Cryptocurrency Derivatives Pricing and Delta-Neutral Volatility Trading A thesis submitted in fulfillment of the requirements for the degree of Master of Science Author: Matteo Bottacini, matteo.bottacini@usi.ch Supervisor: Dr. Peter H. Gruber Co-Supervisor: Dr. Paul Schneider Project description In this thesis is explored and deepened the booming market for cryptocurrency derivatives. The Deribit Exchange is selected as market of reference. Data are collected every 5-minutes starting from February 2021 until September 2021 for all the options listed on the Exchange for Bitcoin and Ethereum. The volatility surface, and the Black-Scholes’ Greeks are reverse engineered from the prices. The time series of the implied volatility is modelled as a linear regression depending on the option' Skew and on the option's time-to-maturity to study the at-the-money implied volatility dynamics, the at-the-money implied volatility term-structure and the implied volatility skew. Finally, it is back-tested a pure volatility trading strategy that involves delta-neutral long and short straddles with the

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