Gate Research Institute: Market volatility continues, with holdings concentrated on betting on year-end fluctuations

Options Market Dynamics

Latest data shows BTC IV at 45% and ETH IV at 68%, both continuing to decline compared to last week, remaining at levels close to the one-year average, reflecting a weakening market expectation of future volatility.

From the skew structure perspective, this week BTC 25-Delta Skew across all maturities shows a uniform downward shift, converging around approximately -5 vol. This indicates that near-term put options still carry a premium over call options, suggesting ongoing demand for downside protection. ETH’s skew shifts more evenly across the entire maturity structure, with even slight put premiums appearing in the longer-term options.

The implied volatility and realized volatility for BTC and ETH have both declined in tandem. The volatility risk premium (VRP) hovers around the 0 axis with narrow fluctuations, indicating that current option pricing aligns closely with actual volatility levels, and the market’s short-term volatility expectations are relatively neutral.

Block Trade Structure

This week, the block trades in the BTC and ETH options markets mainly involve bullish calendar spreads. The largest block trades are as follows:

• BTC: Bought BTC-270326-110000-C, totaling approximately 1,000 BTC, with a net premium expenditure of about $2.47 million.
• ETH: Bought ETH-020126-3300-C and sold ETH-191225-3250-C, totaling approximately 4,819 ETH, with a net premium expenditure of about $200,000.

Platform Updates

Gate exclusively launches a convenient options trading tool — rolling short options products, assisting users to automatically and continuously sell options within a set period. Users can customize Delta/Strike execution, expiration dates (T+1/T+2/T+3), selling price methods, quantities, and optional take-profit and stop-loss parameters. The strategy will automatically open positions daily at 9:00 (UTC) and seamlessly transition to the next period after expiration, enabling fully automated operation. This feature supports clear risk indicators, margin estimates, expected trading paths, and other auxiliary information to help users manage strategy execution more intuitively.

Rolling Short Options Product Description: https://www.gate.com/help/other/options/48493