Skewpoint › BTC & ETH option pricer

A crypto option pricer built on the live surface

Most online option calculators ask you for a volatility. Skewpoint reads it from the market. Option mid prices for BTC and ETH are turned into implied vols, each listed expiry is fitted with an SVI Jump-Wings curve, and the pricer looks up the vol for your exact strike and maturity on that surface. You choose a listed expiry, a standard tenor (1D to 12M) or any custom date, and enter either a strike or a delta.

Each option leg shows two prices: TV, using the ATMF volatility of the expiry, and MV, using the surface implied vol at the leg’s strike — so you see what the skew is worth. Prices are Black-Scholes on the forward with the chosen vol.

Greeks and strategies

For every leg and for the net position you get Delta, Gamma, Vega, Vanna (dVega/dSpot) and Vomma (dVega/dVol), with BUY/SELL and amount applied, plus the net premium and net transaction delta. Standard packages are one click:

The strategy assistant lets you type a structure in plain English or French — for example “buy a 25-delta BTC risk reversal for March” — and fills the legs for you. It can also goal-seek: solve the amount, strike or delta of one leg to hit a target premium, delta or vega.

Exotic option pricer: barriers, touches and digitals

The exotic pricer prices the structures that show up in crypto structured products and OTC books, on BTC or ETH, with USD or coin payouts:

• Barriers — up/down knock-out and knock-in calls and puts, regular and reverse (KO, KI, RKO, RKI).
• Binaries — one-touch paying at hit or at expiry, and no-touch.
• Double barriers — double knock-out and double knock-in.
• Double binaries — double no-touch (DNT) and double one-touch (DOT).
• European digitals — calls and puts paying a fixed amount at expiry.

Each exotic gets a theoretical value (TV) from closed-form formulas at the ATM vol, and a market value (MV) that adds the cost of the smile with a vanna-volga adjustment, using the 25-delta risk reversal and butterfly of the live surface. You also see touch probabilities, the hedge and the Greeks.

Who uses it

Traders checking a quote before they hit it, structurers pricing a barrier or a range note, and anyone who wants to understand how much the BTC or ETH skew is worth in a given structure. The same pricing functions value every trade in the portfolio valuation page and the stress scenarios in risk analysis, so a single option and a whole book are priced consistently. The surface itself is explained on the Bitcoin volatility surface page.