Gate Research Institute: $2.1 Billion in Options Set to Expire, Cost-Effectiveness of Long Volatility Strategies Rises

According to observations by Gate Research Institute, approximately $2.1 billion worth of BTC and ETH options are set for concentrated expiration this Friday. The current implied volatility (IV) for BTC and ETH stands at 42% and 56% respectively. Notably, ETH IV has dropped to an extremely low level, at the 1.1st percentile over the past year. Over the past week, the 25-Delta Skew for both BTC and ETH has turned significantly negative overall, with the short-term (7D/30D) downside skew being the most pronounced. This indicates concentrated buying of put options by capital, with a significant increase in short-term downside hedging demand. In terms of block trades, within the last 24 hours in the BTC and ETH options markets, block trades were predominantly bearish spreads. The structure involved buying BTC bear spreads at 88k/selling at 90k (30JAN26-P), with a total transaction volume of approximately 1,115 BTC, resulting in a net premium income of about $730,000. For ETH, a long volatility strangle strategy was executed by buying 2800-P & 3200-C, with a total transaction volume of approximately 5,000 ETH, resulting in a net premium expenditure of $2.03 million.