01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +0.25 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.15 volatility points across 6M and 1Y.
RR25 was broadly unchanged, averaging +0.01 volatility points across the six headline tenors.
BF25 decreased, averaging -0.20 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +0.60 volatility points at 1W.
Universe roll: added 3JUN26; removed 30MAY26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
5JUN26, -5.15 vol ptsLargest standard-tenor RR25 move
1W, -0.62 vol ptsLargest standard-tenor ATM IV move
1W, +0.60 vol ptsLargest standard-tenor BF25 move
2W, -0.47 vol ptsLargest eligible SVI sigma move
12JUN26, +0.2374 paramLargest eligible SVI rho move
19JUN26, -0.1081 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 31.88 | 31.28 | +0.60 vol pts | +1.92% |
| 2W | 32.85 | 32.66 | +0.19 vol pts | +0.58% |
| 1M | 33.72 | 33.77 | -0.05 vol pts | -0.15% |
| 3M | 35.99 | 36.12 | -0.13 vol pts | -0.36% |
| 6M | 40.28 | 40.14 | +0.14 vol pts | +0.35% |
| 9M | 42.07 | 41.92 | +0.15 vol pts | +0.36% |
| 1Y | 42.94 | 42.79 | +0.15 vol pts | +0.35% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging +0.01 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 | -4.03 | -3.41 | -0.62 vol pts |
| 2W | -4.17 | -4.36 | +0.19 vol pts |
| 1M | -4.17 | -4.63 | +0.46 vol pts |
| 3M | -4.68 | -4.61 | -0.07 vol pts |
| 6M | -5.07 | -5.21 | +0.14 vol pts |
| 9M | -5.04 | -5.08 | +0.04 vol pts |
| 1Y | -4.96 | -4.89 | -0.07 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.20 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 | 1.27 | 1.69 | -0.42 vol pts |
| 2W | 1.27 | 1.74 | -0.47 vol pts |
| 1M | 1.71 | 1.99 | -0.28 vol pts |
| 3M | 1.98 | 2.05 | -0.07 vol pts |
| 6M | 2.29 | 2.31 | -0.02 vol pts |
| 9M | 2.30 | 2.28 | +0.02 vol pts |
| 1Y | 2.30 | 2.23 | +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
31MAY26, -14.75 vol ptsSmile rotation
1JUN26, -7.10 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 |
|---|---|---|---|---|---|---|---|
| 31MAY26Expiry effect | 0.3 days | 73,759.88 | +363.77 USD | 21.84% | +3.21 vol pts | -1.81 vol pts | -0.29 vol pts |
| 1JUN26Expiry effect | 1.3 days | 73,761.17 | +371.14 USD | 26.07% | +3.47 vol pts | -1.04 vol pts | -0.06 vol pts |
| 2JUN26 | 2.3 days | 73,774.86 | +380.96 USD | 28.53% | +1.91 vol pts | -0.37 vol pts | -0.25 vol pts |
| 5JUN26 | 5.3 days | 73,766.34 | +353.01 USD | 31.34% | +0.34 vol pts | -0.88 vol pts | -0.36 vol pts |
| 12JUN26 | 12.3 days | 73,824.03 | +378.70 USD | 32.62% | +0.09 vol pts | +0.39 vol pts | -0.53 vol pts |
| 19JUN26 | 19.3 days | 73,863.11 | +377.97 USD | 33.30% | -0.18 vol pts | -0.20 vol pts | -0.40 vol pts |
| 26JUN26 | 26.3 days | 73,902.18 | +363.27 USD | 33.46% | -0.09 vol pts | +0.51 vol pts | -0.33 vol pts |
| 31JUL26 | 61.3 days | 74,071.53 | +359.20 USD | 34.68% | -0.25 vol pts | +0.45 vol pts | -0.15 vol pts |
| 28AUG26 | 89.3 days | 74,260.89 | +380.91 USD | 35.90% | -0.19 vol pts | -0.07 vol pts | -0.09 vol pts |
| 25SEP26 | 117.3 days | 74,427.89 | +364.77 USD | 37.08% | +0.01 vol pts | -0.02 vol pts | +0.02 vol pts |
| 25DEC26 | 208.3 days | 75,123.91 | +386.18 USD | 40.98% | +0.13 vol pts | +0.18 vol pts | -0.04 vol pts |
| 26MAR27 | 299.3 days | 75,796.3 | +412.17 USD | 42.38% | +0.14 vol pts | 0.00 vol pts | +0.04 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 19JUN26; the largest sigma change occurred at 12JUN26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 31MAY26 | -0.02610 | -0.00960 | -0.07250 | -0.08280 | +0.38810 | rotation towards puts, wing steepening |
| 1JUN26 | -0.00670 | -0.00230 | -0.08220 | -0.05230 | +0.09270 | rotation towards puts, wing steepening |
| 2JUN26 | -0.00500 | -0.00670 | -0.04180 | -0.03390 | +0.08670 | rotation towards puts, wing steepening |
| 5JUN26 | -0.00110 | -0.01660 | -0.07860 | -0.04900 | +0.10090 | rotation towards puts, wing flattening |
| 12JUN26 | -0.02360 | -0.01100 | -0.08950 | -0.06930 | +0.23740 | wing flattening |
| 19JUN26 | -0.00940 | -0.01370 | -0.10810 | -0.06130 | +0.13810 | rotation towards puts, wing flattening |
| 26JUN26 | -0.00250 | -0.01120 | +0.04770 | +0.03900 | +0.06430 | rotation towards calls, wing flattening |
| 31JUL26 | +0.01510 | -0.01390 | +0.04980 | +0.02940 | -0.02900 | rotation towards calls |
| 28AUG26 | -0.05880 | +0.02510 | -0.06420 | -0.04710 | +0.17980 | parallel shift lower |
| 25SEP26 | +0.02550 | -0.01410 | +0.01930 | +0.02950 | -0.05090 | parallel shift higher |
| 25DEC26 | +0.00620 | -0.00530 | -0.00200 | -0.00690 | +0.00200 | parallel shift higher |
| 26MAR27 | -0.00290 | +0.00310 | -0.02520 | -0.03530 | +0.00560 | 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
- 30 May 2026, 23:59 UTC
- Comparison snapshot
- 29 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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