Block Scholes: Bitcoin and Ethereum IV around 38-39% and 52-54% ahead of FOMC
- —BTC IV by tenor holds in the 38-39% range
- —ETH IV by tenor is around 52-54%
- —7-day options trade at a slight premium to 14-day options
- —BTC volatility skew is near neutral, ETH's is moderately bullish
Why it matters: Low and flat IV ahead of the FOMC points to a lack of explicit hedging, raising the risk of a sharp move on a rate surprise.
Source: Deribit Insights