Reading Short- and Long-Dated Crypto Volatility Skew
Summary
This market commentary describes a rise in short-dated implied volatility after geopolitical news, with a larger increase in ETH than BTC. It contrasts that near-term move with continued call demand in longer-dated expiries, which the author interprets as evidence of longer-term bullish positioning. The comparison uses the BTC-to-ETH volatility ratio and risk reversals, where the relative pricing of puts and calls indicates the direction of skew.
The proposed relative-value structure sells a near-dated BTC put and buys a call, while taking the opposite skew exposure in a longer-dated expiry through a put purchase and call sale. This expresses a view that short-term bearishness and longer-term bullishness are priced differently. The commentary reports market quotes and a suggested setup, but gives no backtest, payoff analysis, or risk sizing. Its observations are tied to a particular event and market snapshot, so the stated skew and relative pricing may not persist.
Key ideas
- Geopolitical news coincided with a spike in short-dated BTC and ETH implied volatility.
- ETH volatility rose more than BTC volatility in the described sell-off.
- Longer-dated call demand kept the commentary’s picture more bullish at the far end.
- Risk reversals compare put and call implied volatility to reveal skew by expiry.
- The suggested structure trades differing short- and long-term skew, but has no reported backtest.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.