Block Scholes x Bybit Crypto Derivatives July 4

Key insights

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. 

Perpetuals: SOL funding rates turned negative despite tailwind news in the form of the first US-based ETF that will directly hold SOL tokens and the first US-based ETF to approve staking.

Options: Short-tenor implied volatility levels spiked up following the spot price rally. Over the course of the week however, both on the way up and down, ETH implied volatility has outpaced that of similarly-dated BTC options, and therefore ETH options still trade with close to a 2x premium.

Block Scholes BTC Senti-Meter Index

Block Scholes ETH Senti-Meter Index

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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

• China Manufacturing PMI for June  — Jun 30, 2025 — The Manufacturing PMI rose to 50.4 in June, increasing by 2.1 points from May.

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• S&P Global US Manufacturing PMI  for June — Jul 1, 2025 — U.S. manufacturing grew for the sixth month in a row in June, as the S&P Global U.S. Manufacturing PMI hit a three-year peak at 52.9, surpassing the expected 52.0.

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• US ISM Manufacturing PMI  for June — Jul 1, 2025 — Came in at 49 in June, up 0.5 points from May’s 48.5. The overall economy continued expanding for the 62nd consecutive month.

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• US JOLTS Job Openings and Labor Turnover Survey for May — Jul 1, 2025 — May job openings increased to 7.77M from 7.39M in April, reaching their highest level since January of this year.

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• US ADP® Employment Report for June — Jul 2, 2025 — Private sector employment declined by 33,000 jobs in June, while annual wages increased by 4.4%.

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• US Initial Jobless Claims — Jul 3, 2025 — Initial Jobless Claims are projected to rise to 241,000, up from the previous figure of 236,000.

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• US S&P Global US Services PMI for June — Jul 3, 2025 — The S&P Global US Services PMI for June is forecasted to hold steady at 53.1.

No Change — According to Polymarket, traders expect very little chance of the Fed cutting rates in its Jul 30, 2025 meeting, following a blockbuster Nonfarm payroll report for June.

Trending news

• James Seyffart, a crypto ETFs analyst at Bloomberg, has announced updated approval odds of 95% for Spot ETFs on Solana, Litecoin and XRP by the end of 2025. 

• Japanese investment firm Metaplanet has expanded its Bitcoin position with the acquisition of 1,005 BTC for approximately $108.1M, bringing its total holdings to 13,350 BTC. The average purchase price was $107,601 per bitcoin, giving its total Bitcoin holdings a current market value of approximately $1.4B.
  

Another week of resilient $10B open interest

Key insights

The week of Jun 18 to Jun 25, 2025 was marked by a geopolitical roller coaster that saw the US strike Iran, then Iran respond with a retaliatory attack before a ceasefire was announced. Despite those tensions, we commented that open interest for perpetuals stayed resilient. An arguably quieter macro/ geopolitical week between Jun 25 and Jul 2, 2025 has resulted in an extension of that resilient open interest which was hovering around $10B. However, the most recent risk-on rally across crypto and US-equities alike following the US-Vietnam trade deal announcement, has seen open interest jumped beyond $11B. Spot prices also broke out from their respective ranges, with BTC trading at $110K and ETH at $2,600.  

The tamed market response in open interest earlier in the week was most visible in perpetual trade volumes. Daily volumes were down by more than half, since they touched a local peak of $27B on Jun 22, 2025. Weekend volumes were also lower at the end of June than levels we saw earlier in the month, only marginally exceeding $4B on Saturday Jun  28, 2025.

BYBIT PERP OPEN INTEREST — After being flat all week, open interest jumped above $11B as BTC spot trades within inches of its all-time high ($111.97K).

BYBIT PERP TRADING VOLUMES — Daily trade volumes have halved since the US militarily intervened in the Middle East on Jun 22, 2025, a day which saw volumes peak at $27B.

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Mixed funding

As spot prices across the board trade higher, perpetual funding rates for all of the tracked tokens are currently above 0%. However, zooming out to the past seven days, it’s another week where funding rates have fluctuated between both positive and negative values for BTC and altcoins. Despite receiving a huge tailwind news in the form of REX-Osprey™ SOL + Staking ETF being approved by the SEC, SOL funding rates still dropped below 0% — an indication of shorts willing to pay a premium to maintain their positions. The REX-Osprey SOL ETF is the first US-based ETF to hold SOL directly, and the first ETF in the US to allow for a portion of the held assets to be staked — earning investors a staking return.

