Let's start with the conclusion: ETFs will exhibit significant fluctuations in RV (Realized Volatility) and IV (Implied Volatility) in the previous market; the New Year's Day has already provided a hint, and yesterday morning, we offered 5 BTC and ETH options strategies. Taking into account various situations as comprehensively as possible, in this phase, beginners and intermediates are not very suitable for option strategies with too much risk without a safety net. Engaging in simple bull spreads or inverse proportional spreads can probably achieve spot +30-50% returns.

一、BTC：
① Through SignalPlus software, we can see that the call side on the 12th still has an 8% increase compared to ATM. Therefore, it is not recommended to have a short position near January 12th, as under the big waves, there may be gamma unrealized losses or delivery unrealized losses, which is unnecessary.

② It is evident from the volatility cone that the recent implied volatility (IV) is at the maximum position in nearly a year. So, although short vega on the far end may have some unrealized losses in the short term, looking at a period of more than one month, large selling positions like the double currency will definitely suppress the IV, which is a logical deduction.

③ In the short term, after the implied volatility (IV) surged on January 2nd, there was a small but clear pullback; however, it still showed a significant increase compared to the 75% percentile implied volatility level one week ago.

④ Focusing on January 5th and January 12th, the -Gamma maximum point is at $45k, while the call side +Gamma points are mainly at $46k and $50k.

⑤ In terms of large-scale transactions, we also pointed out yesterday that on January 1st, some "far-sighted" bulk traders had already positioned themselves in the ATM call at $45k for January 5th. This wave of Gamma attacks has been steadily prosperous; from yesterday to today, large-scale layouts include some diagonal spreads and short call spreads.

二、ETH：
① Large-scale traders went long on shallow OTM calls for January 12th, expecting a rebound [Note: I am also bullish on ETH and currently mainly focusing on bull spread strategies]

② Through SP software, looking at the skew between implied volatility (IV) and realized volatility (RV), although ETH also has the maximum position in the volatility cone, from a statistical perspective, we choose BTC as the underlying for mid-term short vega, as the risk-reward ratio is better.

③ The -Gamma positions for this Friday and January 12th are mainly at $2.5k, and the layout of +Gamma is significantly less than BTC.