Bybit X Block Scholes Report: BTC Volatility Hits Historic Lows, Skew Turns Bearish; Put Spreads Favored

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26 Sep, 2025, 15:08 GMT

DUBAI, UAE, Sept. 26, 2025 /PRNewswire/ -- Bybit, the world's second-largest cryptocurrency exchange by trading volume, has released its latest Bybit X Block Scholes Options Volatility Report. in collaboration with Block Scholes. The latest edition highlights a sharp decline in realized volatility across major cryptocurrencies, a bearish shift in bitcoin skew, and strategic insights into options positioning.

The report underscores a market dynamic where realized volatility for bitcoin (BTC), ether (ETH), and solana (SOL) reached historic lows in early September, even as macroeconomic headwinds and monetary policy shifts added pressure to global markets. Despite the subdued realized activity, implied volatility remains elevated, pointing to ongoing demand for risk protection.

Key highlights:

Historic lows in realized volatility: BTC, ETH, and SOL all posted realized volatilities significantly below their 2025 averages, with BTC falling to 20% compared to its annual mean of 42%.
Persistent implied premium: Options continue to price implied volatility at roughly 1.5 times realized levels across major assets, a trend that narrowed slightly following the Federal Reserve's September policy decision.
Bearish bitcoin skew: Despite bitcoin's all-time high of $124,000 in August, options markets priced downside protection at a premium, marking a sentiment shift from bullish to bearish. BTC skew has since remained negative, while ETH skew diverged in late September toward call-side strength.

Realized Volatilities Collapse to Historic Lows

Despite macro-driven rallies in August and September, realized volatility for BTC, ETH, and SOL fell to historic lows. Seven-day realized volatility dropped to 20% for BTC (vs. a 2025 average of 42%), 40% for ETH (vs. 71%), and 56% for SOL (vs. 85%). Implied volatility, however, held at roughly 1.5 times realized levels across all three assets, a pattern the report attributes to structural demand for optionality beyond short-term event risk.

BTC Skew Reflects Bearish Sentiment Amid Inflation Shock

Bitcoin's August 14 all-time high of $124,000 quickly reversed following a hotter-than-expected inflation print, driving risk-off sentiment. Options markets reacted with BTC's 90-day skew turning negative for only the third time this year, reflecting strong demand for downside protection at that time. The bearish skew has persisted through September, with ETH diverging — flipping bullish on out-of-the-money calls — creating the sharpest year-to-date split in skew and volatility between the two assets.

The full analysis is available in the Bybit X Block Scholes Options Volatility Report.

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