Bybit x Block Scholes Derivatives Report: BTC Options Steady With Call-Put Parity, ETH Braces For Short-Term Volatility
In Brief
Bybit, in partnership with Block Scholes, has released the report on crypto derivatives analytics, providing insights into trends in open interest and market behavior during the year-end options expiration for BTC and ETH.
Cryptocurrency exchange Bybit announced the release of its latest report on cryptocurrency derivatives analytics, developed in collaboration with Block Scholes, a company specializing in tools for crypto-asset derivatives. The study offers insights into trends in open interest and market behavior during the year-end options expiration for Bitcoin (BTC) and Ethereum (ETH).
The report highlights that while open interest in BTC and ETH perpetual swaps has not returned to the levels seen in early December 2024, it remained steady throughout the crucial year-end options expiration. This consistency implies that traders did not rely heavily on perpetual contracts to hedge the delta of expiring options, contributing to the subdued volatility observed during this period. Trading volumes saw a decline during the winter holiday season, aligning with a drop in realized volatility, which reached its lowest levels for December.
Interestingly, contrary to initial expectations, the expiration of December options did not trigger a significant increase in volatility. Instead, realized volatility fell to the lower end of its recent range. The implied volatility term structure for BTC options remains steep, with longer-dated implied volatility around 57%, while 1-week at-the-money options trade roughly five percentage points lower. The expired open interest has largely not been reinvested, maintaining a balanced call-put ratio. Consequently, BTC’s options market displays limited leverage compared to early December 2024, indicating a more cautious market sentiment.
Huge ETH Options Expiry Doesn’t Trigger Volatility
Despite the considerable expiration of ETH options in late December 2024, market dynamics have shown stability. A spike in realized volatility during December did not persist into the new year, and ETH’s spot price currently reflects lower volatility compared to short-tenor implied volatility. Over the past week, the implied volatility term structure for ETH options experienced a brief steepening before flattening again, contrasting with BTC’s consistently steep profile. This trend suggests that ETH’s options market is positioning itself for potential short-term spot price fluctuations.
Notably, despite the expiration, ETH call options have gained momentum as 2025 begins, dominating market activity and signaling an optimistic sentiment among traders.
Bybit is recognized globally for its substantial trading volume and a user base exceeding 50 million. The platform is designed to accommodate both cryptocurrency investors and traders, offering a variety of features, including a high-speed matching engine, round-the-clock customer support, and multilingual services to ensure a seamless experience for its diverse international audience.
Recently, Bybit integrated the liquid staking protocol Tonstakers, which operates on The Open Network (TON) blockchain, into its Web3 Wallet, marking the first of Bybit Web3’s staking offerings for TON and reinforcing its commitment to expanding decentralized finance (DeFi) opportunities for users.
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About The Author
Alisa, a dedicated journalist at the MPost, specializes in cryptocurrency, zero-knowledge proofs, investments, and the expansive realm of Web3. With a keen eye for emerging trends and technologies, she delivers comprehensive coverage to inform and engage readers in the ever-evolving landscape of digital finance.
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Alisa, a dedicated journalist at the MPost, specializes in cryptocurrency, zero-knowledge proofs, investments, and the expansive realm of Web3. With a keen eye for emerging trends and technologies, she delivers comprehensive coverage to inform and engage readers in the ever-evolving landscape of digital finance.
