Gate Research Institute: $2.1 Billion Options Expiry Imminent, Cost-Effectiveness of Long Volatility Strategies Rises

According to observations by Gate Research Institute, this Friday will see the concentrated expiry of approximately $2.1 billion worth of BTC and ETH options. The current implied volatility (IV) for BTC and ETH is 42% and 56% respectively, with ETH IV having fallen to an extremely low level at the 1.1 percentile over the past year. Over the past week, the 25-Delta Skew for both BTC and ETH has notably turned negative overall, with the short-term (7D/30D) downside skew being the most severe, indicating concentrated buying of put options by funds and 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 have been predominantly put spreads; the structure involved buying BTC put spreads at 88k/selling at 90k (30JAN26-P), totaling approximately 1,115 BTC traded, with a net premium income of about $730,000. For ETH, a long volatility strangle strategy involved buying 2800-P & 3200-C, totaling approximately 5,000 ETH traded, with a net premium expenditure of $2.03 million.