Crypto Volatility, Put Skew, and ETH-BTC Relative Pricing After a Selloff
Summary
This market note describes a sharp crypto selloff and the resulting repricing of volatility in Bitcoin and Ethereum options. It reports that a rapid Ethereum decline lifted realized and implied volatility, with short-dated implied volatility spiking and then beginning to ease. Bitcoin carry remained positive while Ethereum's was near neutral. The author also links forced liquidations and macro concerns to expectations of continued choppy conditions.
The analysis focuses on the volatility term structure and skew: short-dated put demand steepened contango and raised front-end put skew, especially for Ethereum, while longer-dated calls remained favored. Ethereum's front-end volatility traded at a premium to Bitcoin, which the author associated with realized moves; the back-end spread was described as holding near a possible floor. The note suggests April call-skew risk reversals as a hedging approach, but gives no backtest or outcome evidence. These are the author's market observations and tactical views, not proof that the proposed positioning will perform or that the selloff has ended.
Key ideas
- A sharp Ethereum decline raised realized and implied volatility, while short-term implied volatility later began to ease.
- Short-dated put demand steepened the volatility curve and increased front-end put skew, especially in Ethereum.
- Longer-dated calls remained favored even as near-term downside protection became more expensive.
- Ethereum's front-end implied volatility commanded a premium to Bitcoin, while the back-end spread was described as holding near a floor.
- The author proposed using April call skew in risk reversals, without presenting backtest or performance evidence.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.