Reading BTC and ETH Options Volatility and Skew Around an Election

Summary

This market commentary summarizes BTC and ETH options conditions as of September 3, 2024, focusing on at-the-money implied volatility, term structure, and 25-delta risk reversals. It reports that short-tenor volatility had fluctuated, while longer-dated options were pricing higher volatility, particularly for expiries after the US election. It also describes a preference for out-of-the-money calls in longer tenors and a recent recovery in short-tenor skew after movement toward puts.

The report says ETH’s short-dated skew had fallen more sharply than BTC’s and was recovering more slowly. These observations offer a snapshot of how options markets priced uncertainty and directional demand at that time; they are not a trading method or forecast. The source text includes no chart values or detailed methodology, and its claims are limited to the stated market commentary. Conditions may change, and the report itself cautions that its information is not investment advice and may be incomplete or inaccurate.

Key ideas

• The commentary compares BTC and ETH options using implied volatility term structures and 25-delta risk reversals.
• It reports higher implied volatility for longer expiries, including expiries after the US election.
• Short-tenor skew had moved toward puts and showed signs of recovery in the days described.
• ETH short-tenor skew reportedly weakened more than BTC skew and recovered more slowly.
• The document provides a dated market snapshot without numerical chart data or a forecasting framework.

Tags

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