Block Scholes X Bybit Crypto Derivatives Analytics Report (Sep 4, 2024): Volatility Spikes on Front End With BTC Put Options Open Interest Higher Than Call Options

Key Highlights:

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

Following last week's drop in spot prices, implied volatility has increased across the term structure for both major cryptocurrencies, particularly on the front end. For instance, ETH's 7-day option volatility has matched that of long-tenor options. Derivatives markets have shown a skew toward out-of-the-money (OTM) puts for short-term options, indicating a strengthening short-term bearish outlook as spot prices remain weak.