Gate Research Institute: ETH Implied Volatility Falls to Nearly One-Year Low, Improving the Risk-Reward of Long Volatility Strategies

Options Market Update

The latest data shows that BTC implied volatility (IV) remains at 42%, while ETH IV stands at 56%. Notably, ETH IV has fallen to an extremely low level, at the 1.1th percentile of the past year, indicating that the options market is highly cautious about short-term price fluctuations.

Over the past week, the 25-delta skew of both BTC and ETH has turned significantly negative, with the decline most pronounced in the short tenors (7D/30D). This suggests that capital has been concentrated in buying put options, and short-term downside hedging demand has risen sharply. Meanwhile, medium- to long-term tenors (180D) remain relatively stable, indicating that long-term expectations have not turned clearly bearish and that risks are mainly concentrated in the short term.

In the past week, BTC short-term implied volatility (ATM 7D) has remained above realized volatility (RV) and continued to rise. The volatility risk premium (VRP) has turned significantly positive and widened further, reflecting stronger market expectations for an increase in short-term volatility. Meanwhile, realized volatility remains relatively mild, indicating that current pricing is more driven by sentiment and hedging demand, and that the attractiveness of selling volatility has declined.

Block Trade Structures

In the past 24 hours, block trades in the BTC and ETH options markets have been dominated by put spreads. This Friday, approximately USD 2.1 billion worth of BTC and ETH options will expire. The largest block trades are as follows:

• BTC: Buy BTC-30JAN26-88000-P and sell BTC-30JAN26-90000-P, with a total volume of approximately 1,115 BTC and net premium received of about USD 730,000. This is a bear put spread strategy, which bets on a gradual decline while hedging against tail risk from a sharp sell-off.
• ETH: Buy ETH-27MAR26-2800-P and buy ETH-27MAR26-3200-C, with a total volume of approximately 5,000 ETH and a net premium paid of about USD 2.03 million. This is a long volatility wide strangle strategy, aiming to capture a potential rise in future volatility by positioning at currently low implied volatility levels for ETH.

Options portfolio strategies can be traded using the combination order strategy tool launched by Gate.

Platform Update

Gate has launched a convenient options trading tool — Combos Strategy Order Function, designed to help users more efficiently respond to different market scenarios such as range-bound consolidation, slow uptrends, or slow downtrends. This feature supports a variety of common multi-leg options strategies, including spreads and straddles.

With combination strategy orders, users can create multiple option legs in a single operation and view the overall cost, PnL structure, and risk exposure in an integrated and intuitive way. There is no need to place orders leg by leg, enabling efficient construction and management of multi-leg options strategies, significantly reducing operational complexity and improving trading efficiency.

Product introduction:https://www.gate.com/zh/help/other/combinationstrategies/49208