Risk Aversion Drives Markets Lower As Investors Take Out Option Insurance

24 June 2026, London, UK.

The global tech stock selloff of the last 24 hours has coincided with another bout of de-risking out of digital assets, pushing up options prices, which indicates that investors are paying more for insurance against further potential downside price movements.

We’ve seen this story before several times over the past year alone. Fears over lofty AI valuations and concerns around AI spending have driven risk-off moves in US equities, and those risk-off moves have coincided with a selloff in Bitcoin (BTC) and crypto, which still remains strongly correlated to the S&P 500 and Nasdaq-100. 

7-day at-the-money BTC implied volatility jumped from 35% to 42%, while the volatility premium for downside protection increased once more. The 25-delta put-call skew, a measure of the implied volatility of out-of-the-money calls relative to puts, has fallen from -3% last week to -10% yesterday. We’ve seen OTM puts trade with higher implied volatility than calls for most of this year, unsurprising given how far BTC is from its all-time high. Even brief periods of spot recovery for example the May rally back towards $80K have been unable to drive a meaningful skew back towards call options, further indicating investors' risk aversion.

Beyond the recent tech selloff, our data has revealed an interesting trend in volatility and options markets over the first half of 2026, namely the compression in the ETH/ BTC at-the-money implied volatility ratio. 

Last year, that ratio increased to as much as 2.5, indicating that ETH 7-day options traded with an implied volatility 2.5x larger than similarly dated BTC options. In 2026 however, the ratio has spent much of the year hovering between 1.3 and 1.4, driven partly by a compression in ETH volatility towards BTC volatility. One potential factor behind that compression could be the impact of institutional sellers of volatility.

In a SEC filing covering the period ending February 28, 2026, Bitmine, the largest digital asset treasury firm for ETH announced that the “Company began entering into ETH-denominated option contracts, primarily through the sale of put options”. 

Additionally, there are now a number of covered-call style ETH ETFs available, including Grayscale’s ETCO, Global X’s EHCC ETF and Amplify ETFs EHY. We’ve speculated in the past that the structural selling of volatility by digital asset treasuries had been one factor contributing to the oversupply of volatility in BTC options markets, and we could now be seeing something similar in ETH options.

About Block Scholes

Block Scholes is an institutional-grade crypto derivatives research, analytics, data and oracle provider. The company delivers real-time and historical market data, SVI-calibrated volatility surfaces, forward curves, Greeks, pricing feeds, research and strategy tools across crypto options, futures, perpetuals and spot markets.

Block Scholes serves institutional clients across traditional finance and digital assets, including banks, hedge funds, trading firms, exchanges and DeFi protocols. Its data is available on the Bloomberg Terminal, where it provides BTC and ETH crypto options volatility surfaces and related analytics to institutional users.

In DeFi, Block Scholes provides oracle infrastructure for derivatives protocols, delivering pricing, implied volatility and other risk inputs used for trading, margining, settlement and liquidation workflows. It supports a significant share of on-chain options activity and is designed to bring institutional-quality pricing and risk infrastructure to decentralised markets.