Reading BTC and ETH Derivatives Through Volatility and Skew
Summary
This weekly report reviews BTC and ETH derivatives using at-the-money implied volatility, realized volatility, 25-delta risk reversals, and fitted volatility surfaces. It describes a summer lull in volatility, with short-dated BTC implied volatility reaching a reported low since September 2023 and ETH short-dated volatility also declining. BTC spot is characterized as largely sideways near $60,000 despite macroeconomic news, while a brief move above $64,000 coincided with a recovery in short-tenor skew.
The report interprets put-call skew as a gauge of relative demand for downside versus upside options. Skew remained negative for ETH across tenors and had not turned meaningfully positive for BTC; the author links sentiment pressure to spot ETF outflows and a pause in buying by a large corporate treasury. The report also outlines how its indices and surfaces are constructed, including SVI fitting and cross-exchange comparisons. These are market observations for one week, not a tested trading signal, and the stated relationships do not establish that macro news or flows caused price changes.
Key ideas
- At-the-money implied volatility gauges option market expectations and can be compared across maturities.
- A 25-delta risk reversal measures the implied volatility difference between calls and puts.
- The report describes lower short-dated volatility in BTC and ETH during the period covered.
- Negative put-call skew indicates greater relative pricing of downside protection than upside exposure.
- Volatility surfaces and cross-exchange smiles help compare option pricing by strike, tenor, and venue.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.