Bitcoin price and one-week 25-delta Skew Analysis

This chart shows the BTC-USD price and the 25 delta skew from the Bitcoin options market in Deribit. The skew measures the difference in implied volatility between Put and Call options, normalised with the implied volatility of at-the-money options. In this case the charts looks at the 25-delta implied volatility skew for options expiring in 3 months time. The 25-delta skew is a good way to understand how the options market is positioned at any given time. When demand for Puts is greater than for Calls, the implied volatility for Puts will also be greater and cause the skew to be positive. Likewise, when demand for Calls is greater, which would normally occur when the market expects and upward move, the skew will be negative.