Block Scholes x Bybit Crypto Derivatives June 13

Key insights

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. 

Perpetuals: Funding rates for most tokens over the past week have mainly been positive, and perpetuals open interest in ETH has risen by $700M. 

Options: Short-tenor implied volatility for BTC options is just under half of the implied volatility for equivalent tenor ETH options, coinciding with a 7-day realized volatility for ETH of just under 60%, compared to 30% for BTC.

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

• Japan GDP final revision Q1 — Jun 9, 2025 — Japan’s economy contracted at an annualized pace of 0.2% in Q1, a smaller decline than the initially estimated 0.7%.

• China CPI for May — Jun 9, 2025 — Headline consumer prices fell 0.1% year-over-year in May, outperforming expectations of a −0.2% decline.

• UK unemployment rate for May — Jun 10, 2025 — The unemployment rate increased to 4.6% in May, up from 4.5% in the prior month.

• US CPI for May — Jun 11, 2025 — Core CPI rose 0.1% month-over-month in May, below expectations of 0.3%. The year-over-year rate eased to 2.8% from 2.9%.

• UK GDP MoM for April — Jun 12, 2025 — Gross domestic product is expected to have contracted by 0.1% month-over-month in April.

• US PPI for May — Jun 12, 2025 — Producer price index data for May is expected to rise to 0.2%, a recovery from last month’s −0.5%.

ETH outperformance — ETH has regained bullish momentum as it continues to outperform BTC in June. ETH returns have currently delivered 12%, outpacing BTC’s 5% gain.

Trending news

• US Senate Majority Leader John Thune filed for cloture on the GENIUS Act on Monday, Jun 9, 2025, the first U.S. bill to regulate stablecoins. This sets up a potential Senate vote as early as Wednesday, Jun 11, 2025.

• According to Strategy’s Michael Saylor, “Bitcoin has gone through its riskiest period,” with Saylor predicting that “We’re past that phase. If Bitcoin’s not going to zero, it’s going to $1M and you have all the evidence you need to determine that.”

Open interest on the rise again

Key insights

After trending sideways in the first week of June, open interest in perpetuals across the tracked nine tokens is now once again back above $11B, last month’s peak. ETH open interest in particular has grown from $2.6B to $3.4B, in line with ETH’s spot price outperformance this week, which has the token trading back above $2,800 for the first time since late February, 2025. The increase in open interest also coincides with a mostly positive run of funding rates for ETH, too, suggesting perp traders are on the whole bullish on the token. Interestingly, while open interest has increased for the basket of tracked altcoins as compared to last week, open interest in BTC has been flat at $6B, and fell more recently on Jun 9, 2025 from $6.5B, close to $6B — despite BTC’s spot price currently trading within inches of its ATH of $111K.

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BYBIT PERP OPEN INTEREST — BTC open interest has been sideways over the past week, while open interest in ETH has increased by $700M.

BYBIT PERP TRADING VOLUMES — Daily trading volume in perps has yet to exceed the highs reached in mid-May, when risk-on assets were pushed higher after an easing in US trade tensions.

Funding forgets feud

Last week crypto markets were temporarily plagued by a wave of risk-off sentiment when President Trump and previous head of the Department of Government Efficiency (DOGE), Elon Musk, had a public feud on social media. In one post Musk said, “The Trump tariffs will cause a recession in the second half of this year.” US equities ended the day lower, and ETH’s spot price shed more than 7%. However, the panic in spot markets did not meaningfully appear in ETH perp funding rates — or even in the funding rates of most other tokens, for that matter. For the majority of tokens, long traders still show a willingness to take leveraged positions, with ATOM appearing to be the anomaly as it’s switched between positive and negative rates throughout the past seven days. 

BTC options

Key insights

BTC implied volatility still remains close to the 35% floor that it’s maintained for the past 19 months. That floor was broken in mid-May, however, when options markets priced in the lowest levels of volatility since October 2023, and temporarily at the start of June 2025. BTC’s term structure of volatility is now positively sloped, a stark contrast to ETH’s inverted shape. This is partly due to the low levels of realized volatility for BTC, which is currently at only 30% over the past seven days, relative to ETH delivered volatility, which is nearly twice as large at just under 60%. Volumes in BTC options over the past week have been relatively balanced between calls and puts, compared to late May when volumes in puts were dominating the landscape. Open interest tells a different story, however — with OI in puts nearly $200M higher than in calls.

