Bybit X Block Scholes crypto derivatives analytics report (Mar 21, 2025): Short-term protection subsidies as sentiment reverses

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.

Global asset prices stabilized this week, with cryptocurrencies maintaining a strong correlation to US equities during the recovery. BTC is trading above $85K, and ETH has regained the $2K mark. Despite this, derivatives market activity remains low, with negative funding rates for major tokens like BTC, ETH and SOL. Demand for short-dated options, which had surged for downside protection, has decreased as realized volatility has subsided.

Please check out the report’s highlights.

Short-term protection falls as the market calms

Sources: Bybit, Block Scholes

A quieter spot market corresponds with a calmer options market. While lower realized volatility hasn't restored BTC's term structure of at-the-money implied volatility to an upward slope (as it has for ETH), short-dated volatility has decreased. The recent pause in a month-long sell-off has stabilized option markets and sharply reduced demand for short-dated protective puts.

ETH volatility falls

Sources: Bybit, Block Scholes

Lower realized volatility in ETH’s spot price has reversed the at-the-money implied volatility term structure, leading to reduced volatility expectations. However, options activity remains significantly lower than at the end of February 2025, with modest open interest in longer-dated contracts and the rollover of expired weekly options. Demand for call options is exceeding that for puts, as ETH's spot price has rallied to the key $2K level.