Bybit X Block Scholes Crypto Derivatives Analytics Report (Jun 4, 2025): ETH outperforms while investors buy more protection than BTC
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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.
As BTC's spot price dropped below its ATH of $111K, sentiment in the options markets shifted. The previous bullish skew in volatility smiles has diminished, briefly favoring OTM puts before returning to neutral. ETH's volatility term structure is now compressed, with short-tenor skew also leaning toward OTM puts, while ETH funding rates show more bullish sentiment than options markets implies.
On another note, BTC’s much steeper term structure than that of ETH suggests low protection over BTC for investors.
Please check out the report’s highlights.