01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +2.91 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +1.31 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -1.30 volatility points across the six headline tenors.
BF25 increased, averaging +0.38 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +3.40 volatility points at 1M.
Universe roll: added 7JUN26; removed 3JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
6JUN26, -7.14 vol ptsLargest standard-tenor ATM IV move
1M, +3.40 vol ptsLargest standard-tenor RR25 move
2W, -2.10 vol ptsLargest standard-tenor BF25 move
2W, +0.70 vol ptsLargest eligible SVI sigma move
28AUG26, -0.1262 paramLargest eligible SVI rho move
25DEC26, -0.1025 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 48.60 | 46.42 | +2.18 vol pts | +4.70% |
| 2W | 47.04 | 43.89 | +3.15 vol pts | +7.18% |
| 1M | 44.83 | 41.43 | +3.40 vol pts | +8.21% |
| 3M | 42.27 | 39.66 | +2.61 vol pts | +6.58% |
| 6M | 43.85 | 42.24 | +1.61 vol pts | +3.81% |
| 9M | 44.54 | 43.32 | +1.22 vol pts | +2.82% |
| 1Y | 44.83 | 43.82 | +1.01 vol pts | +2.30% |
04 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -1.30 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 | -8.92 | -7.70 | -1.22 vol pts |
| 2W | -9.57 | -7.47 | -2.10 vol pts |
| 1M | -8.70 | -6.88 | -1.82 vol pts |
| 3M | -7.22 | -5.81 | -1.41 vol pts |
| 6M | -6.27 | -5.53 | -0.74 vol pts |
| 9M | -5.84 | -5.25 | -0.59 vol pts |
| 1Y | -5.62 | -5.09 | -0.53 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
BF25 increased, averaging +0.38 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 | 3.76 | 3.10 | +0.66 vol pts |
| 2W | 3.47 | 2.77 | +0.70 vol pts |
| 1M | 3.00 | 2.56 | +0.44 vol pts |
| 3M | 2.44 | 2.25 | +0.19 vol pts |
| 6M | 2.59 | 2.45 | +0.14 vol pts |
| 9M | 2.58 | 2.43 | +0.15 vol pts |
| 1Y | 2.58 | 2.41 | +0.17 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
4JUN26, -23.51 vol ptsSmile rotation
5JUN26, -11.18 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 |
|---|---|---|---|---|---|---|---|
| 4JUN26Expiry effect | 0.3 days | 64,022.53 | -2643.91 USD | 68.87% | +14.08 vol pts | -1.23 vol pts | -0.61 vol pts |
| 5JUN26Expiry effect | 1.3 days | 63,975.67 | -2681.00 USD | 60.64% | +8.60 vol pts | -2.52 vol pts | +1.02 vol pts |
| 6JUN26 | 2.3 days | 63,985.3 | -2677.23 USD | 55.70% | +4.28 vol pts | -2.12 vol pts | +0.96 vol pts |
| 12JUN26 | 8.3 days | 64,016.63 | -2679.92 USD | 48.46% | +3.25 vol pts | -1.46 vol pts | +0.78 vol pts |
| 19JUN26 | 15.3 days | 64,040.56 | -2682.55 USD | 46.85% | +3.34 vol pts | -2.17 vol pts | +0.75 vol pts |
| 26JUN26 | 22.3 days | 64,072.26 | -2684.07 USD | 46.03% | +3.72 vol pts | -2.01 vol pts | +0.63 vol pts |
| 31JUL26 | 57.3 days | 64,231.04 | -2704.11 USD | 43.12% | +3.23 vol pts | -1.61 vol pts | +0.17 vol pts |
| 28AUG26 | 85.3 days | 64,400.7 | -2715.46 USD | 42.31% | +2.74 vol pts | -1.49 vol pts | +0.15 vol pts |
| 25SEP26 | 113.3 days | 64,570.37 | -2726.81 USD | 42.17% | +2.19 vol pts | -1.18 vol pts | +0.24 vol pts |
| 25DEC26 | 204.3 days | 65,159.89 | -2724.47 USD | 44.15% | +1.49 vol pts | -0.65 vol pts | +0.11 vol pts |
| 26MAR27 | 295.3 days | 65,769.71 | -2766.09 USD | 44.63% | +1.15 vol pts | -0.57 vol pts | +0.15 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 25DEC26; the largest sigma change occurred at 28AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 4JUN26 | +0.01140 | -0.03030 | -0.11080 | -0.05230 | +0.00440 | rotation towards puts, wing steepening |
| 5JUN26 | +0.00180 | +0.00250 | -0.06820 | -0.02710 | -0.02270 | rotation towards puts, wing steepening |
| 6JUN26 | +0.01300 | -0.00620 | -0.04600 | -0.01330 | -0.08410 | rotation towards puts, wing steepening |
| 12JUN26 | +0.01280 | -0.00160 | -0.02770 | -0.01450 | -0.08290 | rotation towards puts, wing steepening |
| 19JUN26 | +0.01950 | -0.00610 | -0.05380 | -0.02650 | -0.10440 | rotation towards puts, wing steepening |
| 26JUN26 | +0.01650 | -0.00690 | -0.05870 | -0.02120 | -0.07910 | rotation towards puts |
| 31JUL26 | +0.01070 | -0.00680 | -0.03320 | +0.01410 | -0.02990 | parallel shift higher, rotation towards puts |
| 28AUG26 | +0.04440 | -0.02400 | -0.01270 | +0.02960 | -0.12620 | parallel shift higher, rotation towards puts |
| 25SEP26 | +0.04010 | -0.01360 | -0.06400 | -0.01600 | -0.08830 | parallel shift higher, rotation towards puts |
| 25DEC26 | +0.01690 | +0.00320 | -0.10250 | -0.08890 | -0.02060 | parallel shift higher |
| 26MAR27 | -0.01710 | +0.01600 | -0.05390 | -0.04620 | +0.03330 | 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
- 03 Jun 2026, 23:59 UTC
- Comparison snapshot
- 02 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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