Deribit Insights reported on June 11 that the Block Scholes Risk Appetite Index fell significantly below 0.05 following a near-20% spot market decline last week, as Bitcoin consolidated above $60,000. The drop in risk appetite coincided with the longest outflow streak from spot Bitcoin ETFs since those products launched. The analytics report, which uses Block Scholes data, indicated that crypto derivatives traders pulled back sharply after the sell-off, with positioning remaining cautious despite spot price stabilization.
Risk Appetite Index Drops Below 0.05 Amid ETF Outflows
The Risk Appetite Index is a proprietary Block Scholes measure. Deribit Insights stated that a reading below 0.05 points to a market where demand for risk has collapsed compared with more constructive periods. The report noted that the drop coincided with the longest outflow streak from spot Bitcoin ETFs since those products launched.
The report also discussed corporate treasury activity around Strategy Inc., noting both a small 32 BTC sale disclosure and a later announced purchase of 1,550 BTC worth $103.1 million. Strategy Inc.'s activity is often watched as a proxy for corporate Bitcoin demand, according to the report.
BTC Options Skew Recovers From Bearish Levels
According to the report, BTC 25-delta risk reversals were just short of -9%, recovering from around -19% five days earlier when spot broke below $60,000. Negative skew means traders are still assigning more value to downside protection than upside calls, the report stated. The improvement from -19% suggests panic has eased, but the market has not returned to a firmly bullish posture, Deribit Insights noted.
The report indicated that spot consolidation above $60,000 may look calmer on the surface, but options traders appear to be keeping hedges in place while waiting for stronger confirmation.
ETH Funding Rates Turn Negative Since June 5
The report pointed to pressure in Ethereum derivatives. ETH funding rates have traded negative since June 5, which indicates bearish bias in perpetual swap markets, according to Deribit Insights. Negative funding shows that leveraged traders are currently more willing to pay to maintain bearish ETH exposure than bullish long exposure, the report stated.
Deribit's report also noted that ETH spot price is down 66% from its August 2025 record high. That larger drawdown helps explain why sentiment remains fragile, even if short-term prices stabilize, according to the report.
FAQ
What did the Block Scholes Risk Appetite Index show on June 11?
Deribit Insights reported on June 11 that the Block Scholes Risk Appetite Index fell significantly below 0.05 following a near-20% spot market decline last week. The report stated that a reading below 0.05 points to a market where demand for risk has collapsed.
Why did BTC options skew recover from bearish levels?
According to the Deribit Insights report, BTC 25-delta risk reversals recovered from around -19% to just short of -9% five days after spot broke below $60,000. The report stated that the improvement from -19% suggests panic has eased, though the market has not returned to a firmly bullish posture.
What does negative ETH funding indicate about Ethereum derivatives?
The report pointed out that ETH funding rates have traded negative since June 5, which indicates bearish bias in perpetual swap markets. Deribit Insights stated that negative funding shows leveraged traders are more willing to pay to maintain bearish ETH exposure than bullish long exposure.
