Block Scholes x Bybit Crypto Derivatives June 4

Key insights

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.

Perpetuals: Open interest has dropped off from its end-of-May highs as BTC’s spot price pulled back from mid-May highs.

Options: Implied volatility has dropped across BTC, ETH and SOL options, though all three assets are exhibiting differently shaped term structures. BTC’s term structure is positively sloped and ETH’s is now flat, while SOL’s term structure prices lower volatility at mid-length tenors.

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

• HCOB Eurozone Manufacturing PMI — Jun 2, 2025 — Manufacturing PMI for the euro area in May came in at 49.4, in line with expectations but below the level of 50 which marks expansion.

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• US JOLTS April — Jun 3, 2025 — Job openings increased to 7.391M, above expectations of 7.1M, though both layoffs and the quits rate rose, signs of some weakness in the labor market.

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• US ADP Private Payrolls — Jun 4, 2025 — Private sector hiring rose by just 37,000 in May, the lowest increase in over two years and far below the expected increase of 100K.

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• ECB monetary policy meeting — Jun 5, 2025 — The ECB is expected to cut its deposit facility rate by another 25 bps. 

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• Euro Area PPI — Jun 5, 2025 — Producer price inflation in the euro area is expected to have fallen to 1.2% in April from 1.9% in March.

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• US NFP — Jun 6, 2025 — The US economy is expected to have added 125K jobs in May, down from 177K in April, and the unemployment rate is expected to remain unchanged at 4.2%

BTC Spot ETFs slowdown — After a strong run of positive inflows in May, Bitcoin Spot ETFs briefly slowed down, registering three consecutive days of outflows, before changing course once more yesterday with $375M in inflows.

Trending news

• NYSE Arca, part of the New York Stock Exchange, submitted a regulatory filing with the SEC yesterday on behalf of crypto asset manager Yorkville America Digital, a partner of TMTG. If approved, the fund would trade under the name Truth Social Bitcoin ETF.
• Educational technology company Classover Holdings Inc. (NASDAQ: KIDZ) plans to raise up to $500M via secured convertible notes in partnership with Solana Growth Ventures, aiming to use 80% of the funds to purchase Solana tokens.

Open interest drops with spot

Key insights

The entire crypto market has been dragged down over the past two weeks, including majors BTC and SOL, with the latter down more than 10%. ETH has held up slightly stronger, trading sideways over the same time period. The sideways/bearish spot price activity has been reflected in the amount of open interest in perpetual swaps, which has dropped off from its late May highs of $11B. 

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Despite low-volatility, downward-trending price action and a drop in open interest, perpetual funding rates for most tokens, including BTC, have been positive — indicative that market participants are unwilling to rule out any sudden upward moves back toward Bitcoin’s ATH of $111.9K. As is generally the case, BTC contracts dominate the market, with more than $5B of open interest. BTC’s negative price action does continue to take a toll on daily perp trading volumes, however, which in late May and the first three days of June have been close to half of the daily volumes we saw in mid-May.

BYBIT PERP OPEN INTEREST — Open interest has dropped off from its peak of $11.1B at the end of May as BTC’s spot price is currently trading sideways.

BYBIT PERP TRADING VOLUMES — Daily trading volume in perps over the first three days of June has been $4–5B lower than volumes reached between mid-to-late May.

Funding stays bullish

Over the past seven days, BTC is down 3%, and has mostly traded around $105K. Despite the drop from its ATH in May, funding rates have only registered three negative values over the past week. For the majority of other tokens, funding rates are still mostly positive, indicating a willingness on the part of traders to pay for leveraged long exposure, even as the rally has come to an abrupt end. Unlike previous weeks, in which some tokens had consistent positive funding rates without any drops below 0%, this week no tokens have registered a straight recording of positive values; the closest to that end has been ETH, which recorded a negative funding rate on Jun 1, 2025 when its spot price dropped to $2,500.

BTC options

Key insights

Considering that BTC’s most recent run toward an ATH was marked with surprisingly low levels of volatility (which we highlighted last week), it’s perhaps unsurprising that the recent sideways price action has been characterized by even lower levels of implied volatility. 

