Comparing Bitcoin and Ether Options Skew After ETF News
Summary
This commentary compares Bitcoin and Ether option smile skew after news of a Bitcoin spot ETF application. Both markets continued to price out-of-the-money puts at higher implied volatility than similarly distant calls, but Bitcoin’s call-put volatility gap narrowed while Ether’s skew toward puts remained more pronounced. The account attributes much of the difference to weaker Ether calls relative to Ether puts and Bitcoin calls.
It uses 25-delta risk reversals to track short-dated skew and describes SABR rho as a measure of skew across a volatility smile, with its term structure showing how relative upside and downside volatility pricing varies by expiry. The snapshot suggests Ether options reflected greater near-term pessimism, while Bitcoin’s strongest put preference appeared in intermediate tenors. These are dated market observations, not causal proof that ETF news drove the changes or evidence of a repeatable trading edge; the commentary provides no strategy backtest.
Key ideas
- A 25-delta risk reversal summarizes the relative implied volatility of out-of-the-money calls and puts.
- Both Bitcoin and Ether options still showed a premium for downside protection over comparable upside exposure.
- Bitcoin’s skew became less put-heavy while Ether calls underperformed relative to puts and Bitcoin calls.
- SABR rho can describe skew across a smile, and its term structure compares skew across expiries.
- The reported differences are market snapshots and do not establish a causal effect or profitable trade.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.