Comparing BTC and ETH Option Volatility Skews After Rallies
Summary
This commentary compares short-dated Bitcoin and Ether option volatility smiles after two weekend rallies. It uses 25-delta put-call skew and SABR smile snapshots to describe how implied volatility differs across out-of-the-money puts, at-the-money options, and out-of-the-money calls. Ether’s short-tenor skew shifted back toward puts more quickly, as its out-of-the-money call volatility fell sharply while put volatility stayed relatively elevated. Bitcoin’s short-dated smile became more neutral, with calls and puts priced at similar levels.
The article also reports that Bitcoin’s smile remained elevated across strikes at shorter tenors, about 15% above its pre-rally lows. These observations illustrate how option skew can reflect changing demand for upside and downside exposure. The evidence is descriptive and tied to specific market snapshots; the article provides no trading rules, performance test, or causal proof that rallies produced the changes.
Key ideas
- Short-dated Ether options returned to a stronger out-of-the-money put skew than Bitcoin options.
- Ether’s skew shifted as out-of-the-money call volatility fell while put volatility remained relatively elevated.
- Bitcoin’s short-dated calls and puts were priced at similar volatility levels.
- Bitcoin’s shorter-tenor volatility smile remained elevated across strikes compared with pre-rally levels.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.