Comparing BTC and ETH Options Volatility and Skew Across Expiries

Summary

This commentary compares bitcoin and ether option markets using at-the-money implied volatility and the term structure of volatility skew. In the cited snapshot, ether’s at-the-money implied volatility was above bitcoin’s, while both markets showed a preference for out-of-the-money puts. The author links ether’s relative volatility premium and downside hedging demand to the approaching Beacon Chain unlock, while presenting this as a possible explanation rather than a proven cause.

The discussion uses the SABR rho parameter to describe skew: positive values correspond to relatively richer out-of-the-money calls, and negative values to relatively richer puts. The skew relationship varied by expiry; bitcoin showed stronger put skew at two- and three-month tenors, while ether had stronger downside preference at other points. Ether’s two-week smile stood out, with puts priced near one-month volatility levels and calls closer to the one-week level. These observations are a single market snapshot, not a forecast or a trading test, and the commentary supplies no performance evidence.

Key ideas

• Ether’s at-the-money implied volatility exceeded bitcoin’s in the reported snapshot.
• Both assets showed negative skew, indicating relatively expensive out-of-the-money puts.
• SABR rho summarizes the direction of volatility smile skew toward puts or calls.
• The relative strength of BTC and ETH put skew differed across expiries.
• Ether’s two-week smile showed a notable gap between put and call implied volatility.

Tags

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