A certain exchange's research institute: With $2.1 billion in options about to expire, the risk/reward ratio of long volatility combination strategies is rising.

According to Odaily, as observed by a certain exchange research institute, this Friday will see the concentrated settlement of approximately $2.1 billion worth of BTC and ETH options. Currently, the implied volatility (IV) for BTC and ETH stands at 42% and 56%, respectively, with ETH IV having dropped 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 shown a clear negative trend overall, with the most pronounced decline in the short-term (7D/30D), indicating a significant increase in demand for buying put options and short-term downside hedging. In terms of block trades, in the past 24 hours, block trades in the BTC and ETH options markets have mainly focused on put spreads; the structure is a BTC put spread buying 88k/selling 90k (30JAN26-P), with a total volume of approximately 1,115 BTC and a net premium income of about $730,000. For ETH, a long volatility straddle strategy was used by buying 2800-P & 3200-C, with a total volume of about 5,000 ETH and a net premium expenditure of $2.03 million.