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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.
The crypto market has declined over the past two weeks. Despite low volatility and decreasing open interest, most tokens, including BTC, still have positive perpetual funding rates, suggesting optimism for a rebound toward the ATH of $111.9K. BTC contracts lead the market with over $5B in open interest, but negative price trends have reduced daily perp trading volumes to about half of the mid-May levels.
BTC's recent rise to an all-time high featured unexpectedly low volatility, and the current sideways price action has seen even lower implied volatility. Last week, even when BTC hit a low of $103K on May 31, 2025, implied volatility remained at 35%, a level it has consistently rebounded from for 19 months. An exception occurred in mid-May, when 7-day implied volatility dropped to 31% before recovering. This decline in short-dated volatility has steepened BTC’s term structure, contrasting with ETH's flat volatility curve.
BTC's performance remains a key indicator for the crypto market, with its recent drop leading to declines in most of the top 10 cryptocurrencies. However, ETH has shown more resilience, down only 1.67% over the past week as compared to BTC's drop of over 3%. Realized volatility for ETH has flattened at 60%, while implied volatility has decreased across tenors, compressing the term structure. Similarly, daily trade volumes in ETH options have remained lower at the end of May and early June as compared to mid-May, when call option volumes exceeded $150M.
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