01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +1.53 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.12 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -0.57 volatility points across the six headline tenors.
BF25 increased, averaging +0.11 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +1.94 volatility points at 2W.
Universe roll: added 31MAY26; removed 27MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
30MAY26, -7.02 vol ptsLargest standard-tenor ATM IV move
2W, +1.94 vol ptsLargest standard-tenor RR25 move
3M, -0.78 vol ptsLargest standard-tenor BF25 move
1W, +0.34 vol ptsLargest eligible SVI rho move
31JUL26, +0.1788 paramLargest eligible SVI sigma move
5JUN26, -0.1502 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 33.61 | 31.99 | +1.62 vol pts | +5.06% |
| 2W | 34.40 | 32.46 | +1.94 vol pts | +5.98% |
| 1M | 34.76 | 33.74 | +1.02 vol pts | +3.02% |
| 3M | 37.18 | 37.16 | +0.02 vol pts | +0.05% |
| 6M | 40.87 | 40.94 | -0.07 vol pts | -0.17% |
| 9M | 42.63 | 42.75 | -0.12 vol pts | -0.28% |
| 1Y | 43.49 | 43.67 | -0.18 vol pts | -0.41% |
04 · Risk reversals
RR25 skew moved most at 3M.
RR25 moved towards puts, averaging -0.57 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 | -3.57 | -3.19 | -0.38 vol pts |
| 2W | -4.47 | -3.94 | -0.53 vol pts |
| 1M | -4.61 | -4.07 | -0.54 vol pts |
| 3M | -5.06 | -4.28 | -0.78 vol pts |
| 6M | -5.27 | -4.64 | -0.63 vol pts |
| 9M | -5.18 | -4.61 | -0.57 vol pts |
| 1Y | -5.05 | -4.51 | -0.54 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.11 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 | 2.03 | 1.69 | +0.34 vol pts |
| 2W | 2.01 | 1.78 | +0.23 vol pts |
| 1M | 2.11 | 1.99 | +0.12 vol pts |
| 3M | 2.28 | 2.30 | -0.02 vol pts |
| 6M | 2.43 | 2.40 | +0.03 vol pts |
| 9M | 2.38 | 2.39 | -0.01 vol pts |
| 1Y | 2.33 | 2.35 | -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
28MAY26, -11.70 vol ptsATM IV change
29MAY26, +3.82 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 |
|---|---|---|---|---|---|---|---|
| 28MAY26Expiry effect | 0.3 days | 74,356.13 | -1469.11 USD | 37.56% | +5.79 vol pts | -0.56 vol pts | -0.74 vol pts |
| 29MAY26Expiry effect | 1.3 days | 74,362.45 | -1473.00 USD | 35.47% | +3.82 vol pts | +0.01 vol pts | +0.13 vol pts |
| 30MAY26 | 2.3 days | 74,367.58 | -1476.89 USD | 34.72% | +2.93 vol pts | -1.39 vol pts | +0.13 vol pts |
| 5JUN26 | 8.3 days | 74,390.85 | -1469.30 USD | 33.97% | +1.93 vol pts | -0.37 vol pts | +0.43 vol pts |
| 12JUN26 | 15.3 days | 74,442.46 | -1458.44 USD | 34.45% | +1.87 vol pts | -0.44 vol pts | +0.20 vol pts |
| 26JUN26 | 29.3 days | 74,543.47 | -1424.51 USD | 34.72% | +0.97 vol pts | -0.51 vol pts | +0.09 vol pts |
| 31JUL26 | 64.3 days | 74,699.69 | -1411.80 USD | 35.73% | +0.29 vol pts | -1.07 vol pts | -0.13 vol pts |
| 25SEP26 | 120.3 days | 75,058.1 | -1427.39 USD | 38.00% | -0.21 vol pts | -0.62 vol pts | +0.04 vol pts |
| 25DEC26 | 211.3 days | 75,727.89 | -1468.96 USD | 41.61% | -0.08 vol pts | -0.63 vol pts | +0.03 vol pts |
| 26MAR27 | 302.3 days | 76,391.77 | -1498.23 USD | 42.96% | -0.16 vol pts | -0.56 vol pts | 0.00 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 |
|---|---|---|---|---|---|---|
| 28MAY26 | +0.00210 | -0.02830 | -0.09190 | -0.07560 | +0.17000 | rotation towards puts, wing steepening |
| 29MAY26 | +0.00760 | -0.01200 | -0.01140 | -0.00340 | -0.03290 | rotation towards puts, wing steepening |
| 30MAY26 | +0.00150 | -0.00270 | -0.07950 | -0.03150 | +0.00050 | rotation towards puts, wing steepening |
| 5JUN26 | +0.02780 | -0.00980 | +0.03420 | +0.01960 | -0.15020 | wing steepening |
| 12JUN26 | +0.01470 | -0.00670 | +0.02910 | +0.01860 | -0.06490 | parallel shift higher, rotation towards puts |
| 26JUN26 | +0.01960 | -0.01160 | +0.05520 | +0.04050 | -0.06900 | rotation towards puts |
| 31JUL26 | +0.03640 | -0.02590 | +0.17880 | +0.14680 | -0.11350 | rotation towards puts |
| 25SEP26 | -0.03630 | +0.01980 | -0.01520 | -0.01370 | +0.05910 | rotation towards puts |
| 25DEC26 | -0.01630 | +0.00620 | +0.04540 | +0.07640 | +0.01260 | limited movement |
| 26MAR27 | -0.00720 | +0.00320 | +0.03390 | +0.07100 | -0.00740 | limited movement |
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
- 27 May 2026, 23:59 UTC
- Comparison snapshot
- 26 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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