Comparing Bitcoin and Ether Put Skew Across Option Maturities

Summary

This commentary compares Bitcoin and Ether option volatility smiles, focusing on the relative pricing of out of the money puts. It uses 25 delta risk reversals and volatility smiles at one and three month maturities to show that Ether puts carry higher implied volatility than comparable Bitcoin puts. The difference appears across the term structure, with the gap widening somewhat at maturities beyond two months, rather than concentrating around one apparent event date.

The article also notes that both assets returned to a modest downside tilt after a late January recovery in skew. Its evidence is descriptive market data, including a snapshot from February 2023, and the text reports no backtest or causal test of why traders preferred Ether downside protection. A section about stablecoin flows around a regulatory announcement appears alongside the options discussion, but does not directly establish the cause of the relative skew. The analysis therefore describes relative option pricing and possible hedging preference, not a standalone forecast or strategy.

Key ideas

• Ether options showed greater implied volatility for out of the money puts than Bitcoin options.
• The relative skew appeared across maturities, suggesting it was not tied to one specific future date.
• Both assets showed a return to modestly pessimistic skew after a late January shift.
• Risk reversals and volatility smiles provide complementary views of relative call and put pricing.
• The observed skew indicates market pricing, but does not establish its cause or predict subsequent returns.

Tags

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