In the current crypto assets market, the volatility risk premium (VRP) of Ethereum 3-month options shows some interesting trends. Compared to short-term options, the implied volatility (IV) of 3-month options better reflects the long-term sentiment of the market, which is of significant reference value for grasping long-term trends.

Since 2025, the VRP of 3-month Options has been in the negative value range for a long time. The IV fluctuates horizontally between 60 and 70, while the actual volatility (RV) gradually rises from 60 to 80. This phenomenon suggests that, in the long term, a strategy of buying Options may be more advantageous than selling, and the prices of 3-month Options seem to be undervalued by the market.

This phenomenon is likely due to the long-term weakness of the Ethereum spot price, leading to a sluggish market trading sentiment. The skew curve shows that the IV of call options has gradually declined from above that of put options to a flat state.

Regarding the persistence of this trend and potential reversal, my personal view is that it may only turn around once the Federal Reserve begins to cut interest rates and market liquidity improves, at which point the trend of negative VRP may truly reverse. Before that, the 3-month Options VRP may continue to maintain a negative value.

For options traders, especially sellers, caution is required, and they should be alert to the risks brought by the sudden rise of RV. It is recommended that sellers pay attention to the trends of the IV of near-expiry options and 3-month options, and choose the right time to sell at high levels. At the same time, consider using a calendar spread strategy by buying long-term options to build protection and prepare for a potential rebound in vega.

For buyers, they can boldly buy based on the changes in RV. Considering the current market environment, buyers can conduct unilateral buying operations based on their own judgment to make small bets for big gains.

Regardless of the strategy adopted, investors need to conduct in-depth research and make independent decisions. The market is constantly changing, and it is crucial to remain vigilant and respond flexibly.