Crypto Options: Rising Realized Volatility and BTC Call Skew
Summary
This market recap reviews Bitcoin and Ethereum options after an upside move. It reports rising realized volatility in both assets, with implied volatility lagging, and negative carry. The author links the demand for volatility to price moves exceeding implied-move bands and notes political expectations and seasonal strength as possible supports for crypto prices; these are presented as market interpretations, not established causes.
The note describes flattening skew term structures as short-dated calls gain demand, while longer-dated calls soften. It says both assets have call skew, but not at extreme levels, and suggests put ratio backspreads as a way to add downside convexity without taking directional delta exposure. In relative value, ETH volatility has fallen against BTC, prompting the author to cover short ETH volatility positions at the stated spread levels. ETH puts retain a relative bid because a decline in ETH/BTC remains possible. This is a brief, time-specific commentary, with no systematic test or detailed trade parameters.
Key ideas
- Realized volatility rose in BTC and ETH while implied volatility did not keep pace.
- Negative options carry was reported for both assets.
- Short-dated calls were gaining demand, flattening skew term structures.
- Put ratio backspreads were presented as a way to seek downside convexity with limited delta exposure.
- The author viewed ETH volatility as relatively attractive to cover shorts, while ETH/BTC downside risk remained.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.