BTC options

Key insights

By now, BTC options markets are no stranger to low levels of implied volatility. However, over the past week, 7-day BTC options saw implied volatility levels drop below two key, long-held floors: the first floor was 35% — a floor we have seen BTC implied volatility (IV) touch several times recently before quickly bouncing higher. The second is a floor of 30%: on Jun 27, 2025, short-tenor volatility fell below that and traded at 26%. To put that into context, the last time BTC options traded with such low volatility was in the summer of 2023, when spot price was trading around $30K. In typical crypto manner however, a recent spot price rally on Jul 2, 2025 which coincided with a wider rally in risk-on assets as President Trump confirmed a US-Vietnam trade deal has seen some recovery in BTC’s volatility premium. 7-day options currently trade with a volatility premium of 35%.   

Open interest is slightly higher (around $50M) in put options than in calls and options volumes also continue to be dominated in puts. Similar to perpetual futures trade volume, options volumes in calls and puts have halved since their peak on Jun 22.

BYBIT BTC OPTIONS VOLUMES

BYBIT BTC OPTIONS OPEN INTEREST

From flat to upward sloping

BYBIT BTC ATM TERM STRUCTURE — Front-end volatility has dropped relative to last week, while the back-end remains above 40%, steepening the term structure.

BYBIT BTC SVI ATM IMPLIED VOLATILITY — The rally in spot price on Jul 2, 2025 saw a significant jump in implied volatility back above 30%, after falling as low as 26% earlier in the week.

BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Realized volatility collapsed to a low of 23% as BTC’s spot price was trapped rangebound earlier in the week.

ETH options

Key insights

Overnight (from Jul 1–2, 2025), ETH’s spot price enjoyed a small, yet near-monotonic rally from $2,400 toward $2,500. That rally picked up even further steam the following day as ETH outperformed BTC to rally more than 6% on the back of positive trade development news. While the first move did very little to arrest the decline in volatility that we have been observing since ETH’s term structure inverted on Jun 23, 2025, the second one did have a more pronounced effect. ETH options at a 7-day tenor currently trade with an ATM implied volatility of 60%, a near 10 percentage point increase from a day earlier, though still far below the 80% they traded at during the Middle East conflict escalation. Over the course of the week however, both on the way up and down, ETH implied volatility has outpaced that of similar-dated BTC options, and therefore ETH options still trade with close to a 2x premium. 

Unlike BTC, ETH options volumes are marginally higher in calls than in puts. However, that difference is more marked in open interest — where call open interest is $60M greater than in puts.

BYBIT ETH OPTIONS VOLUMES

BYBIT ETH OPTIONS OPEN INTEREST

ETH term structure no longer inverted

BYBIT ETH VOLATILITY TERM STRUCTURE — Outright volatility levels have dropped (compared to last week), with ETH’s term structure now positively sloped.

BYBIT ETH SVI ATM IMPLIED VOLATILITY — As ETH spot price rallied 6% on Jul 3, 2025, front-end volatility lifted up 10 percentage points to 60%.

BYBIT ETH IMPLIED AND REALIZED VOLATILITY — Similar to BTC, 7-day delivered volatility for ETH dropped significantly, though remains 25 percentage points higher than BTC realized volatility.

SOL options

SOL’s spot price enjoyed a short-lived rally on Jun 30, 2025 when the SEC approved a new type of spot ETF in the US. That new ETF was Rex-Osprey’s SOL ETF, which will not only provide investors with exposure to SOL, but also it's staking yield — the first such staking-approved ETF in the US. Spot price jumped from $150 to $158 (not quite the highest for June when price touched $165), however the rally fizzled out and SOL now trades just under $150. Nonetheless, options volumes are twice as large in calls than in puts and, since the Jun 27, 2025 expiry, it appears that a majority of SOL traders rolled  their positions, as open interest in calls is back above $6M.

BYBIT SOLUSDT OPTIONS VOLUMES

BYBIT SOLUSDT OPTIONS OPEN INTEREST

SOL volatility

BYBIT SOL VOLATILITY TERM STRUCTURE — Back-end volatility has dropped by only 5 percentage points relative to last week, while front-end volatility has declined by 15 percentage points.

BYBIT SOL SVI ATM IMPLIED VOLATILITY — As with BTC and ETH, SOL options saw a significant move up following the recent rally across spot prices.

BYBIT SOL IMPLIED AND REALIZED VOLATILITY — Realized and implied volatility for SOL have converged toward each other, both currently at 60%.

Spot moves slightly change ETH skew

Key insights

The lack of significant moves in spot price for BTC and ETH through most of the week meant a near neutral skew in the volatility smiles for both assets.  For BTC, the 25-delta put-call skew for 7-day options dropped from above 3% at the end of June toward a 2% premium for OTM puts before bouncing back closer to 0%. Despite risk-on assets experiencing a tailwind from President Trump’s efforts to negotiate another trade deal, the put-call skew for BTC options is still largely unchanged at neutral levels. The response is more obvious in ETH options: 7-day options currently assign a 1.3% premium toward OTM calls, up from a −1.9% skew toward puts only a day earlier.

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.

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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.

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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.

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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.

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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.

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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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