Gate Research: Implied Volatility Remains Elevated, Favoring Neutral-to-Bullish Structural Trades

11/26/2025, 8:07:29 AM

Intermediate

According to Gate Research, the crypto market experienced a choppy recovery this week under shifting macro sentiment. As retail data weakened and several Fed officials delivered dovish signals, rate-cut expectations strengthened, with the probability of a December cut rising to 84.9%. Risk assets saw a moderate improvement in sentiment. After a continuous pullback, Bitcoin found strong buying interest near $80,000 and rebounded to around $88,000, lifting major altcoins as well. However, capital flows remain cautious, ETF inflows are limited, and the broader market still reflects a weak rebound structure.

Options Market Dynamics

Latest data shows BTC implied volatility at 49% and ETH at 73.37%, both fluctuating at elevated levels, indicating persistent expectations for future volatility.

From a skew perspective, around November 22, both BTC and ETH 25-delta skews steepened briefly, with the 7D skew dipping to around –11 vols, reflecting rising short-term hedging demand. Meanwhile, BTC’s long-dated skew steepened significantly, signaling stronger demand for medium- to long-term downside protection. In contrast, ETH’s long-dated structure remained relatively stable, with no parallel increase in downside hedging appetite.

BTC’s realized volatility (RV) rose to about 63.77%, pushing the volatility risk premium (VRP = IV − RV) into negative territory at –17 vols, suggesting that forward volatility is being priced cheaply. ETH’s RV climbed to roughly 87%, with VRP at –17.92 vols. In an environment of improving risk appetite, implied volatility appears relatively undervalued, giving buyers an advantage in volatility-based strategies.

Block Trade Structures

This week, dominant block flows in BTC and ETH options favored neutral-to-bullish positioning:

BTC:
Long BTC-261225-100000-C, long BTC-261225-118000-C, short BTC-261225-106000-C, short BTC-261225-112000-C — totaling roughly 10,000 BTC in notional size, with premium expenditure around $5.84 million. The trade structure expresses a view that BTC is likely to expire between 106,000 and 112,000 while hedging against extreme moves on either side.
ETH:
Long ETH-261225-5000-C, totaling 11,000 ETH with about $88,000 spent on premiums, indicating investor positioning for a potential year-end rally.

Platform Update

From November 3 at 00:00 to November 30 at 00:00 (UTC+8), Gate Options launched a new fee-discount campaign. BTC and ETH option fees can be as low as 0.025%, with a tiered structure that lowers fees as trading volumes increase. The initiative aims to enhance market liquidity, strengthen participation from professional and institutional traders, and further improve depth and activity in the platform’s options market.

More Details: https://www.gate.com/options/BTC\_USDT

Author: Madrigal

* The information is not intended to be and does not constitute financial advice or any other recommendation of any sort offered or endorsed by Gate.

* This article may not be reproduced, transmitted or copied without referencing Gate. Contravention is an infringement of Copyright Act and may be subject to legal action.

Content

Options Market Dynamics

Block Trade Structures

Platform Update

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Gate Research: Implied Volatility Remains Elevated, Favoring Neutral-to-Bullish Structural Trades

Options Market Dynamics

Block Trade Structures

Platform Update

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