01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.16 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.12 volatility points across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.08 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging -0.08 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -1.67 volatility points at 2W.
Universe roll: added 5MAY26; removed 1MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
8MAY26, -2.12 vol ptsLargest standard-tenor ATM IV move
2W, -1.67 vol ptsLargest standard-tenor RR25 move
1W, -0.74 vol ptsLargest standard-tenor BF25 move
2W, -0.35 vol ptsLargest eligible SVI sigma move
4MAY26, -0.1185 paramLargest eligible SVI rho move
25DEC26, -0.0578 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 32.05 | 33.68 | -1.63 vol pts | -4.84% |
| 2W | 35.20 | 36.87 | -1.67 vol pts | -4.53% |
| 1M | 36.88 | 37.05 | -0.17 vol pts | -0.46% |
| 3M | 39.22 | 39.46 | -0.24 vol pts | -0.61% |
| 6M | 41.94 | 42.09 | -0.15 vol pts | -0.36% |
| 9M | 43.54 | 43.61 | -0.07 vol pts | -0.16% |
| 1Y | 44.37 | 44.46 | -0.09 vol pts | -0.20% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.08 volatility points across the six headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) |
|---|---|---|---|
| 1W | -2.52 | -1.78 | -0.74 vol pts |
| 2W | -3.69 | -3.92 | +0.23 vol pts |
| 1M | -4.35 | -4.57 | +0.22 vol pts |
| 3M | -5.41 | -5.34 | -0.07 vol pts |
| 6M | -4.85 | -4.99 | +0.14 vol pts |
| 9M | -4.63 | -4.58 | -0.05 vol pts |
| 1Y | -4.52 | -4.26 | -0.26 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging -0.08 volatility points across the six headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) |
|---|---|---|---|
| 1W | 1.52 | 1.72 | -0.20 vol pts |
| 2W | 1.61 | 1.96 | -0.35 vol pts |
| 1M | 1.87 | 1.97 | -0.10 vol pts |
| 3M | 2.15 | 2.06 | +0.09 vol pts |
| 6M | 2.31 | 2.27 | +0.04 vol pts |
| 9M | 2.27 | 2.24 | +0.03 vol pts |
| 1Y | 2.12 | 2.10 | +0.02 vol pts |
06 · 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.
ATM IV change
2MAY26, -10.75 vol ptsATM IV change
3MAY26, -9.65 vol pts07 · Volatility term structure
Today against the previous 24-hour snapshot.
The ATM chart above is the standard-tenor term structure. The listed-expiry table below preserves the exchange maturity detail underneath those interpolated tenors.
| Expiry | Time left | Forward now (USD) | Forward change (USD) | ATM IV now | ATM IV change | RR25 change | BF25 change |
|---|---|---|---|---|---|---|---|
| 2MAY26Expiry effect | 0.3 days | 78,187.39 | +1864.30 USD | 20.34% | -10.75 vol pts | +0.34 vol pts | -1.10 vol pts |
| 3MAY26Expiry effect | 1.3 days | 78,169.43 | +1855.85 USD | 17.72% | -9.65 vol pts | +0.12 vol pts | -0.44 vol pts |
| 4MAY26 | 2.3 days | 78,165.35 | +1821.85 USD | 22.79% | -5.72 vol pts | +0.35 vol pts | -0.25 vol pts |
| 8MAY26 | 6.3 days | 78,153.22 | +1825.18 USD | 31.34% | -2.54 vol pts | -0.44 vol pts | -0.22 vol pts |
| 15MAY26 | 13.3 days | 78,180.89 | +1838.04 USD | 35.07% | -1.87 vol pts | +0.35 vol pts | -0.35 vol pts |
| 22MAY26 | 20.3 days | 78,194.7 | +1832.58 USD | 35.97% | -1.36 vol pts | +0.19 vol pts | -0.33 vol pts |
| 29MAY26 | 27.3 days | 78,227.6 | +1846.22 USD | 36.60% | -0.29 vol pts | +0.29 vol pts | -0.15 vol pts |
| 26JUN26 | 55.3 days | 78,335.33 | +1837.66 USD | 38.15% | -0.16 vol pts | +0.15 vol pts | +0.03 vol pts |
| 31JUL26 | 90.3 days | 78,519.41 | +1850.81 USD | 39.19% | -0.28 vol pts | -0.08 vol pts | +0.08 vol pts |
| 25SEP26 | 146.3 days | 78,822.32 | +1880.23 USD | 40.76% | -0.27 vol pts | +0.20 vol pts | 0.00 vol pts |
| 25DEC26 | 237.3 days | 79,476.02 | +1900.19 USD | 43.04% | -0.08 vol pts | +0.08 vol pts | +0.06 vol pts |
| 26MAR27 | 328.3 days | 80,143.23 | +1908.24 USD | 44.10% | -0.09 vol pts | -0.20 vol pts | +0.02 vol pts |
08 · 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.
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.
09 · 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 4MAY26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 2MAY26 | +0.00590 | -0.04630 | +0.03480 | +0.01860 | +0.38430 | rotation towards calls, wing steepening |
| 3MAY26 | -0.00640 | +0.00400 | +0.03200 | +0.01250 | +0.03700 | wing steepening |
| 4MAY26 | +0.02610 | -0.02110 | +0.01710 | +0.01450 | -0.11850 | rotation towards calls, wing steepening |
| 8MAY26 | +0.02880 | -0.02580 | -0.03500 | -0.02000 | -0.07180 | rotation towards puts, wing steepening |
| 15MAY26 | +0.00700 | -0.01660 | -0.00150 | +0.00070 | +0.03180 | parallel shift lower |
| 22MAY26 | +0.00760 | -0.01720 | -0.00100 | +0.00710 | +0.03370 | parallel shift lower |
| 29MAY26 | +0.01830 | -0.01940 | -0.02280 | -0.02110 | -0.02230 | parallel shift lower |
| 26JUN26 | -0.00350 | +0.00210 | -0.02610 | -0.02640 | +0.00720 | parallel shift lower |
| 31JUL26 | +0.00590 | -0.00050 | -0.04300 | -0.04540 | -0.02900 | parallel shift lower |
| 25SEP26 | -0.00300 | +0.00330 | -0.03870 | -0.05680 | +0.00290 | parallel shift lower |
| 25DEC26 | -0.00880 | +0.01330 | -0.05780 | -0.08880 | -0.00450 | parallel shift lower |
| 26MAR27 | -0.01200 | +0.01090 | -0.05080 | -0.07000 | +0.00680 | parallel shift lower |
10 · 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.
11 · Methodology and provenance
Generated from measured Derivasys surface data.
- Current snapshot
- 01 May 2026, 23:59 UTC
- Comparison snapshot
- 01 May 2026, 00:01 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
Continue through Derivasys