Crypto Options: Post-ETF Bitcoin and Ethereum Volatility Structure
Summary
This market commentary examines Bitcoin and Ethereum options after the ETF approval period, focusing on term structure, skew, and flow. The author questions why April expiries price a volatility kink around the anticipated Bitcoin halving, arguing that a known event may be easier to account for than an unexpected one. The report also describes a more pronounced April volatility anomaly in Ethereum, with lower implied volatility ahead of expiry and a premium afterward.
The weekly review connects option activity to changes in relative volatility: substantial Ethereum call writing, particularly at March and April strikes, coincided with falling Ethereum implied volatility and a lower volatility ratio versus Bitcoin. Bitcoin activity included a long straddle, while reported week-over-week front-month skew declines were larger for Ethereum. These observations are descriptive snapshots, not a tested trading signal; the authors disclose crypto holdings, and the commentary offers personal interpretations rather than causal proof. Market data and conclusions are specific to the report date.
Key ideas
- The commentary highlights an April volatility kink in Bitcoin options and a stronger term-structure anomaly in Ethereum.
- It questions whether a scheduled halving should command a volatility premium when the event is widely anticipated.
- Reported Ethereum call selling coincided with lower implied volatility and a reduced volatility ratio versus Bitcoin.
- The weekly review describes large front-month skew declines, especially for Ethereum, but does not establish a predictive relationship.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.