Gate Research Institute: Downside Market Risks Have Yet to Be Fully Priced In, Capital Flows into Ethereum Options Long-Volatility Strategies

Options Market Dynamics

Latest data shows that BTC implied volatility (IV) remains at 38%, while ETH IV stands at 54%. Among them, ETH IV has fallen to an extremely low level, at only the 1.6th percentile over the past year, indicating that the options market is extremely cautious about expectations for short-term price fluctuations.

Over the past week, the 25-Delta Skew for both BTC and ETH has remained in negative territory, showing that demand for downside protection still dominates. Midweek (around 1/20–1/22), short-dated skew (7D, 14D) steepened significantly and quickly dropped, once approaching -7 to -8 vol, reflecting a concentrated release of short-term risk-off sentiment. Afterwards, the skew gradually recovered. Medium- and long-dated tenors (30D, 60D, 90D, 180D) remained relatively stable, hovering in the -3 to -4 vol range, indicating that medium- to long-term risk pricing remains stable and that panic is mainly concentrated in the short end of the curve.

This week, ETH realized volatility (RV) surged rapidly after 1/22 and has stayed above 60%, while 7D ATM implied volatility declined first and only recovered mildly afterward, remaining consistently below RV. As a result, the volatility risk premium (VRP) stayed negative for most of the week. This suggests that the options market is conservatively pricing short-term realized volatility, making short-vol strategies less attractive, while long-volatility or gamma-exposed strategies have had a relative advantage this week.

Block Trade Structure

This Friday, approximately USD 9.8 billion worth of BTC and ETH options will expire. Over the past 24 hours, block trades in the BTC and ETH options markets have been dominated by put spreads. The largest block trades are as follows:

• BTC: Sell BTC-30JAN26-85000-P, total volume about 500 BTC, net premium received approximately USD 180,000.
• ETH: Buy ETH-6FEB26-3150-C, total volume about 2,000 ETH, net premium paid approximately USD 90,000.

Options portfolio strategies can be traded using Gate’s newly launched Combination Strategy Order tool.

Platform Update

Gate has launched a new convenient options trading tool — Combination Strategy Orders — to help users more efficiently respond to different market views, such as range-bound markets, slow rallies, or slow declines. This feature supports a wide range of common multi-leg options strategies, including spreads, straddles, and more.

With combination strategy orders, users can create multiple option legs in a single operation and view the total cost, PnL profile, and risk exposure of the combined position in a clear and intuitive way. There is no need to place orders leg by leg, allowing users to efficiently build and manage multi-leg options strategies, significantly reducing operational complexity and improving trading efficiency.

Product guide for Combination Strategies:https://www.gate.com/zh/help/other/combinationstrategies/49208