains such as SUI are up 37%, and ETH has returned more than 20%.
On July 10, 2025, DeFi Development Corp. (DFDV) purchased 153,225 Solana tokens, bringing its total SOL holdings to 846,630 SOL. The company also announced plans to hold 1 SOL for every share of DFDV by the end of 2028. Separately, on Jul 14, 2025, Mercurity Fintech Holding Inc., a blockchain fintech company, announced plans to launch a $500M “DeFi Basket” Treasury with an initial focus on acquiring Solana tokens. Finally, as of its launch on Jul 2, 2025, the REX-Osprey SOL Staking ETF has seen only one day of outflows.
Despite a smaller increase in price relative to some of SOL’s competitors, however, call options volumes continue to dominate put volumes in SOL options, and open interest remains above $6M for calls.
BYBIT SOLUSDT OPTIONS VOLUMES
BYBIT SOLUSDT OPTIONS OPEN INTEREST
SOL volatility
BYBIT SOL VOLATILITY TERM STRUCTURE — Outright volatility levels have dropped, relative to last week, driven by the back end of the term structure.
BYBIT SOL SVI ATM IMPLIED VOLATILITY — The implied volatility of SOL options is ranging from 65% to 69% across 7-, 14- and 30-day tenors.
BYBIT SOL IMPLIED AND REALIZED VOLATILITY — Unlike BTC and ETH, whose realized volatility is at (or higher than) the volatility premium implied by 30-day options, delivered volatility for SOL remains four percentage points below the implied volatility of 30-day SOL options.
All-time highs bring a buzz in skew
Key insights
In line with BTC’s spot price, short-tenor BTC volatility smiles have gone through a whirlwind of sentiment changes. As BTC’s spot price first broke $120,000, OTM calls options traded with a 7.3% volatility premium relative to similar maturity OTM put options. And as its spot price fell from those highs, testing $116K, short-tenor smiles changed winds to favor OTM puts, with the put-call skew falling as low as −2.7%. However, just as quickly as it fell, it’s recovered, with traders now favoring OTM calls by 4.2%. That also currently matches the sentiment shown in BTC perpetual futures markets. However, unlike skew, funding rates have consistently shown a bullish picture over the past week.
As ETH’s spot price has outperformed, its volatility smiles are slightly more skewed toward call options relative to BTC options. For example, the put-call skew for a 7-day ETH option is currently 4.9%. For longer tenors, however, such as 90 days, BTC call options carry a more positive skew.
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.
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Block Scholes x Bybit Crypto Derivatives July 16
An aggressive rally in BTC’s spot price over the past week has seen the largest cryptocurrency by market capitalization surge to multiple new all-time highs, eventually touching a top of $123K. With that move higher, all measures of directional sentiment in derivatives markets supported the rally, as funding rates for BTC have been persistently positive and options skew is tilted toward calls. SOL has once more underperformed relative to a basket of Layer 1 (L1) blockchains this week, despite several bullish tailwind drivers in the form of positive inflows in the REX-Osprey SOL ETF and a number of corporations adopting or expanding a SOL-focused treasury strategy, including DeFi Development Corp. and Mercurity Fintech Holding Inc.
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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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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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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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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
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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
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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 April 25 2025
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DeFi Analytics 25th April 2025
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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.
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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.
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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.
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DeFi Analytics 14th February 2025
This week's edition of our Crypto DeFi Analytics. Solana' continues to outperform Ethereum in fee generation. Hourly Average Cost to Transfer ETH (21,000 Gas) drops to the lowest levels seen this month and liquidations across Aave and Compound are negligible.
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Volatility Review January 2025
Since the start of the year, BTC and ETH weekend activity has been notably reactive, with recent sell-offs driven by macroeconomic factors such as Trump’s tariff policies, speculation about a strategic Bitcoin reserve, and competition from AI-driven disruptors like DeepSeek. Notably, BTC and ETH have acted as leading indicators for broader market movements, reacting more swiftly and sharply to economic and geopolitical developments than traditional equities.
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Crypto Markets Daily Feb 14 2025
Headline PPI in the US came in above expected, with the final demand year-over-year figure increasing to 3.5% in January. President Trump has announced his 'Fair and Reciprocal' tariff plan designed to introduce a round of bilateral reciprocal tariffs with US trade partners. In DeFi news, Trump backed World Liberty Financial continues its large-scale crypto purchases, and the Ethereum Foundation has made additional moves to bolster its on-chain DeFi activity.
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Crypto Markets Daily Feb 13 2025
US CPI exceeded economist expectations on all counts, with the YoY headline figure rising to 3.0%, against the expected 2.9% and core YoY prices increasing to 3.3%, above the expected 3.1%. Chair Powell reiterated the Fed's intention to keep rates restrictive following the CPI release. BTC initially dropped on the news, though pared back the losses through the day.
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Crypto Markets Daily Feb 12 2025
MicroStrategy resumes its Bitcoin buying, announcing its purchase of 7,633 bitcoins after a two week break. ADA has outperformed the top 10 altcoins by market-cap, bolstered on by Grayscale's ADA ETF filing. BTC and ETH skew levels have returned back to a positive territory.
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Crypto Markets Daily Feb 11 2025
MicroStrategy resumes its Bitcoin buying, announcing its purchase of 7,633 bitcoins after a two week break. ADA has outperformed the top 10 altcoins by market-cap, bolstered on by Grayscale's ADA ETF filing. BTC and ETH skew levels have returned back to a positive territory.
