Bitcoin Options Volatility Regimes and Systematic Premium Strategies
Summary
This report examines Bitcoin options data from April 2019 through December 2022 across distinct spot and volatility regimes. It studies at-the-money term structure, spot and volatility relationships, 25-delta risk-reversal skew, and variance risk premium. The analysis describes contango as the prevalent term-structure state, with backwardation associated with volatility shocks, and reports that the 2022 spot-volatility relationship and skew differed sharply from earlier periods. It also notes changes in call-wing pricing relative to at-the-money volatility and explains how BTC collateral and futures basis complicate options exposure.
The report proposes backtesting risk-reversal premium harvesting and systematic volatility trading, and conditions premium analysis on term-structure and skew regimes. In contango, the reported average variance risk premium is positive; positive-skew and backwardation combinations show different, noisier behavior. These historical findings motivate strategy research but do not establish future profitability. The excerpt omits parts of the report, and its results rely on a limited historical sample and market structure that may change.
Key ideas
- The study compares Bitcoin options behavior across spot and volatility regimes from 2019 to 2022.
- At-the-money term structure was usually in contango, while backwardation appeared around volatility shocks.
- Spot-volatility relationships and risk-reversal skew changed materially across years, especially in 2022.
- Variance risk premium varies with term structure and skew, so the report segments its analysis by both conditions.
- BTC collateral and futures basis add exposure considerations when interpreting Bitcoin options.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.