BYBIT BTC OPTIONS VOLUMES

BYBIT BTC OPTIONS OPEN INTEREST

BTC’s volatility far lower than ETH’s

BYBIT BTC ATM TERM STRUCTURE — Front-end volatility expectations have risen relative to last week, compared to the back end of the curve, where volatility has dropped by two points.

BYBIT BTC SVI ATM IMPLIED VOLATILITY — Implied volatility for BTC has picked up slightly for the 7-day tenor from the lows of 32% at the start of the month, though it remains at just under half of 7-day ETH options IV.

BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Despite a spot price that remains only $2K below its historical ATH, BTC delivered volatility continues to linger at 30%.

ETH options

Key insights

ETH options markets tell a different story from BTC options markets on nearly all fronts. First, open interest is being dominated in call options by $70M. Secondly, a jump in implied volatility led by the front end has led ETH’s term structure to invert once more. Meanwhile, ETH volatility smiles across the term structure are also markedly more bullish than for BTC, with ETH skew for short-tenor options exceeding 10% toward OTM calls today. One apparent similarity, however, between the two is in options volumes: over the past week, options volumes in ETH have fluctuated between call domination and put domination. Also, similar to BTC, ETH options volumes continue to be significantly lower on weekends.

BYBIT ETH OPTIONS VOLUMES

BYBIT ETH OPTIONS OPEN INTEREST

Another spike, another inversion

BYBIT ETH VOLATILITY TERM STRUCTURE — ETH’s term structure is inverted once more, as 7-day volatility jumped 12 percentage points relative to last week.

BYBIT ETH SVI ATM IMPLIED VOLATILITY — The inversion of ETH’s term structure is the highest so far this month.

BYBIT ETH IMPLIED AND REALIZED VOLATILITY — ETH realized volatility is 10 percentage points lower than forward-looking expectations over the next 30 days.

SOL options

As has been the case since mid-May, open interest in SOL options continues to be call-heavy, with OI in calls since June 6 moving up almost exponentially from $3.3M toward $5.6M. Options volumes have mostly been larger in calls over the past week, a trend that has been relatively persistent through the month of May as well. Last week, we noted that SOL exhibited a slightly unusual term structure of volatility that was lifted at the front end and lower at the belly of the curve. Since then, the term structure of volatility has inverted more clearly, in line with a move up in realized volatility toward 70%.

BYBIT SOLUSDT OPTIONS VOLUMES

BYBIT SOLUSDT OPTIONS OPEN INTERESTc

SOL volumer is inverted

BYBIT SOL VOLATILITY TERM STRUCTURE — The term structure of volatility is now inverted, similar to ETH, though at slightly higher outright levels.

BYBIT SOL SVI ATM IMPLIED VOLATILITY — In line with a spot move in SOL (which is up 6.5% on the day), implied volatility levels are approaching their early month highs.

BYBIT SOL IMPLIED AND REALIZED VOLATILITY — 30-day implied volatility is currently 7 percentage points higher than 7-day delivered volatility.

ETH skew is more bullish by far

Key insights

ETH’s volatility smiles contain a far stronger tilt toward OTM calls than those for BTC. ETH OTM call options at a 7-day tenor possess a 9% premium over OTM puts, a far larger difference compared to the 1.2% skew held by BTC call options. That may partly be a reflection of the outperformance of ETH relative to BTC so far this week — ETH is up 14% over the past month, compared to a smaller 6% rise in BTC over the same time frame. ETH Spot ETFs also share the same bullish momentum over their BTC counterparts. Since May 16, ETH Spot ETFs have seen over $1B of inflows, their longest streak of positive flows since the post-election period of November-December 2024. That contrasts with BTC Spot ETFs, which although positive had experienced a few days of outflows since mid-March.

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.