Deribit crypto derivatives week: BTC/ETH rally but skew stays bearish
Block Scholes’ “Crypto Derivatives: Analytics Report – Week 18” says BTC is up ~16% month-to-date and reached a 12-week high above $79K. The move is linked to nine straight days of Spot ETF inflows and about $2.8B of buying from “Strategy,” while the BTC/ETH Risk Appetite Index rises toward ~0.5 (a typically more bullish regime).
However, derivatives still do not fully confirm the spot rally. Funding rates have not turned meaningfully positive, and 25-delta skew remains tilted toward put options. Historically, when spot gains ~15–16% over 20 days, BTC and ETH 7-day options often show a +1–2% positive call skew; the report notes this effect has not persisted.
Volatility is falling. Implied volatility continues a selloff, with front-end vol declining and a positively sloped term structure. For options positioning, BTC 25-delta risk reversal suggests OTM put options still carry a premium even near the 12-week high. Skew briefly shifted toward calls after BTC broke above $78K mid-month, but it quickly reverted.
For ETH, short-dated implied volatility has dropped from April highs (~71%) to around ~50%. ETH skew trades sideways over the past week, again leaning toward put contracts rather than sustained call demand.
Overall, the market shows improving spot momentum and rising “risk appetite,” but option structure and funding remain inconsistent—watch for confirmation via funding turning positive and skew flipping toward calls in BTC and ETH derivatives.
Neutral
The report is overall neutral because spot is clearly strengthening while derivatives risk signals remain mixed. BTC’s spot rally (about +16% MTD, 12-week high above $79K) and a rising Risk Appetite Index toward ~0.5 point to improving sentiment. But funding rates haven’t meaningfully turned positive and 25-delta skew is still pricing more put premium, which often reflects persistent hedging demand or caution.
Historically, when BTC/ETH spot rallies sharply (15–16% over ~20 days), call-skew typically improves for 7-day options. Here, the call-skew effect appears weak or short-lived—skew briefly tilted toward calls after the mid-month break above $78K, then quickly reverted. That pattern resembles prior “spot-led rallies” where options markets lag, warning that upside may face volatility or hedging resistance until funding and skew confirm.
Short term, traders should treat the move as potentially fragile: watch for whether funding flips positive and risk reversals move toward calls (bullish confirmation). If skew continues to favor puts and front-end implied vol keeps sliding without a bullish flip, rallies may stall or become choppy. Long term, falling implied volatility can support calmer conditions, but sustained direction likely requires derivatives to align with spot—otherwise the market may oscillate between bullish spot momentum and defensive derivative positioning.