Research
Quant Research
Weekly derivatives analytics covering BTC and ETH options market structure, volatility regime analysis, futures term structure dynamics, and macro-driven trading insights. Institutional-grade research grounded in calibrated data across major exchanges.
Most crypto market commentary focuses on spot price action — support levels, resistance zones, and narrative-driven predictions. For institutional participants in derivatives markets, this analysis misses the signals that actually drive trading decisions. Options market structure, vol regime dynamics, term structure shape, and positioning data tell a fundamentally different story than spot price alone.
Block Scholes weekly derivatives analytics provide institutional-grade analysis grounded in calibrated data, not speculation. Every observation is backed by the same SVI-calibrated surfaces, Greeks computations, and cross-exchange datasets that power the platform's live data products.
Weekly analysis covers the structural dynamics of BTC and ETH options markets across major exchanges. Open interest distribution by strike and expiry reveals where the market is positioned. Volume flow analysis identifies whether activity is concentrated in protective puts, speculative calls, or volatility strategies. Changes in the put-call ratio contextualised against historical norms distinguish genuine sentiment shifts from noise.
The analysis identifies structural features that create trading opportunities. Large open interest concentrations at specific strikes can create magnetic effects as expiry approaches. Shifts in volume from one tenor to another signal changes in the market's time horizon. These are the dynamics that institutional options traders monitor — and the weekly report puts them in context.
The weekly report tracks the prevailing vol regime using Block Scholes calibrated surfaces. ATM implied volatility across the term structure is compared against historical percentiles. Skew dynamics — the difference between put and call implied vol at equivalent deltas — are analysed for regime signals. Butterfly spreads reveal changes in tail-risk pricing.
When the term structure inverts, the report explains what the inversion implies about near-term risk expectations versus longer-dated positioning. When skew steepens sharply, the analysis distinguishes between hedging demand and speculative activity using volume and open interest data. Each regime observation is grounded in the calibrated data, not pattern recognition.
The weekly report includes analysis of the futures term structure across major exchanges. Basis levels, annualised carry, and funding rates are contextualised against the options-implied forward curve. Divergences between futures basis and options-implied forwards identify potential arbitrage or dislocation signals.
For funds running carry strategies or basis trades, this analysis provides the cross-market context needed to evaluate whether current positioning is well-supported or vulnerable to convergence.
Weekly analytics are distributed to Block Scholes research subscribers and are available across Free, Premium, and Enterprise tiers. Each report includes supporting data visualisations generated directly from Block Scholes calibrated surfaces. Historical reports are archived and searchable, enabling trend analysis across vol regimes.
