For liquidity providers in the rapidly-growing crypto options market as well as potential institutional investors in crypto options, we test the joint efficiency of the bitcoin options and perpetual futures markets, and likewise for ether, and identify the frequency and magnitude of arbitrage...

We acquire a unique dataset of high-frequency traded prices for bitcoin call and put options from the Deribit cryptocurrency derivatives exchange, by 15-minute sampling via the application programming interface. We use these prices to construct a term structure of bitcoin implied volatility...

A later version of this paper has been published in the Journal of Financial Stability (Volume 50, October 2020, Article Number 100776).When trading volumes are high, bitcoin futures on the Chicago Mercantile Exchange (CME) and -- until recently -- the Chicago Board Options Exchange (CBOE) lead...

Market betas of bitcoin relative to a broad crypto market index vary considerably, depending on the data source and the index selected. Even greater differences are found for ether and other cryptocurrencies. An in-depth exploration of the cause of these discrepancies reveals a long-standing...