Comparing BTC and ETH Options Volatility and Skew
Summary
This commentary compares Bitcoin and Ether options using at-the-money implied volatility across maturities, realized volatility, and one-month risk reversals. At the September 2023 snapshot, ETH implied volatility was reported below BTC’s throughout the curve, even though their recent realized volatility levels were close. A rolling ratio of BTC to ETH implied volatility is used to show that the relative gap had widened to an extreme in the period reviewed.
The article also finds broadly similar, slightly put-leaning skew for both assets, suggesting comparable demand for downside protection despite different overall volatility pricing. It interprets the small skew changes as showing no strong directional positioning ahead of an FOMC meeting, and notes increased equity correlation. These observations concern a particular market snapshot and historical comparison; the ratio and risk reversal describe options pricing, not realized outcomes or a reliable prediction of future volatility or direction.
Key ideas
- BTC options priced higher at-the-money implied volatility than ETH across the maturities examined.
- Recent realized volatility for BTC and ETH was reported as broadly similar.
- A rolling implied-volatility ratio showed ETH volatility trending lower relative to BTC since the prior September.
- Both assets had a slight skew toward out-of-the-money puts, indicating similar downside-protection pricing.
- Options metrics describe market expectations and positioning, not guaranteed future outcomes.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.