Gate Research Institute: Implied Volatility Oscillates at High Levels, Betting on a Structurally Neutral to Bullish Range

Options Market Dynamics

The latest data shows that the implied volatility of BTC is 49% and ETH is 73.37%, maintaining high-level fluctuations overall, reflecting the market's strong expectations for future volatility.

From the skew structure perspective, around November 22, both BTC and ETH experienced a brief steepening of the 25-Delta Skew, with the 7D structure dipping to about -11 vol, reflecting an increase in short-term hedging demand. Meanwhile, BTC's forward Skew clearly steepened, indicating a heightened willingness to hedge against medium to long-term downside risks; in contrast, ETH's forward structure remained relatively stable, with no simultaneous amplification in downside protection demand.

The realized volatility (RV) of BTC has risen to about 63.77%, and the volatility risk premium (VRP = IV − RV) has turned from a positive value to a negative value of -17vol, indicating that the market is underpricing future volatility. The RV of ETH has risen to about 87%, with the VRP reaching -17.92 vol. In the context of improved risk appetite, implied volatility is relatively undervalued, thus giving buyers of volatility strategies a relative advantage.

Block Trade Structure

This week in the BTC and ETH options market, the dominant large trades are predominantly neutral to bullish. The largest large trades for BTC and ETH are as follows:

• BTC: Buy BTC-261225-100000-C, buy BTC-261225-118000-C, sell BTC-261225-106000-C, sell BTC-261225-112000-C, with a total transaction of approximately 10,000 BTC and an option premium expenditure of about 5.84 million USD. The main bet is that BTC is likely to be between 106000 and 112000 at expiration, hedging against extreme price volatility on both ends.
• ETH: Buy ETH-261225-5000-C, a total of 11,000 ETH traded, with a premium expenditure of approximately 88,000 USD, indicating that investors are positioning for an upward trend by the end of the year.

Platform Update

Gate Options will launch the latest fee discount activity from November 3rd 00:00 to November 30th 00:00 ( UTC+8. The options fee rates for BTC and ETH will be as low as 0.025%, adopting a tiered fee structure to implement an incentive mechanism where “the higher the trading volume, the lower the fee.” This initiative aims to further optimize market liquidity, strengthen the participation of professional and institutional investors in trading, and continuously enhance the depth and activity of the platform's options market.

Transaction details: https://www.gate.com/options/BTC_USDT