How options traders can engineer Ethereum exposure with protection built in

Koen Hoorelbeke
Investment and Options Strategist
Summary: This article walks through a step-by-step options strategy that gives traders bullish exposure to Ethereum via the ETHA ETF - while defining risk upfront. By combining a call, a short put, and a protective put, it creates a capital-efficient position that behaves like owning ETHA, but with built-in downside protection.
How options traders can engineer Ethereum exposure with protection built in
Ethereum is far more than a cryptocurrency. It's the infrastructure layer for smart contracts, NFTs, DeFi applications, stablecoins, and, more recently, tokenized real-world assets. Now with ETHA – the iShares Ethereum Trust ETF – you can gain exposure to Ethereum's price without crypto wallets, keys, or blockchain complexity. Just like a stock, ETHA trades on regulated exchanges and opens the door to using options strategies that were previously reserved for equities.
Important note: The strategies and examples provided in this article are purely for educational purposes. They are intended to assist in shaping your thought process and should not be replicated or implemented without careful consideration. Every investor or trader must conduct their own due diligence and take into account their unique financial situation, risk tolerance, and investment objectives before making any decisions. Remember, investing in the stock market carries risk, and it's crucial to make informed decisions.
In the rest of this article, we’ll take a hands-on approach by walking through a strategy that lets you express a bullish view on ETHA using options. Step by step, we’ll build it from a basic call option into a fully protected position, explaining what each leg adds, how risk and reward evolve, and why this structure might suit investors looking for leveraged yet limited-risk exposure.
Where we are now
Before diving into the strategy, it helps to understand the market backdrop.
Ethereum’s price forecast for the rest of 2025 and into 2026 spans a staggeringly wide range. Some respected analysts and institutions see ETH consolidating around $3,500 to $4,000, while others project dramatic upside toward $15,000 or even $17,000. This divide reflects both the strength of Ethereum’s fundamentals (like Layer-2 scaling, institutional ETF inflows, and corporate treasury allocations) and the significant macro risks in play (inflation, interest rates, and regulation).
So what does this mean for traders? Simply put: there’s room to be bullish or bearish — and strategies should be adaptable to both.
The strategy in this article focuses on a bullish outlook. It’s worth noting that this same structure can be engineered to work for bearish views as well — but we’ll revisit that possibility later in the article, once you’re familiar with the core concept.
With that context in place, let's take a closer look at ETHA’s recent performance and where the market sits today.
Analyst forecasts for Ethereum in 2025 vary widely:
- Some see a return to the 2021 peak around $4,865
- More bullish forecasts project $6,000 to $6,500 and beyond if institutional flows resume
- Cautious outlooks target $4,000 amid regulatory delays
How does the ETHA etf price relate to ethereum?
Each ETHA share currently represents about 0.00757 ETH (calculated from the latest prices -16 June 2025, 15:39 CET- : ETHA at $19.79, ETHUSD at $2,615.32). As the ETH price moves, ETHA should track it closely, aside from minor effects like fees and temporary premiums or discounts.
eth/usd | implied ETHA nav (0.00757/share) |
---|---|
2,000 | $15.14 |
2,500 | $18.93 |
3,000 | $22.71 |
4,000 | $30.28 |
5,000 | $37.85 |
10,000 | $75.70 |
For every $100 move in the price of ethereum, each ETHA share typically moves by approximately $0.76, based on the current ratio of 0.00757 ETH per share.
Can we trade this efficiently?
The answer is yes. The screenshot above shows the ETHA January 2026 option chain with over 160 days to expiration. At-the-money strikes like the 28 call and put have tight bid/ask spreads of just $0.05–$0.10, indicating strong liquidity. That means entering and exiting positions is frictionless, and slippage is minimal.
A quick introduction to the strategy
Before we dive into the individual legs of the trade, let's take a step back and explain why we're building this kind of structure in the first place.
The goal is simple: we want to participate in the upside potential of Ethereum (via ETHA), but we don't want to expose ourselves to unlimited downside or pay a hefty upfront cost.
Now, you could just buy the ETF outright — if you're allowed to. Under MiFID II rules, clients in the Eurozone can't always access this ETF directly. For many of them, the only way to gain exposure to ETHA is through listed options. When you buy the ETF directly, that gives you direct exposure, but it ties up a lot of capital. With ETHA currently trading around $27.75, buying 100 shares would cost $2,775. And your downside? If Ethereum crashes, you're down with it.
