Quantitative analysis and backtests on crypto volatility and options strategies, written by the CryptoVol team.
After cratering to roughly −10% in the February 2026 flush, the BTC 1M 25Δ risk reversal recovered only to −5% and has now started rolling back down — even as spot bounced from $62k to $80k. A walk through the two-year cycle and what current skew is signaling.
We backtested six BTC covered-call strategies — weekly and monthly rolls at 10Δ, 25Δ, and 50Δ — against a HODL benchmark over two years. Monthly ATM led on return and Sharpe; weekly OTM underperformed HODL.