Derivasys
Seven live markets

Daily BTC options market report · 24-hour comparison

BTC standard-tenor comparison unavailable as the nearest smile rotates lower

The six headline-tenor averages are unavailable at the comparison endpoints.

By Sean Gordon — Derivasys Research

Published

02 · Options market read

What the volatility surface did.

No headline tenor had comparable observations at both endpoints; unavailable values remain suppressed in the tables and charts.

03 · Catalyst check

No catalyst assigned.

No qualifying context was identified after a healthy coverage check.

04 · Detailed analysis

What changed across the BTC volatility surface.

Front end

Front-end ATM IV is unavailable because comparable observations were not present at both snapshots.

Long end

Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots.

Skew

RR25 is unavailable because comparable observations were not present at both snapshots.

Convexity

BF25 is unavailable because comparable observations were not present at both snapshots.

Largest standard-tenor move

The largest standard-tenor ATM IV change is unavailable.

Universe roll: added 15MAY26, 27APR26, 31JUL26; removed 23APR26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

1MAY26, -3.77 vol pts
02

Largest eligible SVI sigma move

8MAY26, +0.2844 param
03

Largest eligible SVI rho move

25DEC26, +0.1216 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Previous (vol %)Change (vol pts)Relative change
1WUnavailableUnavailableUnavailableUnavailable
2WUnavailableUnavailableUnavailableUnavailable
1MUnavailableUnavailableUnavailableUnavailable
3MUnavailableUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailableUnavailable

07 · Risk reversals

RR25 skew moved most at the displayed tenors.

RR25 is unavailable because comparable observations were not present at both snapshots. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

Chart unavailable because fewer than two fixed tenors have reliable observations at both snapshots.

TenorCurrent (vol %)Previous (vol %)Change (vol pts)
1WUnavailableUnavailableUnavailable
2WUnavailableUnavailableUnavailable
1MUnavailableUnavailableUnavailable
3MUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailable

08 · Butterflies

BF25 convexity changed most at the displayed tenors.

BF25 is unavailable because comparable observations were not present at both snapshots. BF25 measures the average 25-delta wing premium over ATM IV.

Chart unavailable because fewer than two fixed tenors have reliable observations at both snapshots.

TenorCurrent (vol %)Previous (vol %)Change (vol pts)
1WUnavailableUnavailableUnavailable
2WUnavailableUnavailableUnavailable
1MUnavailableUnavailableUnavailable
3MUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailable

09 · Expiry effects

Near-settlement moves, shown with context.

Contracts with fewer than 2 full days to expiry remain in the tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.

0.3d

Smile rotation

24APR26, -6.38 vol pts
1.3d

Smile rotation

25APR26, -2.32 vol pts

10 · Volatility term structure

Today against the previous 24-hour snapshot.

Only fixed tenors bracketed by listed expiries at both snapshots are charted. The listed-expiry table preserves the observable exchange maturities underneath those interpolated points.

Chart unavailable because fewer than two fixed tenors have reliable observations at both snapshots.

ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
24APR26Expiry effect0.3 days78,280.84+113.17 USD42.14%+0.83 vol pts-2.30 vol pts-0.98 vol pts
25APR26Expiry effect1.3 days78,237.28+85.47 USD39.45%-0.97 vol pts-0.75 vol pts-0.63 vol pts
26APR262.3 days78,236.5+70.52 USD33.54%-3.52 vol pts-0.94 vol pts0.00 vol pts
1MAY267.3 days78,230.42+85.26 USD39.71%-1.17 vol pts-1.17 vol pts-0.13 vol pts
8MAY2614.3 days78,243.28+73.73 USD40.03%-0.82 vol pts-0.74 vol pts-0.40 vol pts
29MAY2635.3 days78,265.67+86.60 USD40.60%-0.78 vol pts-1.50 vol pts+0.20 vol pts
26JUN2663.3 days78,387+77.18 USD41.09%-0.39 vol pts-0.84 vol pts+0.02 vol pts
25SEP26154.3 days78,906.31+89.97 USD41.97%-0.50 vol pts-0.71 vol pts+0.13 vol pts
25DEC26245.3 days79,590.55+64.29 USD43.88%-0.53 vol pts-0.79 vol pts+0.05 vol pts
26MAR27336.3 days80,342.26+47.20 USD45.02%-0.31 vol pts-0.35 vol pts-0.13 vol pts

11 · Smile movement

Reconstructed SVI smiles for every common expiry.

