Despite the fact that we have no listed options on cryptocurrencies yet (Feb 2018), it would be interesting to calculate their theoretical Fair Values. In fact, it is quite an easy task since we have a series of historical quotes of an underlying cryptocurrency.
According to the OptionSmile methodology, we just need to build a probability distribution of historical returns and then, for any given expiration/moneyness, calculate the probability of in-the-money expiration (Pitm) and conditional expected value (payoff) in such expirations (EVitm).
That is just a theoretical exercise, of course, without a practical application. Not only due to the absence of an opportunity to trade these contracts but also because of the huge diversity of market regimes that took place in the past for these assets. Combining together the prolonged periods of extreme uptrends and the following crashes will inevitably produce a mixed bag of regimes that will have quite a poor prediction power.
Nevertheless, it is still interesting to look at the results in comparison with the regular, more mature instruments like stocks and ETFs. Just for the sake of curiosity.