01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.88 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.17 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -0.14 volatility points across the six headline tenors.
BF25 decreased, averaging -0.16 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -2.22 volatility points at 1W.
Universe roll: added 2JUN26; removed 29MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
1JUN26, -3.56 vol ptsLargest standard-tenor ATM IV move
1W, -2.22 vol ptsLargest standard-tenor RR25 move
1W, -0.92 vol ptsLargest standard-tenor BF25 move
1W, -0.46 vol ptsLargest eligible SVI rho move
5JUN26, -0.0719 paramLargest eligible SVI sigma move
12JUN26, +0.0552 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 31.28 | 33.50 | -2.22 vol pts | -6.63% |
| 2W | 32.66 | 34.65 | -1.99 vol pts | -5.74% |
| 1M | 33.77 | 35.19 | -1.42 vol pts | -4.04% |
| 3M | 36.12 | 36.40 | -0.28 vol pts | -0.77% |
| 6M | 40.14 | 40.38 | -0.24 vol pts | -0.59% |
| 9M | 41.92 | 42.08 | -0.16 vol pts | -0.38% |
| 1Y | 42.79 | 42.90 | -0.11 vol pts | -0.26% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -0.14 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 | -3.41 | -2.49 | -0.92 vol pts |
| 2W | -4.36 | -4.16 | -0.20 vol pts |
| 1M | -4.63 | -4.25 | -0.38 vol pts |
| 3M | -4.61 | -4.94 | +0.33 vol pts |
| 6M | -5.21 | -5.31 | +0.10 vol pts |
| 9M | -5.08 | -5.25 | +0.17 vol pts |
| 1Y | -4.89 | -5.14 | +0.25 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.16 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 | 2.15 | -0.46 vol pts |
| 2W | 1.74 | 2.14 | -0.40 vol pts |
| 1M | 1.99 | 2.13 | -0.14 vol pts |
| 3M | 2.05 | 1.98 | +0.07 vol pts |
| 6M | 2.31 | 2.39 | -0.08 vol pts |
| 9M | 2.28 | 2.27 | +0.01 vol pts |
| 1Y | 2.23 | 2.16 | +0.07 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
30MAY26, -21.50 vol ptsATM IV change
31MAY26, -9.69 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 |
|---|---|---|---|---|---|---|---|
| 30MAY26Expiry effect | 0.3 days | 73,389.74 | -168.48 USD | 19.44% | -13.85 vol pts | -2.06 vol pts | -1.16 vol pts |
| 31MAY26Expiry effect | 1.3 days | 73,396.11 | -149.05 USD | 18.63% | -9.69 vol pts | +0.42 vol pts | -0.74 vol pts |
| 1JUN26 | 2.3 days | 73,390.03 | -175.05 USD | 22.60% | -6.24 vol pts | -0.52 vol pts | -0.70 vol pts |
| 5JUN26 | 6.3 days | 73,413.33 | -171.95 USD | 31.00% | -2.68 vol pts | -0.64 vol pts | -0.50 vol pts |
| 12JUN26 | 13.3 days | 73,445.33 | -174.03 USD | 32.53% | -2.14 vol pts | -0.16 vol pts | -0.42 vol pts |
| 19JUN26 | 20.3 days | 73,485.14 | -157.86 USD | 33.48% | -2.06 vol pts | +0.20 vol pts | -0.24 vol pts |
| 26JUN26 | 27.3 days | 73,538.91 | -155.32 USD | 33.55% | -1.61 vol pts | -0.37 vol pts | -0.13 vol pts |
| 31JUL26 | 62.3 days | 73,712.33 | -150.57 USD | 34.93% | -0.56 vol pts | -0.17 vol pts | -0.11 vol pts |
| 28AUG26 | 90.3 days | 73,879.98 | -162.96 USD | 36.09% | -0.32 vol pts | +0.34 vol pts | +0.06 vol pts |
| 25SEP26 | 118.3 days | 74,063.12 | -169.26 USD | 37.07% | -0.44 vol pts | +0.22 vol pts | 0.00 vol pts |
| 25DEC26 | 209.3 days | 74,737.73 | -135.76 USD | 40.85% | -0.24 vol pts | +0.07 vol pts | -0.09 vol pts |
| 26MAR27 | 300.3 days | 75,384.13 | -125.23 USD | 42.24% | -0.15 vol pts | +0.20 vol pts | +0.02 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 5JUN26; the largest sigma change occurred at 12JUN26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 30MAY26 | -0.01500 | -0.02310 | -0.14470 | -0.13850 | +0.38790 | rotation towards puts, wing steepening |
| 31MAY26 | -0.00290 | -0.00730 | -0.00100 | -0.00720 | +0.06230 | rotation towards calls, wing steepening |
| 1JUN26 | +0.00420 | -0.01980 | -0.05360 | -0.02460 | +0.04540 | rotation towards puts, wing steepening |
| 5JUN26 | +0.00340 | -0.01720 | -0.07190 | -0.03640 | +0.04450 | rotation towards puts |
| 12JUN26 | +0.00050 | -0.01500 | -0.05340 | -0.02510 | +0.05520 | rotation towards puts |
| 19JUN26 | +0.01180 | -0.01720 | -0.06930 | -0.04620 | -0.01220 | parallel shift lower |
| 26JUN26 | +0.00510 | -0.00630 | -0.00390 | +0.00270 | -0.01220 | rotation towards puts |
| 31JUL26 | -0.00300 | -0.00030 | +0.02620 | +0.02620 | +0.01170 | parallel shift lower |
| 28AUG26 | +0.00650 | -0.00190 | -0.01130 | -0.02640 | -0.02880 | parallel shift lower |
| 25SEP26 | +0.00400 | +0.00150 | -0.04240 | -0.05410 | -0.01800 | parallel shift lower |
| 25DEC26 | -0.01810 | +0.00140 | +0.02800 | +0.02820 | +0.04700 | parallel shift lower |
| 26MAR27 | +0.01930 | -0.00640 | -0.05670 | -0.08240 | -0.02890 | 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
- 29 May 2026, 23:59 UTC
- Comparison snapshot
- 28 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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