01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +8.58 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +1.27 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -1.89 volatility points across the six headline tenors.
BF25 increased, averaging +0.47 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +11.14 volatility points at 1W.
Universe roll: added 6JUN26; removed 2JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
5JUN26, -21.10 vol ptsLargest standard-tenor ATM IV move
1W, +11.14 vol ptsLargest standard-tenor RR25 move
1W, -4.19 vol ptsLargest standard-tenor BF25 move
1W, +1.23 vol ptsLargest eligible SVI sigma move
28AUG26, +0.1181 paramLargest eligible SVI rho move
5JUN26, -0.1039 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 46.42 | 35.28 | +11.14 vol pts | +31.58% |
| 2W | 43.89 | 35.17 | +8.72 vol pts | +24.79% |
| 1M | 41.43 | 35.55 | +5.88 vol pts | +16.54% |
| 3M | 39.66 | 36.85 | +2.81 vol pts | +7.63% |
| 6M | 42.24 | 40.51 | +1.73 vol pts | +4.27% |
| 9M | 43.32 | 42.17 | +1.15 vol pts | +2.73% |
| 1Y | 43.82 | 43.02 | +0.80 vol pts | +1.86% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.89 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 | -7.70 | -3.51 | -4.19 vol pts |
| 2W | -7.47 | -3.96 | -3.51 vol pts |
| 1M | -6.88 | -4.68 | -2.20 vol pts |
| 3M | -5.81 | -4.78 | -1.03 vol pts |
| 6M | -5.53 | -5.20 | -0.33 vol pts |
| 9M | -5.25 | -5.11 | -0.14 vol pts |
| 1Y | -5.09 | -5.00 | -0.09 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.47 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 | 3.10 | 1.87 | +1.23 vol pts |
| 2W | 2.77 | 1.94 | +0.83 vol pts |
| 1M | 2.56 | 2.06 | +0.50 vol pts |
| 3M | 2.25 | 2.06 | +0.19 vol pts |
| 6M | 2.45 | 2.44 | +0.01 vol pts |
| 9M | 2.43 | 2.43 | 0.00 vol pts |
| 1Y | 2.41 | 2.38 | +0.03 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
3JUN26, -30.42 vol ptsSmile rotation
4JUN26, -22.59 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 |
|---|---|---|---|---|---|---|---|
| 3JUN26Expiry effect | 0.3 days | 66,679.31 | -4666.14 USD | 59.12% | +23.42 vol pts | -5.19 vol pts | +1.39 vol pts |
| 4JUN26Expiry effect | 1.3 days | 66,666.44 | -4672.18 USD | 54.79% | +19.53 vol pts | -6.32 vol pts | +1.80 vol pts |
| 5JUN26 | 2.3 days | 66,656.67 | -4686.21 USD | 52.04% | +15.82 vol pts | -6.81 vol pts | +1.75 vol pts |
| 12JUN26 | 9.3 days | 66,696.55 | -4692.98 USD | 45.21% | +10.21 vol pts | -3.72 vol pts | +1.20 vol pts |
| 19JUN26 | 16.3 days | 66,723.11 | -4704.75 USD | 43.51% | +8.25 vol pts | -3.40 vol pts | +0.66 vol pts |
| 26JUN26 | 23.3 days | 66,756.33 | -4714.02 USD | 42.31% | +6.87 vol pts | -2.58 vol pts | +0.58 vol pts |
| 31JUL26 | 58.3 days | 66,935.15 | -4712.82 USD | 39.89% | +4.11 vol pts | -1.45 vol pts | +0.37 vol pts |
| 28AUG26 | 86.3 days | 67,116.16 | -4709.32 USD | 39.57% | +2.88 vol pts | -1.03 vol pts | +0.21 vol pts |
| 25SEP26 | 114.3 days | 67,297.18 | -4721.96 USD | 39.98% | +2.31 vol pts | -1.01 vol pts | +0.13 vol pts |
| 25DEC26 | 205.3 days | 67,884.36 | -4758.50 USD | 42.66% | +1.60 vol pts | -0.21 vol pts | -0.01 vol pts |
| 26MAR27 | 296.3 days | 68,535.8 | -4766.22 USD | 43.48% | +1.03 vol pts | -0.13 vol pts | +0.01 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 28AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 3JUN26 | +0.02120 | -0.02000 | -0.09260 | -0.01080 | -0.14460 | rotation towards puts, wing steepening |
| 4JUN26 | +0.00330 | +0.00290 | -0.09600 | -0.01950 | -0.03490 | rotation towards puts, wing steepening |
| 5JUN26 | +0.00950 | -0.00230 | -0.10390 | -0.01510 | -0.06870 | rotation towards puts, wing steepening |
| 12JUN26 | +0.01370 | +0.00470 | -0.05880 | -0.01450 | -0.10740 | rotation towards puts |
| 19JUN26 | -0.00990 | +0.01290 | -0.00670 | +0.03770 | +0.02780 | rotation towards puts, wing flattening |
| 26JUN26 | -0.00610 | +0.01230 | +0.00060 | +0.03370 | +0.00960 | parallel shift higher, rotation towards puts, wing flattening |
| 31JUL26 | +0.00320 | -0.00020 | -0.08130 | -0.02280 | -0.00490 | parallel shift higher, rotation towards puts |
| 28AUG26 | -0.03440 | +0.01950 | -0.10060 | -0.03390 | +0.11810 | parallel shift higher, rotation towards puts |
| 25SEP26 | +0.01690 | -0.00780 | -0.03350 | +0.00530 | -0.01710 | parallel shift higher, rotation towards puts |
| 25DEC26 | +0.01710 | -0.01090 | -0.02660 | -0.00950 | +0.01130 | parallel shift higher |
| 26MAR27 | +0.03760 | -0.01480 | -0.04220 | -0.02690 | -0.04000 | 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
- 02 Jun 2026, 23:59 UTC
- Comparison snapshot
- 01 Jun 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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