Crypto Options Skew Shifts Toward Calls as Volatility Stays Low
Summary
This market update describes a period of low realized and implied volatility in BTC and ETH options, alongside a shift in option skew toward calls. The one-week BTC skew moved from a mild put premium to a slight call premium. Further out, BTC calls carried a small volatility premium; ETH retained a modest put premium in near expiries but showed call premiums from later expiries onward. The report also notes that subdued price ranges could precede a breakout, while cautioning that selling gamma may become less attractive if volatility returns.
The update discusses relative volatility and skew across the two assets. BTC volatility fell more at the front end, while ETH’s larger volatility premium to BTC narrowed farther out as sellers entered ETH vega. The author describes a December ETH/BTC trade that sells ETH and buys BTC strangles, and says it was beginning to benefit. These observations are a dated market snapshot, not a systematic test: the article provides no full trade construction, risk limits, or subsequent performance. Its market and flow claims should therefore be read as contemporaneous commentary.
Key ideas
- Short-dated BTC options shifted from slight put skew toward slight call skew.
- ETH skew varied by expiry, retaining a put premium near term and showing call premiums farther out.
- Low realized volatility and falling front-end implied volatility supported gamma selling during the reported period.
- The relative ETH and BTC volatility term structures changed as volatility sellers acted in each market.
- The described ETH/BTC vega position is a market view, not evidence of a tested strategy.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.