Bitcoin and Ethereum Options Pricing Around a Political Event

Summary

This market commentary examines crypto options and volatility around the US presidential inauguration, alongside regulatory developments and upcoming economic releases. It argues that Bitcoin’s implied volatility around the event was close to the realized volatility that followed, while Ethereum’s implied volatility was comparatively expensive and its realized volatility underperformed. The newsletter also discusses volatility risk premia, call and put positioning, open interest, and possible catalysts that could affect Ethereum’s relative performance against Bitcoin.

For Ethereum, the author considers a delta-neutral call ratio structure: selling one call and buying two, with perpetual futures used to offset delta. The thesis is conditional on the possibility of a sharp upside announcement or a severe decline, and the commentary says the structure could benefit from either outcome. Evidence consists of the author’s interpretation of volatility charts, options positioning, and market data; it is not a controlled analysis or a documented trade result. The report is a time-specific market view, includes speculative scenarios, and discloses that its authors hold crypto assets.

Key ideas

• The commentary says Bitcoin event implied volatility closely matched subsequent realized volatility.
• It characterizes Ethereum event implied volatility as overpriced relative to realized movement.
• The author discusses a delta-neutral call ratio position as a way to express Ethereum tail-risk scenarios.
• Options positioning and relative ETH/BTC weakness inform the commentary’s market view.
• Its conclusions are time-sensitive opinions based on market observations, not a tested strategy record.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.