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Over the past week — even when BTC’s spot traded to a low of $103K on May 31, 2025 — implied volatility traded at 35%, a floor that we’ve seen it generally hit and bounce off of for the past 19 months. One exception to short-tenor volatility bouncing off of 35% was in fact in mid-May, when BTC’s spot price was range-bound at a lower $103K, and 7-day implied volatility actually fell to 31% before rebounding. The collapse in short-dated volatility expectations has steepened BTC’s term structure further, thereby contrasting with the flat volatility curve of ETH.

BYBIT BTC OPTIONS VOLUMES

BYBIT BTC OPTIONS OPEN INTEREST

BTC volatility looks low again

BYBIT BTC ATM TERM STRUCTURE — Volatility expectations have fallen further over the past seven days across the term structure, with front-end volatility now at 36%.

BYBIT BTC SVI ATM IMPLIED VOLATILITY — The decline in implied volatility coincides with a slowdown in BTC’s spot price, and with a slowdown in BTC Spot ETF flows, which had remained positive through most of May before shifting toward outflows.

BYBIT BTC IMPLIED AND REALIZED VOLATILITY — Expectations for both realized volatility and 30-day implied volatility have realigned as BTC’s spot price dropped off toward $105K.

ETH options

Key insights

BTC performance continues to be a bellwether for sentiment in the rest of the crypto market: a drop in BTC’s spot price over the past week has seen most of the top 10 cryptocurrencies (by market cap) drop in price. ETH has actually been more resilient than the rest on that list, however, down only 1.67% in the past seven days (relative to a more than 3% drop for BTC). Realized volatility for ETH dropped off earlier in the week, and is now moving flat at 60%, while implied volatility has declined across tenors to compress the term structure of volatility. Just as we saw in perpetual swaps markets, daily trade volumes in ETH options remain lower at the end of May and beginning of June as compared to mid-May, when daily volume for call options exceeded $150M.

BYBIT ETH OPTIONS VOLUMES

BYBIT ETH OPTIONS OPEN INTEREST

Flat term

BYBIT ETH VOLATILITY TERM STRUCTURE — ETH’s term structure has disinverted and is now flat, with volatility above 63% at all tenors.

BYBIT ETH SVI ATM IMPLIED VOLATILITY — Volatility levels across all tenors have converged, compressing the term structure to around 64%.

BYBIT ETH IMPLIED AND REALIZED VOLATILITY — Thirty-day implied volatility remains range-bound, while the drop in realized volatility has eased, and is now flat at 60%.

SOL options

Of the top 10 cryptocurrencies by market cap, SOL has been one of the worst performers over the past week and is down more than 10%. Its options markets now price for lower levels of volatility across the term structure by 5–10 percentage points as compared to last week, though front-end volatility remains relatively lifted. 

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Realized volatility, on the other hand, has slowed its decline and has leveled off at 70%. Similar to last week, the moves in implied volatility mean that SOL’s term structure possesses an unusual shape, with the curve neither fully inverted nor flat, due to high expectations for volatility at far and short constant tenors.

BYBIT SOLUSDT OPTIONS VOLUMES

BYBIT SOLUSDT OPTIONS OPEN INTEREST

SOL volatility still lifted at the front end

BYBIT SOL VOLATILITY TERM STRUCTURE — Front-end volatility is still lifted for SOL, though the term structure has dropped 5–10 points since last week.

BYBIT SOL SVI ATM IMPLIED VOLATILITY — Implied volatility levels initially surged at the start of June toward 80%, but have fallen by 10 percentage points since.

BYBIT SOL IMPLIED AND REALIZED VOLATILITY — As with realized volatility for ETH, realized volatility for SOL has leveled off, 10 percentage points higher than ETH’s, at 70%.

Skew is choppy

Key insights

The abrupt slowdown in BTC’s spot price that followed the recent breakout to $111K has brought a shift in derivatives markets sentiment: the bullish skew across the term structure that volatility smiles carried last week has been interrupted, and earlier this week, BTC 7- and 14-day options traded with a volatility premium of more than 5% toward OTM puts. However, that bearish skew has now abated, and those short tenors are now trading with a more neutral skew. Meanwhile, BTC’s longer horizons remain bullish, as indicated by a tilt toward OTM calls that mirrors the positive sentiment in perpetual swap funding rates. 

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In contrast, ETH skew took a more bearish tilt, with OTM puts at a 7-day constant tenor carrying as much as a 6% volatility premium relative to OTM calls, though that has also sharply reversed. While not quite as close to neutral as for 7-day BTC options, 7-day ETH tenors now have a less bearish skew of −1%.

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.