Comparing BTC and ETH Volatility Skew After SEC Binance Lawsuit
Summary
This commentary compares spot performance and short-dated option pricing for Bitcoin and Ether after the SEC announced a lawsuit targeting Binance and named several proof-of-stake tokens as securities. It reports a broad spot-market decline, with Bitcoin falling more sharply than Ether, while two-week at-the-money implied volatility rose only modestly. Ether’s implied volatility later settled below Bitcoin’s, despite Ether’s relative spot outperformance.
The analysis uses at-the-money implied volatility to assess the market’s expected movement and 25-delta risk reversal to compare the relative pricing of downside puts and upside calls. It finds that Ether’s smile was more tilted toward puts, indicating stronger relative demand or pricing for downside protection. The note suggests Bitcoin’s quicker recovery helped explain the difference in skew. These figures capture a brief market reaction and do not establish how much of the pricing reflected lawsuit risk versus other factors. The reported volatility levels and skew are time-specific observations, not a trading rule or forecast.
Key ideas
- Bitcoin’s spot price fell more than Ether’s after the SEC announcement described in the note.
- Two-week at-the-money implied volatility rose modestly despite the sharp spot move.
- Ether implied volatility settled below Bitcoin’s while its option smile was more tilted toward puts.
- A 25-delta risk reversal compares the relative pricing of out-of-the-money puts and calls.
- The commentary describes a short event window and does not isolate the lawsuit’s effect from other market forces.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.