Crypto Options Volatility and Skew Around the November 2022 FOMC
Summary
This desk commentary examines BTC and ETH spot, implied volatility, and options skew ahead of a week with major macro events, including the FOMC decision. It describes a brief rise in front-end implied volatility and an inverted term structure, with the inversion more pronounced in ETH. It also contrasts ETH’s call-leaning short-dated skew with BTC’s flatter, slightly put-tilted skew, while noting that longer-dated skews favored puts in both assets.
The commentary relates these prices to spot moves, gamma hedging, option supply, and large open interest in ETH strikes. It observes that volatility fell after the FOMC and says relative-value traders remained interested in longer-dated optionality and convexity despite less compelling near-term conditions for holding volatility. These are the author’s interpretations of market positioning and event pricing, not a tested strategy. The report is a dated, event-specific snapshot and cautions that term structure may change as catalysts and option supply shift.
Key ideas
- Major scheduled events coincided with higher front-end implied volatility in BTC and ETH options.
- Short-dated ETH skew favored calls while BTC skew was flatter and slightly put-tilted.
- Longer-dated skews favored puts, and volatility smiles reflected expectations of larger price moves.
- Volatility declined after the FOMC, while some relative-value traders still sought longer-dated convexity.
- The commentary offers a dated interpretation of market pricing rather than a validated trading method.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.