➰ Correlation Matters

Ethereum (ETH) and Bitcoin (BTC) prices move together and affect understanding of the crypto market. It's important to decide how to spread investments across different cryptocurrencies.

🎏 Densities Shift Together Periodically

Most of the time densities exhibit similar parameters, however, periodically move in opposite directions, which makes investing in crypto unpredictable.

👜 Fragility in Portfolio Optimization

Portfolio optimization is sensitive to the correlation factor, a variable that is notoriously difficult to predict. Given that forecasting returns for a single asset are already challenging, the added complexity of predicting how different assets will interact increases the risk of misestimating portfolio performance.

🛩️ Bullish Market Sentiment

The skewness in the densities points towards a continued bullish market sentiment. Investors interpreting these densities would infer that, despite the complexities and uncertainties in predicting correlations, there is an underlying positive outlook on the market's direction from the option traders' perspective.

In conclusion, the depicted correlation between ETH and BTC over the past 30 days shows that understanding the nuances of how major cryptocurrencies relate to each other is vital for investors looking to mitigate risks and capitalize on market movements. The Generalized Extreme Value (GEV) analysis applied here highlights the importance of using sophisticated models that can account for tail risks and extreme market events, which are characteristic of the cryptocurrency market. Investors and portfolio managers alike should heed the inherent uncertainties in correlation factors and the overarching optimistic sentiment as indicated by the skewness of the market's risk-neutral densities.