01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +1.50 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.10 volatility points across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.02 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging +0.03 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +2.55 volatility points at 1W.
Universe roll: added 6MAY26; removed 2MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
8MAY26, +4.03 vol ptsLargest standard-tenor ATM IV move
1W, +2.55 vol ptsLargest standard-tenor RR25 move
1W, +0.35 vol ptsLargest eligible SVI sigma move
5MAY26, +0.1979 paramLargest standard-tenor BF25 move
1W, +0.09 vol ptsLargest eligible SVI rho move
26JUN26, +0.0771 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 34.60 | 32.05 | +2.55 vol pts | +7.96% |
| 2W | 36.41 | 35.20 | +1.21 vol pts | +3.44% |
| 1M | 37.63 | 36.88 | +0.75 vol pts | +2.03% |
| 3M | 39.38 | 39.22 | +0.16 vol pts | +0.41% |
| 6M | 41.85 | 41.94 | -0.09 vol pts | -0.21% |
| 9M | 43.41 | 43.54 | -0.13 vol pts | -0.30% |
| 1Y | 44.26 | 44.37 | -0.11 vol pts | -0.25% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.02 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 | -2.17 | -2.52 | +0.35 vol pts |
| 2W | -3.72 | -3.69 | -0.03 vol pts |
| 1M | -4.42 | -4.35 | -0.07 vol pts |
| 3M | -5.59 | -5.41 | -0.18 vol pts |
| 6M | -5.01 | -4.85 | -0.16 vol pts |
| 9M | -4.73 | -4.63 | -0.10 vol pts |
| 1Y | -4.54 | -4.52 | -0.02 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 was broadly unchanged, averaging +0.03 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 | 1.61 | 1.52 | +0.09 vol pts |
| 2W | 1.68 | 1.61 | +0.07 vol pts |
| 1M | 1.88 | 1.87 | +0.01 vol pts |
| 3M | 2.11 | 2.15 | -0.04 vol pts |
| 6M | 2.35 | 2.31 | +0.04 vol pts |
| 9M | 2.31 | 2.27 | +0.04 vol pts |
| 1Y | 2.14 | 2.12 | +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.
Smile rotation
3MAY26, +20.24 vol ptsATM IV change
4MAY26, +4.56 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 |
|---|---|---|---|---|---|---|---|
| 3MAY26Expiry effect | 0.3 days | 78,669.84 | +500.41 USD | 25.09% | +7.37 vol pts | +2.56 vol pts | -0.32 vol pts |
| 4MAY26Expiry effect | 1.3 days | 78,665.97 | +500.62 USD | 27.35% | +4.56 vol pts | +0.40 vol pts | +0.28 vol pts |
| 5MAY26 | 2.3 days | 78,647.49 | +499.29 USD | 31.10% | +4.90 vol pts | +0.92 vol pts | +0.06 vol pts |
| 8MAY26 | 5.3 days | 78,645.55 | +492.33 USD | 33.44% | +2.10 vol pts | +1.17 vol pts | +0.03 vol pts |
| 15MAY26 | 12.3 days | 78,650.79 | +469.90 USD | 36.14% | +1.07 vol pts | +0.07 vol pts | +0.07 vol pts |
| 22MAY26 | 19.3 days | 78,682.15 | +487.45 USD | 36.97% | +1.00 vol pts | +0.04 vol pts | +0.04 vol pts |
| 29MAY26 | 26.3 days | 78,683.85 | +456.25 USD | 37.36% | +0.76 vol pts | 0.00 vol pts | -0.02 vol pts |
| 26JUN26 | 54.3 days | 78,792.8 | +457.47 USD | 38.48% | +0.33 vol pts | -0.05 vol pts | -0.11 vol pts |
| 31JUL26 | 89.3 days | 78,979.35 | +459.94 USD | 39.31% | +0.12 vol pts | -0.19 vol pts | -0.03 vol pts |
| 25SEP26 | 145.3 days | 79,275.17 | +452.85 USD | 40.69% | -0.07 vol pts | -0.17 vol pts | +0.01 vol pts |
| 25DEC26 | 236.3 days | 79,926.69 | +450.67 USD | 42.88% | -0.16 vol pts | -0.16 vol pts | +0.06 vol pts |
| 26MAR27 | 327.3 days | 80,596.29 | +453.06 USD | 43.97% | -0.13 vol pts | -0.04 vol pts | +0.04 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 26JUN26; the largest sigma change occurred at 5MAY26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 3MAY26 | +0.03050 | -0.05680 | +0.22750 | +0.12350 | +0.04220 | rotation towards calls, wing steepening |
| 4MAY26 | -0.02440 | +0.02400 | +0.03670 | +0.01630 | +0.08430 | rotation towards calls, wing steepening |
| 5MAY26 | -0.03740 | +0.02510 | +0.03850 | +0.00940 | +0.19790 | rotation towards calls, wing steepening |
| 8MAY26 | -0.01740 | +0.01060 | +0.03740 | +0.01420 | +0.06800 | rotation towards calls, wing steepening |
| 15MAY26 | +0.00330 | -0.00070 | -0.00490 | -0.00870 | -0.01840 | parallel shift higher, wing steepening |
| 22MAY26 | -0.00780 | +0.00500 | +0.01790 | +0.01520 | +0.02320 | parallel shift higher |
| 29MAY26 | -0.01630 | +0.00660 | 0.00000 | +0.00700 | +0.06690 | parallel shift higher |
| 26JUN26 | +0.02680 | -0.01930 | +0.07710 | +0.06520 | -0.06160 | parallel shift higher |
| 31JUL26 | +0.04430 | -0.02290 | +0.06390 | +0.05890 | -0.12670 | limited movement |
| 25SEP26 | -0.00210 | +0.00240 | -0.01420 | -0.01240 | -0.00170 | limited movement |
| 25DEC26 | -0.00420 | +0.00610 | -0.02030 | -0.02330 | -0.00700 | parallel shift lower |
| 26MAR27 | -0.01590 | +0.01000 | -0.01500 | -0.03150 | +0.01190 | 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
- 02 May 2026, 23:59 UTC
- Comparison snapshot
- 01 May 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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