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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.
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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.
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DeFi Analytics 7th February 2025
This week's edition of our Crypto DeFi Analytics. A bittersweet week for Ethereum: network demand surges, surpassing Solana in fees, but ETH spot crashes 25%. Uniswap V3 hits a 2025 high in transaction count, while over $15M in positions are liquidated across Aave and Compound.
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Block Scholes x Bybit Crypto Derivatives February 7th 2025
Another week, another Monday crypto risk-off event that continues its recent correlation to equities. However, despite last week’s sell-off, BTC outperformed relative to the wider crypto market, experiencing a far less steep sell-off, as reflected in its derivatives markets positioning. Options markets priced short-tenor volatility higher before the inversion of the term structure resolved remarkably quickly. ETH, in contrast, saw a much sharper inversion as short-tenor options spiked significantly higher alongside realized volatility. Perpetual swap contracts lost much of their open interest in a liquidation event that some, including Bybit CEO Ben Zhou, estimated were likely as high as $10B. The sudden bearishness was reflected in funding rate data, with altcoins seeing a more persistent and negative funding rate in the days since the crash than BTC did.
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Crypto Markets Daily Feb 07 2025
Labour productivity in the U.S. ticked up at an annual rate of 2.3% between 2023 and 2024 as Dallas Fed President suggests the FOMC may need to hold interest rates at their current level for "quite some time". President Trump's Media Group announces plans to launch its Bitcoin Plus ETF. Bitcoin's implied vol term structure continues to steepen.
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Crypto Markets Daily Feb 06 2025
BlackRock announces plans for a Bitcoin ETP in Europe and Commissioner Hester Pierce announced her key goals for the Crypto Task Force. Institutions are buying the ETH dip with the third-largest single-day spot ETF inflows since launch and ETH's implied vol term structure disinverts.
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Crypto Markets Daily Feb 05 2025
The JOLTS report showed a U.S. economy still in a stable, low-hiring, low-firing state with quits and layoff rates holding steady. Bitcoin continues to range between $96K and $100K as Crypto Czar provides update on a Strategic Bitcoin Reserve. ETH's term structure remains significantly inverted compared to Bitcoin's much flatter shape.
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Crypto Markets Daily Feb 04 2025
President Trump announced a 30 day pause on his tariff program against Canada and Mexico which brought a well needed relief rally in cryptocurrencies. That didn't last long as China announced its own retaliatory measures against the U.S. ETH's implied vol term structure remains inverted, compared to BTC's flatter term structure. The $2B liquidation event of yesterday hasn't stopped ETH Spot ETF inflows however. Uniswap launches v4.
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Crypto Markets Daily Feb 03 2025
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.
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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.
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Crypto Markets Daily Jan 31 2025
The U.S. grew by less than expected in Q4, but still recorded a robust figure that pushed 2024 yearly growth to 2.8%. President Trump once again threatened 100% tariffs on BRICS nations if they attempt to create a BRICS currency or replace the U.S. dollar. Crypto Spot ETFs are back to positive inflows, ending a disappointing week. Apollo Global Management announced a partnership with Securitize to tokenise shares of its Apollo Diversified Credit Fund on various blockchain networks. Rollman Management Digital, a private investment firm, has invested $20M into Elastos.
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Block Scholes x Bybit Crypto Derivatives January 31st 2025
Markets experienced a significant risk-off event at the beginning of this week, as DeepSeek’s LLM announcement coincided with sharp declines in major indices and across crypto markets, despite a direct and obvious impact on the value of the crypto-asset market. Although spot markets saw a volatile selloff, open interest in perpetual swaps has remained stable, with funding rates briefly flipping negative before partially recovering. Options markets saw a surge in trading volume amid the selloff, but forward-looking volatility expectations declined. However, positioning over a longer horizon remains the same — longer dated options positions indicate a bullish sentiment.
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Crypto Markets Daily Jan 30 2025
The FOMC voted unanimously to leave the FFR unchanged at 4.25-4.5% and Chair Powell highlighted that following 100bps of rate cuts since September 2024, Fed policymakers do not "need to be in a hurry to adjust" the policy stance. BTC initially fell following the press release, then rallied at Powell took to the podium. The Bank of Canada continued its 6th consecutive rate cut, citing "major uncertainty" regarding tariffs.
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Crypto Markets Daily Jan 29 2025
BTC’s rangebound movements is accompanied by slower activity in derivatives markets. Implied vol is sideways and the term structure is flat. The recent shakeout has not affected long-tenor vol smiles however, which still indicate a preference for OTM calls. Czech's Central Bank Governor announces plans to add Bitcoin to the nation's official reserves and Metaplanet has plans of its for its corporate Bitcoin treasury.
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Crypto Markets Daily Jan 28 2025
The DXY rallied on the back of President Trump's plans to tariff steel, copper, pharmaceuticals, and foreign computer chips. Nvidia fell 17% yesterday amidst a wider equities decline, but BTC has recovered above the $100K mark. Short-tenor vol smiles are put skewed and spot ETFs saw their biggest outflows since January 8, 2025. The FOMC voting committee welcomes some new members ahead of its meeting tomorrow.
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Crypto Markets Daily Jan 27 2025
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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.