Crypto Derivatives Week 15: BTC/ETH Options Volatility, Put Skew and Iran Risk
Crypto Derivatives: Block Scholes’ Week 15 analytics show volatility stays elevated but is less inverted than a week ago in BTC and ETH options. BTC now trades ~45% below its October 2025 all-time high, after a halt in the spot selloff, which helped improve risk sentiment via the Block Scholes risk appetite index. ETH’s risk appetite is higher and closer to the -0.5 level that has historically preceded bullish momentum.
Despite improving risk appetite, directional sentiment remains strongly pessimistic across crypto options. The 25-delta risk reversal still favors out-of-the-money (OTM) puts, keeping a bearish skew. For BTC, the put skew is weaker than last week, but uncertainty tied to the war in Iran remains a key overhang as Trump has set a Tuesday 8:00 PM ET deadline to reach an “acceptable” agreement.
Volatility dynamics: BTC implied volatility fell sharply over the past week but is only slightly compressed at the start of this week, while the ETH term structure “disinverts,” with shorter tenors trading a bit lower.
Notable sources/figures: Block Scholes (analytics), with references to Deribit market data snapshots (CeFi composite and cross-exchange volatility smiles/constant-maturity surfaces).
Neutral
这则新闻对交易的影响偏“中性”，原因在于它同时给出两股力量：一方面，Crypto Derivatives 相关的期权波动率从更强的倒挂状态中缓和，BTC 现货抛压暂缓、风险偏好指数回升，且 ETH 更接近历史上利好启动的 -0.5 区间——这些因素通常会降低短线恐慌、支持风险资产出现反弹；另一方面，方向性仍很差。Crypto Derivatives 的关键指标显示 25-delta 风险逆转依然偏向 OTM puts，看跌偏斜虽较上周减弱但未扭转，这往往意味着市场在“用期权对冲下行”，而不是形成稳定的上行动能。
同时，伊朗/特朗普协议的周二截止时间构成明显的事件驱动风险。类似历史上“重大地缘政治截止节点”临近时，隐含波动率可能先维持高位，交易更偏向保护性仓位（买put或卖call），导致即便风险偏好短期回暖，价格方向也未必立刻转强。
短期（事件前）：看跌对冲需求可能延续，波动率可能仍“高位震荡”；若风险偏好进一步上行但看跌偏斜不消退，可能更偏向区间交易。中长期（事件后）：一旦协议落地或不确定性缓解，若 put skew 进一步收敛并与风险偏好同向，才更可能触发趋势性反转；否则，波动回落但方向不明的“中性/震荡”格局更可能延续。