01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +1.33 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.12 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -0.49 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 +1.69 volatility points at 1W.
Universe roll: added 30MAY26; removed 26MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
29MAY26, -2.48 vol ptsLargest standard-tenor ATM IV move
1W, +1.69 vol ptsLargest standard-tenor RR25 move
2W, -0.72 vol ptsLargest eligible SVI rho move
31JUL26, +0.1313 paramLargest eligible SVI sigma move
5JUN26, +0.1271 paramLargest standard-tenor BF25 move
2W, -0.08 vol pts03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 31.99 | 30.30 | +1.69 vol pts | +5.58% |
| 2W | 32.46 | 31.13 | +1.33 vol pts | +4.27% |
| 1M | 33.74 | 32.78 | +0.96 vol pts | +2.93% |
| 3M | 37.16 | 36.94 | +0.22 vol pts | +0.60% |
| 6M | 40.94 | 40.79 | +0.15 vol pts | +0.37% |
| 9M | 42.75 | 42.63 | +0.12 vol pts | +0.28% |
| 1Y | 43.67 | 43.58 | +0.09 vol pts | +0.21% |
04 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -0.49 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 | -3.19 | -2.62 | -0.57 vol pts |
| 2W | -3.94 | -3.22 | -0.72 vol pts |
| 1M | -4.07 | -3.39 | -0.68 vol pts |
| 3M | -4.28 | -3.80 | -0.48 vol pts |
| 6M | -4.64 | -4.29 | -0.35 vol pts |
| 9M | -4.61 | -4.38 | -0.23 vol pts |
| 1Y | -4.51 | -4.35 | -0.16 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
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 | 1.69 | 1.66 | +0.03 vol pts |
| 2W | 1.78 | 1.86 | -0.08 vol pts |
| 1M | 1.99 | 1.97 | +0.02 vol pts |
| 3M | 2.30 | 2.30 | 0.00 vol pts |
| 6M | 2.40 | 2.45 | -0.05 vol pts |
| 9M | 2.39 | 2.46 | -0.07 vol pts |
| 1Y | 2.35 | 2.43 | -0.08 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
27MAY26, -23.73 vol ptsSmile rotation
28MAY26, -3.56 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 |
|---|---|---|---|---|---|---|---|
| 27MAY26Expiry effect | 0.3 days | 75,829.15 | -1474.73 USD | 29.87% | +1.43 vol pts | -3.48 vol pts | -0.20 vol pts |
| 28MAY26Expiry effect | 1.3 days | 75,825.24 | -1475.32 USD | 31.77% | +2.18 vol pts | -0.35 vol pts | +0.03 vol pts |
| 29MAY26 | 2.3 days | 75,835.45 | -1471.26 USD | 31.65% | +1.60 vol pts | -0.39 vol pts | +0.15 vol pts |
| 5JUN26 | 9.3 days | 75,860.15 | -1460.88 USD | 32.04% | +1.67 vol pts | -0.39 vol pts | -0.01 vol pts |
| 12JUN26 | 16.3 days | 75,900.9 | -1452.74 USD | 32.58% | +1.04 vol pts | -0.71 vol pts | -0.13 vol pts |
| 26JUN26 | 30.3 days | 75,967.98 | -1458.34 USD | 33.75% | +0.90 vol pts | -0.68 vol pts | +0.04 vol pts |
| 31JUL26 | 65.3 days | 76,111.49 | -1457.31 USD | 35.44% | +0.33 vol pts | -0.38 vol pts | -0.02 vol pts |
| 25SEP26 | 121.3 days | 76,485.49 | -1429.64 USD | 38.21% | +0.06 vol pts | -0.54 vol pts | +0.02 vol pts |
| 25DEC26 | 212.3 days | 77,196.85 | -1445.64 USD | 41.69% | +0.14 vol pts | -0.28 vol pts | -0.08 vol pts |
| 26MAR27 | 303.3 days | 77,890 | -1454.16 USD | 43.12% | +0.10 vol pts | -0.20 vol pts | -0.08 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 31JUL26; the largest sigma change occurred at 5JUN26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 27MAY26 | -0.02150 | +0.00280 | -0.07390 | -0.06160 | +0.24980 | rotation towards puts, wing steepening |
| 28MAY26 | +0.01390 | -0.01800 | -0.03390 | -0.00690 | -0.06860 | rotation towards puts, wing steepening |
| 29MAY26 | +0.00670 | -0.00660 | -0.03850 | -0.01360 | -0.03880 | rotation towards puts, wing steepening |
| 5JUN26 | -0.02920 | +0.01760 | -0.07000 | -0.03990 | +0.12710 | rotation towards puts |
| 12JUN26 | -0.02090 | +0.00760 | -0.01350 | +0.00700 | +0.10450 | rotation towards puts, wing flattening |
| 26JUN26 | -0.00940 | +0.00640 | +0.05630 | +0.04920 | +0.02900 | rotation towards puts |
| 31JUL26 | +0.00980 | -0.01310 | +0.13130 | +0.11060 | -0.01910 | parallel shift higher |
| 25SEP26 | -0.02510 | +0.00100 | +0.10870 | +0.11950 | +0.05970 | rotation towards puts |
| 25DEC26 | +0.01390 | -0.01240 | -0.00130 | +0.01950 | -0.00190 | parallel shift higher |
| 26MAR27 | -0.00270 | -0.00470 | +0.02590 | +0.04870 | +0.01940 | 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
- 26 May 2026, 23:59 UTC
- Comparison snapshot
- 25 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