Bybit x Block Scholes Report: BTC Options Steady with Call-Put Parity, ETH Braces for Short-Term Volatility

DUBAI, UAE, Jan. 3, 2025 /CNW/ -- Bybit, the world's second-largest cryptocurrency exchange by trading volume, has released its latest crypto derivatives analytics report in collaboration with Block Scholes. The report sheds light on key trends in open interest and market behavior during the significant year-end options expiration for Bitcoin (BTC) and Ethereum (ETH).

Key highlights:

Sources: Bybit, Block Scholes

Open Interest Solid Amid Year-End Options Expiration

Although open interest in BTC and ETH perpetual swaps has not returned to the early December 2024 highs, it remained stable during the critical year-end options expiration. This stability suggests that traders did not heavily rely on perpetual contracts to hedge the delta of expiring options, which contributed to the muted volatility observed during this period. Trading volumes dipped during the winter holiday season, aligning with a collapse in realized volatility, which reached its lowest levels of December.

BTC Option Curve Remains Steep During Call-Put Parity

Contrary to expectations, the expiration of December's options did not spark a surge in volatility. Instead, realized volatility declined to the lower end of its recent range. The implied volatility term structure for BTC options remains steep, with longer-dated implied volatility hovering around 57% and 1-week at-the-money options trading approximately five points lower. Most of the expired open interest has not been reinvested, maintaining a neutral call-put balance. As a result, BTC's options market shows limited leverage compared to its position at the beginning of December 2024, reflecting a cautious sentiment.

Huge ETH Option Expiring Doesn't Cause Volatility

Despite the substantial expiration of ETH options in late December 2024, market dynamics remained stable. A spike in realized volatility during December failed to extend into the new year, with ETH's spot price currently showing lower volatility compared to short-tenor implied volatility. Over the past week, the implied volatility term structure for ETH options has shifted, steepening briefly before flattening again, diverging from BTC's consistently steep profile. This pattern suggests that ETH's options market is bracing for potential short-term volatility in spot price movements.

Interestingly, despite the expiration, call options for ETH have gained momentum at the start of 2025, dominating the market and indicating an optimistic outlook among traders.

Access the Full Report:

Gain deeper insights and explore the potential impacts on your crypto trading strategies by downloading the full Bybit x Block Scholes Crypto Derivatives Analytics Report.

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About Bybit

Bybit is the world's second-largest cryptocurrency exchange by trading volume, serving a global community of over 60 million users. Founded in 2018, Bybit is redefining openness in the decentralized world by creating a simpler, open and equal ecosystem for everyone. With a strong focus on Web3, Bybit partners strategically with leading blockchain protocols to provide robust infrastructure and drive on-chain innovation. Renowned for its secure custody, diverse marketplaces, intuitive user experience, and advanced blockchain tools, Bybit bridges the gap between TradFi and DeFi, empowering builders, creators, and enthusiasts to unlock the full potential of Web3. Discover the future of decentralized finance at Bybit.com.

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