ETH Options Smile Skew Across Short and Long Tenors

Summary

The commentary examines changes in ETH options implied volatility smiles after the FTX collapse, focusing on how skew toward out-of-the-money puts differs across maturities. It uses SABR-calibrated smiles and the SABR rho parameter to describe the direction and relative strength of skew: negative rho corresponds to a market premium for puts, while positive rho indicates a call premium.

The reported observations show declining put skew across tenors, with the one-week smile becoming especially neutral. The short-dated shift comes from lower implied volatility for OTM puts, while OTM call levels remain similar to those at one month. The commentary relates the broader move to reduced pessimism after FTX, and compares the pattern with an earlier divergence that preceded a decline in longer-tenor skew. It presents two possible interpretations: the rest of the term structure may continue toward neutrality, or the one-week smile may move back toward longer-tenor levels. The discussion is a dated market snapshot and does not establish which outcome followed.

Key ideas

• ETH option smiles showed less skew toward OTM puts across maturities after the FTX collapse.
• The one-week smile was more neutral than the one-month and three-month smiles.
• Lower implied volatility for short-dated OTM puts, rather than richer OTM calls, drove the short-tenor difference.
• SABR rho summarizes the calibrated relationship between the underlying and implied volatility and indicates smile skew.
• The short-tenor divergence could precede broader normalization or a correction in the one-week smile.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.