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Bitcoin and Ethereum Options Volatility, Skew, and Relative Value

Article Amberdata research
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Summary

This market recap reviews Bitcoin and Ethereum derivatives conditions, including realized and implied volatility, skew term structure, carry, and relative value. It reports that realized volatility had eased, front-end implied volatility softened before recovering, and both assets showed positive carry. The account links changes in short-dated skew to Bitcoin’s attempted move above 65,000 and geopolitical concerns, while noting demand for longer-dated Bitcoin calls tied to year-end expectations.

The commentary suggests using October risk reversals to protect long positions and compares ETH with BTC: ETH volatility had attracted more selling, while its volatility premium and relative skew varied across maturities. These are market observations and trade views from a single weekly recap, not a systematic strategy or backtest. The outlook depends on macroeconomic and geopolitical events, and the document provides no performance evidence or detailed risk parameters.

Key ideas

  • Realized volatility in BTC and ETH was described as declining during the reporting week.
  • Front-end implied volatility first weakened and then rebounded amid geopolitical developments.
  • The recap characterized carry as positive in both assets and described a contango in skew term structure.
  • Short-dated BTC call skew rose during an attempted spot breakout, then faded as demand for puts returned.
  • The author considered October risk reversals as a possible way to protect long exposure.
  • ETH volatility and relative skew were compared with BTC across maturities.

Tags

CryptoOptionsVolatilityCarryDerivatives pricing

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