Reading BTC and ETH Options Volatility, Skew, and Term Structure
Summary
This market commentary describes how macro-linked spot volatility affected BTC and ETH derivatives. It reports that BTC’s volatility term structure moved back toward a normal shape, while ETH’s remained inverted. During the bearish spot move, futures implied yields turned negative and short-dated options skewed strongly toward out-of-the-money puts, with some of those moves later reversing as crypto prices followed US equities higher.
The report identifies the measures used to frame the market: one-month at-the-money implied volatility, 25-delta risk reversals, volatility smiles across listed expiries, and constant-maturity volatility smiles. These help characterize expected volatility across maturities and relative demand for downside protection. The document offers qualitative observations rather than a full dataset, numerical analysis, or trading methodology, so it does not establish how persistent the changes were or whether they implied a profitable position. Its stated purpose is market commentary, and it cautions that conditions and assumptions can change.
Key ideas
- An inverted volatility term structure indicates that near-term implied volatility exceeds longer-dated levels.
- The report says BTC’s term structure had nearly normalized while ETH’s remained inverted.
- Short-tenor put skew strengthened during the selloff and then partly retraced.
- Risk reversals and volatility smiles provide ways to compare option pricing across strikes and maturities.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.