01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -2.26 volatility points across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging -0.08 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.11 volatility points across the six headline tenors.
BF25 decreased, averaging -0.12 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -4.00 volatility points at 1W.
Universe roll: added 10MAY26; removed 6MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest standard-tenor ATM IV move
1W, -4.00 vol ptsLargest eligible smile rotation
15MAY26, -1.96 vol ptsLargest standard-tenor RR25 move
3M, +0.58 vol ptsLargest standard-tenor BF25 move
1W, -0.30 vol ptsLargest eligible SVI sigma move
9MAY26, +0.1890 paramLargest eligible SVI rho move
15MAY26, -0.0777 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 34.67 | 38.67 | -4.00 vol pts | -10.34% |
| 2W | 36.53 | 38.47 | -1.94 vol pts | -5.04% |
| 1M | 37.62 | 38.46 | -0.84 vol pts | -2.18% |
| 3M | 39.66 | 39.77 | -0.11 vol pts | -0.28% |
| 6M | 42.43 | 42.51 | -0.08 vol pts | -0.19% |
| 9M | 43.97 | 44.03 | -0.06 vol pts | -0.14% |
| 1Y | 44.66 | 44.73 | -0.07 vol pts | -0.16% |
04 · Risk reversals
RR25 skew moved most at 3M.
RR25 moved towards calls, averaging +0.11 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 | -1.87 | -1.53 | -0.34 vol pts |
| 2W | -2.77 | -2.50 | -0.27 vol pts |
| 1M | -3.30 | -3.27 | -0.03 vol pts |
| 3M | -3.65 | -4.23 | +0.58 vol pts |
| 6M | -3.88 | -4.30 | +0.42 vol pts |
| 9M | -3.92 | -4.20 | +0.28 vol pts |
| 1Y | -3.84 | -4.12 | +0.28 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.12 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 | 1.59 | 1.89 | -0.30 vol pts |
| 2W | 1.65 | 1.90 | -0.25 vol pts |
| 1M | 2.06 | 2.01 | +0.05 vol pts |
| 3M | 1.93 | 2.05 | -0.12 vol pts |
| 6M | 2.16 | 2.18 | -0.02 vol pts |
| 9M | 2.20 | 2.24 | -0.04 vol pts |
| 1Y | 2.16 | 2.22 | -0.06 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
7MAY26, +11.08 vol ptsATM IV change
8MAY26, -3.44 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 |
|---|---|---|---|---|---|---|---|
| 7MAY26Expiry effect | 0.3 days | 81,436.65 | +529.32 USD | 30.01% | -6.51 vol pts | +1.67 vol pts | -1.33 vol pts |
| 8MAY26Expiry effect | 1.3 days | 81,412.12 | +511.87 USD | 33.73% | -3.44 vol pts | +0.25 vol pts | -1.23 vol pts |
| 9MAY26 | 2.3 days | 81,423.19 | +520.07 USD | 33.39% | -4.53 vol pts | +0.16 vol pts | -0.72 vol pts |
| 15MAY26 | 8.3 days | 81,448.98 | +530.15 USD | 35.30% | -3.54 vol pts | -0.44 vol pts | -0.24 vol pts |
| 22MAY26 | 15.3 days | 81,453.84 | +518.77 USD | 36.68% | -1.69 vol pts | -0.10 vol pts | -0.24 vol pts |
| 29MAY26 | 22.3 days | 81,493.74 | +534.83 USD | 37.03% | -1.23 vol pts | -0.01 vol pts | +0.03 vol pts |
| 26JUN26 | 50.3 days | 81,602.16 | +561.07 USD | 38.30% | -0.46 vol pts | -0.01 vol pts | +0.05 vol pts |
| 31JUL26 | 85.3 days | 81,769.47 | +515.25 USD | 39.40% | -0.16 vol pts | +0.57 vol pts | -0.11 vol pts |
| 25SEP26 | 141.3 days | 82,131.97 | +518.22 USD | 41.00% | -0.14 vol pts | +0.64 vol pts | -0.10 vol pts |
| 25DEC26 | 232.3 days | 82,871.85 | +521.09 USD | 43.48% | -0.08 vol pts | +0.27 vol pts | +0.01 vol pts |
| 26MAR27 | 323.3 days | 83,556.37 | +498.55 USD | 44.40% | -0.07 vol pts | +0.28 vol pts | -0.06 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 15MAY26; the largest sigma change occurred at 9MAY26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 7MAY26 | -0.09970 | +0.00450 | +0.12710 | +0.11020 | +1.00320 | rotation towards calls, wing steepening |
| 8MAY26 | -0.06260 | -0.00200 | +0.00460 | -0.02770 | +0.57230 | wing flattening |
| 9MAY26 | -0.02260 | -0.00110 | -0.01340 | -0.01810 | +0.18900 | wing steepening |
| 15MAY26 | +0.01710 | -0.01770 | -0.07770 | -0.04790 | -0.04910 | rotation towards puts, wing steepening |
| 22MAY26 | -0.00180 | -0.00580 | +0.00570 | +0.00950 | +0.03510 | parallel shift lower, rotation towards puts |
| 29MAY26 | +0.00940 | -0.00370 | +0.02030 | +0.00340 | -0.05140 | parallel shift lower |
| 26JUN26 | +0.01920 | -0.00750 | -0.02260 | -0.01580 | -0.06020 | parallel shift lower |
| 31JUL26 | -0.00360 | -0.00340 | -0.01320 | -0.03170 | +0.03280 | rotation towards calls |
| 25SEP26 | -0.01720 | +0.00730 | -0.04240 | -0.09020 | +0.04810 | rotation towards calls |
| 25DEC26 | +0.03920 | -0.01780 | +0.02680 | +0.04210 | -0.08110 | parallel shift lower |
| 26MAR27 | +0.01070 | -0.01160 | +0.06170 | +0.07400 | -0.00950 | 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
- 06 May 2026, 23:59 UTC
- Comparison snapshot
- 05 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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