Crypto Derivatives 24 June 2025

Keep up with the latest in crypto market commentary as we share the insights from our institutional research partners.

In this edition, we share the latest crypto derivatives weekly from Block Scholes.

The past three days has seen the US militarily join Israel in its conflict against Iran, bombing three key Iranian nuclear sites. That sent BTC below $100K for the first time since early-May, flattening its term structure of volatility as front-end volatility jumped to 45%. ETH spot price fell to its lowest intraday level since May 9, and short-tenor options led the move in implied volatility, resulting in a term structure inversion which has yet to be resolved fully. Iran retaliated yesterday afternoon which initially sent markets lower once more – though it was later revealed to be a de-escalatory reaction with advance notice to Washington. That then sent markets soaring, a rally extended further by President Trump announcing an official ceasefire between Iran and Israel. BTC now currently trades at $105K.

ATM Implied Volatility, 1-Month Tenor

BTC Options

BTC SVI ATM Implied Volatility

After a brief flattening of the term structure yesterday, the volatility curve is once more upward sloping.

BTC 25-Delta Risk Reversal

BTC’s skew briefly traded positive, in favour of OTM calls, before reversing direction after spot slips

ETH Options

ETH SVI ATM Implied Volatility

ETH’s term structure still contrasts that of BTC – inverted, though at lower outright levels than last week.

ETH 25-Delta Risk Reversal

ETH short-tenor smiles skewed as much as 15% towards OTM puts when Trump announced US strikes on three key Iranian nuclear sites – though that has now abated to a 3% skew towards OTM puts.

Market Composite Volatility Surface

Listed Expiry Volatility Smiles

Constant Maturity Volatility Smiles

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