01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +1.80 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +1.30 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -0.32 volatility points across the six headline tenors.
BF25 increased, averaging +0.10 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +2.09 volatility points at 1W.
Universe roll: no additions; removed 4MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest standard-tenor ATM IV move
1W, +2.09 vol ptsLargest eligible smile rotation
8MAY26, +1.72 vol ptsLargest standard-tenor RR25 move
1M, -0.57 vol ptsLargest standard-tenor BF25 move
2W, +0.24 vol ptsLargest eligible SVI sigma move
7MAY26, +0.1400 paramLargest eligible SVI rho move
29MAY26, +0.1002 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 38.47 | 36.38 | +2.09 vol pts | +5.74% |
| 2W | 38.45 | 36.91 | +1.54 vol pts | +4.17% |
| 1M | 39.24 | 37.47 | +1.77 vol pts | +4.72% |
| 3M | 40.90 | 39.24 | +1.66 vol pts | +4.23% |
| 6M | 43.55 | 41.89 | +1.66 vol pts | +3.96% |
| 9M | 44.74 | 43.43 | +1.31 vol pts | +3.02% |
| 1Y | 45.15 | 44.21 | +0.94 vol pts | +2.13% |
04 · Risk reversals
RR25 skew moved most at 1M.
RR25 moved towards puts, averaging -0.32 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 | -2.45 | -2.30 | -0.15 vol pts |
| 2W | -3.24 | -2.98 | -0.26 vol pts |
| 1M | -3.78 | -3.21 | -0.57 vol pts |
| 3M | -5.03 | -4.54 | -0.49 vol pts |
| 6M | -4.93 | -4.67 | -0.26 vol pts |
| 9M | -4.70 | -4.48 | -0.22 vol pts |
| 1Y | -4.56 | -4.35 | -0.21 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
BF25 increased, averaging +0.10 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 | 1.75 | 1.58 | +0.17 vol pts |
| 2W | 1.78 | 1.54 | +0.24 vol pts |
| 1M | 1.96 | 1.89 | +0.07 vol pts |
| 3M | 2.09 | 2.02 | +0.07 vol pts |
| 6M | 2.21 | 2.23 | -0.02 vol pts |
| 9M | 2.22 | 2.20 | +0.02 vol pts |
| 1Y | 2.14 | 2.05 | +0.09 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
5MAY26, -6.39 vol ptsATM IV change
6MAY26, +3.90 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 |
|---|---|---|---|---|---|---|---|
| 5MAY26Expiry effect | 0.3 days | 79,846.81 | +1301.35 USD | 38.04% | +3.35 vol pts | -0.69 vol pts | -0.71 vol pts |
| 6MAY26Expiry effect | 1.3 days | 79,820.77 | +1262.89 USD | 38.47% | +3.90 vol pts | -0.19 vol pts | +0.13 vol pts |
| 7MAY26 | 2.3 days | 79,817.8 | +1255.44 USD | 38.92% | +3.61 vol pts | +0.10 vol pts | +0.08 vol pts |
| 8MAY26 | 3.3 days | 79,810.93 | +1242.73 USD | 38.59% | +2.87 vol pts | +0.49 vol pts | +0.21 vol pts |
| 15MAY26 | 10.3 days | 79,826.8 | +1241.09 USD | 38.44% | +1.66 vol pts | -0.20 vol pts | +0.18 vol pts |
| 22MAY26 | 17.3 days | 79,850.91 | +1249.43 USD | 38.46% | +1.41 vol pts | -0.10 vol pts | +0.28 vol pts |
| 29MAY26 | 24.3 days | 79,858.54 | +1236.40 USD | 38.87% | +1.64 vol pts | -0.72 vol pts | +0.06 vol pts |
| 26JUN26 | 52.3 days | 79,979.4 | +1249.67 USD | 39.92% | +1.87 vol pts | -0.17 vol pts | +0.01 vol pts |
| 31JUL26 | 87.3 days | 80,190.55 | +1275.09 USD | 40.72% | +1.60 vol pts | -0.49 vol pts | +0.07 vol pts |
| 25SEP26 | 143.3 days | 80,531.14 | +1322.68 USD | 42.42% | +1.77 vol pts | -0.33 vol pts | -0.07 vol pts |
| 25DEC26 | 234.3 days | 81,251.12 | +1389.39 USD | 44.47% | +1.54 vol pts | -0.21 vol pts | -0.01 vol pts |
| 26MAR27 | 325.3 days | 81,920.91 | +1398.01 USD | 45.00% | +1.06 vol pts | -0.21 vol pts | +0.07 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 29MAY26; the largest sigma change occurred at 7MAY26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 5MAY26 | -0.03000 | -0.00350 | -0.04470 | -0.06320 | +0.45270 | rotation towards puts, wing steepening |
| 6MAY26 | -0.00700 | +0.00420 | +0.03740 | +0.01720 | +0.04060 | rotation towards puts, wing steepening |
| 7MAY26 | -0.02990 | +0.02140 | +0.04840 | +0.01590 | +0.14000 | rotation towards calls, wing steepening |
| 8MAY26 | -0.00650 | +0.00730 | +0.02960 | +0.01260 | +0.01180 | rotation towards calls, wing steepening |
| 15MAY26 | +0.00790 | +0.00100 | +0.03690 | +0.03020 | -0.05860 | parallel shift higher, wing steepening |
| 22MAY26 | +0.00660 | +0.00790 | +0.07930 | +0.05750 | -0.08300 | parallel shift higher, wing steepening |
| 29MAY26 | +0.00950 | -0.00430 | +0.10020 | +0.09620 | -0.03350 | rotation towards puts |
| 26JUN26 | -0.03760 | +0.01880 | -0.03700 | -0.03150 | +0.12040 | parallel shift higher |
| 31JUL26 | -0.03730 | +0.01890 | -0.03780 | -0.02130 | +0.11010 | parallel shift higher |
| 25SEP26 | +0.01270 | -0.01620 | +0.06680 | +0.10780 | +0.02100 | parallel shift higher |
| 25DEC26 | +0.00230 | -0.00960 | +0.03680 | +0.06550 | +0.03970 | parallel shift higher |
| 26MAR27 | +0.00010 | -0.00140 | +0.03670 | +0.07070 | +0.01110 | parallel shift higher |
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
- 04 May 2026, 23:59 UTC
- Comparison snapshot
- 03 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
Continue through Derivasys