Comparing Bitcoin and Ether Option Skew Across Tenors
Summary
The commentary compares implied volatility smiles for Bitcoin and Ether options, focusing on the SABR rho parameter as a measure of tilt toward out-of-the-money calls or puts. At the cited snapshot, both assets show negative rho across maturities, while Ether has the stronger put skew, with the largest difference at three months.
It relates the skew gap to relative option prices: Ether’s at-the-money volatility and out-of-the-money call volatility are lower than Bitcoin’s, while out-of-the-money put volatility is closer between the assets. Historical three-month data is described as having fluctuated around parity before the spread recently favored Bitcoin, indicating comparatively greater demand or pricing for Ether downside protection. The note offers a snapshot and historical comparison, but no trading rule, performance test, or causal proof; the interpretation is limited to the stated volatility-surface measures.
Key ideas
- SABR rho describes whether an implied volatility smile tilts toward out-of-the-money calls or puts.
- Both Bitcoin and Ether show negative skew across the reported maturities.
- Ether’s put skew is stronger than Bitcoin’s, especially at the three-month tenor.
- Ether’s lower at-the-money and call volatilities contrast with put volatilities that are closer to Bitcoin’s.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.