Options give us a way to do better: to create a position that behaves almost exactly like owning the stock, but with much less capital at risk. Even better, we can add a protective component to cap our downside. This is where the "protected synthetic long" comes in.
We’ll now walk through the process of building that position, step by step, using a combination of basic options (a call, a put, and a second put). Each leg adds new characteristics – and we'll explain clearly what each one does, why it matters, and what changes.
Step-by-step: building a protected synthetic-long position
We're going to build this position in three clicks. Each step introduces a new leg and shifts the trade's risk/reward profile. Let's walk through it together.
Step 1: Buy a long call (strike = 28)
Buying a call is the most basic bullish option strategy. Here, we buy the 28-strike call expiring in Jan 2026 for $5.25. That means:
- Maximum loss = $525 (your initial investment)
- Delta ≈ 0.60 → for every $1 ETHA rises, you make about $60
- Theta = −$1.66/day → your option loses some value each day, even if ETHA doesn't move
- Break-even = $33.25 → ETHA must rally 21% before you're in profit at expiration. In other words, the stock has to move quite a bit higher before you start seeing gains, which makes this a strategy better suited for strong directional views.
This is clean, defined-risk exposure to the upside. But the decay and the break-even might feel a bit steep.
Step 2: Add a short put (strike = 28)
Now things get interesting. You sell the 28-strike put and receive about $4.95, which nearly offsets the cost of the long call.
- New net debit = $0.32 (you pay just $32 to open this)
- Delta ≈ 1.00 → your position now moves like 100 shares of ETHA
- Theta ≈ $0 → decay is close to neutral
- Break-even = $28.32 (just above strike)
You're effectively replicating a stock position (called a synthetic long) for a fraction of the cost. But there's a catch:
- Max risk = $2,832 → if ETHA falls to $0 at expiration, you're on the hook to buy at $28
- Margin required → selling a put creates obligation; we (as your broker) will reserve margin for that risk. Also keep in mind that short puts carry assignment risk — if ETHA drops below your strike before expiration, you could be assigned early and end up owning the shares at the strike price.
Step 3: Buy a protective put (strike = 18)
To define your downside, you add a long put at a lower strike. In this case, we buy the $18 put for about $1.08.
- Final net debit = $1.40 (total cost = $140)
- Delta ≈ 0.88 → still behaves like 88 shares of ETHA
- Theta ≈ −$1.11/day → low decay
- Max risk = $1,140 → defined by the $10 width between short and long puts
- Break-even = $29.40 → close to spot price ($27.75)
You've now created a powerful long position with limited risk, near-1 delta exposure, and minimal time decay. Well done.
Payoff diagram at expiration
As you can see in the payoff diagram in the screenshot above:
- Above $29.40, your profits grow like a stock position
- Below $28, you begin losing money
- At $18 or lower, your loss is capped at $1,140
This is the tradeoff: some cost and slight delta loss in exchange for peace-of-mind.
How to manage the trade
If this happens... | What you could consider doing... | Why it might help you |
---|---|---|
ETHA rises above $32 | Think about taking some profit, or adjusting the short put strike a bit higher | It lets you lock in gains while keeping upside open |
ETHA stays flat for weeks | No need to panic — this structure isn’t hurt much by time. You can wait, or roll to a later date | Rolling gives your trade more time to work out |
ETHA drops significantly | You’re protected thanks to the put you bought. You could close early if you want to limit loss | Helps you reduce stress and limit capital exposure |
Nothing much happens | Set a time-based exit rule (e.g., close or re-evaluate with 45 days to go) | Prevents last-minute rush decisions near expiration |
This section is about being prepared. Think ahead about when you'll take profits, roll, or exit the trade. That way, you don’t have to decide under pressure.
Final thoughts
You’ve just built a defined-risk alternative to buying ETHA outright. You did it with:
- Smaller capital outlay
- Higher capital efficiency
- Defined maximum loss
- Nearly 1:1 movement with the underlying ETF
This is just one of many ways to trade ETHA with options, but it’s a great place to start for directional traders who want downside protection. You can later adjust the distance of your protective put, experiment with rolling short puts, or explore ways to generate income on top.
Take it step-by-step. Try it on paper first. And once you're ready, build it in three clicks.
The instrument(s) referenced in this content may be issued by a partner, from whom Saxo receives promotional fees, payment or retrocessions. While Saxo may receive compensation from these partnerships, all content is created with the aim of providing clients with valuable information and options..