Bybit X Block Scholes Crypto Derivatives Analytics Report (Jan 15, 2025): ETH Shows More Bullish Sentiment Amid Rebound

Key Highlights:

Our weekly crypto derivatives analytics report delves into macro events, the current state of crypto and trading signals from spot trading volume, and futures, options and perpetual contracts.

Without the positive crypto news from U.S. president-elect Trump's late November 2024 administration picks, spot prices have remained primarily stable through the second week of the year. The lull in realized volatility has ended, aligning with options-price implied volatility. BTC's term structure is flat, while ETH's is inverted, showing a strong bullish skew for OTM calls at longer tenors. However, macroeconomic factors are dominating sentiment across risk-on assets, leaving bullish positioning focused on the long term.

Trade volumes in perpetual contracts have returned to pre-Christmas levels, but funding rates are still reacting to spot movements, awaiting a clear crypto-specific catalyst. Among options, realized volatility has increased, closing the gap with implied volatility. While skew remains bullish for longer tenors, it has tilted toward OTM puts during a recent spot sell-off.

Please check out the report’s highlights.

Funding Rates Back to Positive

Sources: Bybit, Block Scholes

Throughout the week, perpetual swap funding rates have fluctuated with spot prices but have not consistently gone negative. This indicates strong demand for long positions in the contract despite the downturn, or at least a lack of interest in short positions, due to liquidations or other factors. Major cryptocurrencies BTC and ETH are generally guiding market trends, with CRV and ATOM standing out for their consistently bullish and bearish rates over the past week. While CRV hasn’t shown clear outperformance in spot trading, ATOM has been more significantly affected, trading 30% below its monthly high.

Longer-Dated BTC Options Skew to Calls

Sources: Bybit, Block Scholes

BTC's realized volatility has rebounded strongly this week, closing the gap with higher implied volatility from options, unlike the near-20 point deficit during the illiquid winter break. Demand for short-tenor options has risen to cover exposure to short-term spot movements, resulting in a flat-term structure of volatility, with short-tenor skews reacting to price fluctuations. In contrast, longer-dated optionality remains skewed toward OTM calls, maintaining implied volatility in the high 50s. Meanwhile, open interest in calls and puts is balanced, likely due to investors hedging long positions with puts while leveraging calls to capitalize on upward price movements since the election.

Volatility Skews Tilt Positively

Sources: Bybit, Block Scholes

Both BTC and ETH have seen their volatility smiles shift toward OTM puts at short tenors following Wednesday’s bullish CPI release. While BTC's spot price is just below $100K, volatility smiles now show higher implied volatility for OTM calls than puts, indicating bullish sentiment. However, within the past week shorter-tenor volatility smiles had shown a bearish tilt. These changes reflect traders' sensitivity to spot movements, which are influenced by macroeconomic news.

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