BTC and ETH Implied Volatility Structure and Skew

Summary

This commentary compares Bitcoin and Ether options using at-the-money implied volatility term structures, a one-month volatility time series, and volatility smiles. It reports a somewhat inverted term structure: options expiring in less than a month had higher implied volatility than options at one to two months. The two assets had similar overall implied volatility levels, while Ether’s smile showed somewhat more put skew. The commentary also notes that Ether’s implied volatility had recently moved above Bitcoin’s after a long period when it was generally priced higher.

The evidence is a snapshot and recent historical comparison attributed to Block Scholes, including one-month levels described as near the lower end of their historical range despite a pickup in realized volatility. The report links the timing to upcoming macroeconomic events, but does not establish a causal connection or give a trading strategy, performance results, or detailed data. These observations are time-specific and should be treated as a market snapshot rather than a durable relationship between the assets.

Key ideas

• Short-dated BTC and ETH at-the-money implied volatility was elevated relative to one- and two-month options.
• The two assets had similar outright implied volatility levels in the reported snapshot.
• Ether implied volatility had moved above Bitcoin’s after a long-running pattern of higher Ether volatility.
• Ether’s one-month volatility smile showed somewhat stronger put skew than Bitcoin’s.
• The reported volatility levels were near the low end of their historical range despite a recent rise in realized volatility.

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