Gravitational waves (GWs) offer a unique probe to first-order phase transitions in the early Universe. One of the interesting targets is the ultra-supercooled transition, in which the amount of the released energy dominates over the plasma energy before the transition. Despite its theoretical and observational importance, there still remains a huge uncertainty in the amount and the spectral shape of the GWs produced in this type of transition. In this talk I first review GW production in relatively weak first-order phase transitions, and explain several difficulties associated with ultra-supercooled transitions. Then I explain our (semi-analytic) approaches to understand GW production in these transitions.