Gate Research Institute: ETH implied volatility drops to nearly a one-year low, increasing the cost-effectiveness of long volatility combined strategies

Options Market Dynamics

Latest data shows that BTC implied volatility (IV) remains at 42%, and ETH IV stays at 56%. Among them, ETH IV has fallen to a very low level of 1.1% percentile over the past year, indicating that the options market is extremely cautious about short-term price fluctuations.

In the past week, the 25-Delta Skew for BTC and ETH has generally turned negative, with the most significant decline in short-term maturities (7D/30D), reflecting increased buying of put options and a surge in short-term downside hedging demand; medium to long-term (180D) remains relatively stable, suggesting that long-term expectations have not turned significantly bearish, with more risk concentrated in the short term.

Over the past week, the short-term implied volatility (ATM 7D) for BTC has been generally higher than the realized volatility (RV) and has continued to rise, with the VRP turning positive and expanding, indicating increased market expectations of short-term volatility spikes; actual volatility remains moderate, showing that current pricing is largely driven by sentiment and hedging demand, with the cost-effectiveness of selling volatility somewhat declining.

Block Trade Structure

In the past 24 hours, block trades in BTC and ETH options markets have mainly involved put spreads. This Friday, approximately $2.1 billion worth of BTC and ETH options will be settled. The largest block trades are as follows:

• BTC: Bought BTC-30JAN26-88000-P, sold BTC-30JAN26-90000-P, totaling approximately 1,115 BTC, with a net premium income of about $730,000. This strategy is a put spread, betting on a mild decline while hedging against tail risk of a sharp drop.
• ETH: Bought ETH-27MAR26-2800-P, bought ETH-27MAR26-3200-C, totaling about 5,000 ETH, with a net premium expenditure of approximately $2.03 million. This strategy is a wide straddle on volatility, betting on an increase in future volatility by positioning at low implied volatility levels.

Options portfolio strategies can be executed using the combination order tool provided by the Gate platform.

Platform Updates

Gate has launched a convenient options trading tool — the combination strategy order, helping users respond more efficiently to different market conditions, such as narrow-range oscillations, slow gains, or slow declines. This feature covers various common multi-leg options strategies, including spreads and straddles. Through combination strategy orders, users can create multi-leg options positions in a single operation, with an intuitive display of overall costs, profit and loss structure (PnL), and risk exposure. Without placing individual leg orders, users can efficiently build and manage multi-leg options strategies, significantly reducing operational complexity and improving trading efficiency.

Product description of the combination strategy: https://www.gate.com/zh/help/other/combinationstrategies/49208