Each overlay uses the stored five-parameter SVI fit and the snapshot-specific time to expiry. Ultra-short expiries are displayed but do not determine the headline ranking.

24APR26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
25APR26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
26APR26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
1MAY26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
8MAY26rotation towards puts · wing flattening
-0.30k0.00k+0.30k
29MAY26rotation towards puts
-0.30k0.00k+0.30k
26JUN26rotation towards puts
-0.30k0.00k+0.30k
25SEP26rotation towards puts
-0.30k0.00k+0.30k
25DEC26rotation towards puts
-0.30k0.00k+0.30k
26MAR27parallel shift lower
-0.30k0.00k+0.30k

Surface movement heatmap

Each cell is the fitted IV change in volatility points. Rows are listed expiries; columns run from the put wing through ATM to the call wing.

12 · Technical appendix

Model parameters and normalized Greeks.

These diagnostics preserve the fitted-surface audit trail without competing with the main market story.

Show SVI parameter changes and normalized Greeks

SVI diagnostics

Daily movement in a, b, rho, m and sigma.

Among ranking-eligible expiries, the largest absolute rho change occurred at 25DEC26; the largest sigma change occurred at 8MAY26.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
24APR26-0.01230+0.00890+0.04780+0.00680+0.15990rotation towards puts, wing steepening
25APR26-0.01340+0.00820+0.01600-0.00870+0.12590rotation towards puts, wing steepening
26APR26+0.01460-0.01740+0.05720+0.03890-0.08720rotation towards puts, wing steepening
1MAY26-0.03130+0.01490+0.01700+0.00030+0.11430rotation towards puts, wing steepening
8MAY26-0.08470+0.03970-0.00380-0.03660+0.28440rotation towards puts, wing flattening
29MAY26+0.00290+0.00640+0.00970+0.03370-0.04760rotation towards puts
26JUN26-0.03480+0.01640+0.04660+0.06550+0.06230rotation towards puts
25SEP26-0.01120+0.01250+0.09030+0.12700-0.03910rotation towards puts
25DEC26-0.00400-0.00100+0.12160+0.20390-0.03500rotation towards puts
26MAR27-0.03450-0.00010+0.11730+0.19210+0.06470parallel shift lower

Current surface characteristics

Where normalized model Greek intensity is highest.

These are comparable Black-forward Greeks for a one-BTC ATM-forward call at each listed expiry—not portfolio exposure, open interest or a prediction of dealer positioning.

Highest Vega26MAR27, 300.576039 USD / vol pt
Highest Gamma24APR26, 0.0004 1 / USD
Highest Theta Decay24APR26, -595.912587 USD / day
Highest Vanna26MAR27, 0.001871 delta / vol pt
Highest Volga26MAR27, -31.172942 USD / vol pt²

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
23 Apr 2026, 23:59 UTC
Comparison snapshot
22 Apr 2026, 23:59 UTC
Source
Derivasys proprietary historical SVI surface database
Comparison window
Nearest successful surface snapshots approximately 24 hours apart
RR convention
25-delta call IV minus 25-delta put IV
BF convention
Average 25-delta wing IV minus ATM forward IV
Fixed tenors
Fixed-tenor measures are interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.
Smile reconstruction
Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.
Ultra-short expiries
Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.
Greek normalization
Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV

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BTC standard-tenor comparison unavailable as the nearest smile rotates lower