FOMC Rate Hike Effects on Crypto Implied Volatility and Skew

Summary

This commentary examines BTC and ETH options around a Federal Reserve rate announcement. It describes implied volatility falling sharply after the rate decision, alongside a decline in realized BTC volatility. The observations suggest that volatility expectations had risen ahead of the announcement and eased afterward, while spot volatility also subsided.

The report also tracks BTC’s one-week volatility smile and 25-delta risk reversal. It attributes the move toward negative skew to out-of-the-money call implied volatility falling more sharply than put implied volatility; both wings declined as at-the-money volatility fell. The evidence is a short event-period comparison and chart descriptions, rather than a tested trading strategy. It gives no numerical series, statistical test, or basis for separating the rate decision’s effect from other market factors, so the observations should be read as a market snapshot rather than a causal or predictive result.

Key ideas

• Implied volatility for BTC and ETH options fell around the rate announcement.
• BTC realized volatility declined alongside implied volatility.
• BTC’s risk reversal moved negative as out-of-the-money call volatility fell faster than put volatility.
• The commentary describes short-term market behavior and does not establish a predictive relationship.

Tags

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