Reading BTC and ETH Options Volatility, Skew, and Risk Appetite
Summary
This report interprets BTC and ETH options pricing around expected policy and legislative events. It describes broadly flat implied volatility, with BTC options’ overall levels around 38% to 39% and a small premium in seven-day options over fourteen-day options. ETH implied volatility is cited around 52% to 54%, with the same short-tenor premium. The report says BTC’s 25-delta risk reversal is near neutral, while ETH options retain a slight premium for out-of-the-money calls over puts. It also refers to risk appetite indexes nearing levels that have previously coincided with weaker sentiment.
The data guide explains the measures: constant-maturity at-the-money volatility, SVI-fitted term structures, 25-delta call-put volatility spreads, composite volatility surfaces, venue comparisons, and fixed-tenor smiles across strikes. These tools help distinguish changes in volatility level, term structure, and directional option demand. The findings are descriptive snapshots, not a tested trading strategy; the article’s interpretations depend on its stated market context and the cited historical risk-appetite behavior.
Key ideas
- Seven-day options are described as carrying a slight implied-volatility premium over fourteen-day options for both BTC and ETH.
- BTC volatility is broadly flat, while its 25-delta risk reversal is close to neutral.
- ETH options show a modest premium for out-of-the-money calls relative to puts.
- A 25-delta risk reversal measures the implied-volatility spread between call and put options.
- SVI surfaces, constant-maturity smiles, and venue comparisons provide complementary views of option pricing.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.