01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -4.63 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.72 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +1.99 volatility points across the six headline tenors.
BF25 decreased, averaging -0.40 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -6.29 volatility points at 1W.
Universe roll: added 15JUN26, 3JUL26; removed 11JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
19JUN26, +8.22 vol ptsLargest standard-tenor ATM IV move
1W, -6.29 vol ptsLargest standard-tenor RR25 move
1W, +3.99 vol ptsLargest standard-tenor BF25 move
1W, -0.79 vol ptsLargest eligible SVI sigma move
28AUG26, +0.3506 paramLargest eligible SVI rho move
14JUN26, -0.0938 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 40.82 | 47.11 | -6.29 vol pts | -13.35% |
| 2W | 41.52 | 46.00 | -4.48 vol pts | -9.74% |
| 1M | 41.18 | 44.29 | -3.11 vol pts | -7.02% |
| 3M | 41.51 | 43.42 | -1.91 vol pts | -4.40% |
| 6M | 43.38 | 44.40 | -1.02 vol pts | -2.30% |
| 9M | 44.11 | 44.74 | -0.63 vol pts | -1.41% |
| 1Y | 44.47 | 44.89 | -0.42 vol pts | -0.94% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +1.99 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 | -3.73 | -7.72 | +3.99 vol pts |
| 2W | -5.00 | -7.87 | +2.87 vol pts |
| 1M | -5.82 | -8.40 | +2.58 vol pts |
| 3M | -5.96 | -7.35 | +1.39 vol pts |
| 6M | -4.92 | -5.76 | +0.84 vol pts |
| 9M | -4.08 | -4.57 | +0.49 vol pts |
| 1Y | -3.59 | -3.86 | +0.27 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.40 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 | 2.23 | 3.02 | -0.79 vol pts |
| 2W | 2.62 | 3.21 | -0.59 vol pts |
| 1M | 2.34 | 2.88 | -0.54 vol pts |
| 3M | 2.54 | 2.73 | -0.19 vol pts |
| 6M | 2.76 | 2.92 | -0.16 vol pts |
| 9M | 2.94 | 3.05 | -0.11 vol pts |
| 1Y | 3.03 | 3.14 | -0.11 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
12JUN26, +16.10 vol ptsATM IV change
13JUN26, -8.40 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 |
|---|---|---|---|---|---|---|---|
| 12JUN26Expiry effect | 0.3 days | 63,559.73 | +2106.77 USD | 39.30% | -11.52 vol pts | +4.89 vol pts | -1.61 vol pts |
| 13JUN26Expiry effect | 1.3 days | 63,565.19 | +2108.88 USD | 41.27% | -8.40 vol pts | +1.89 vol pts | -1.21 vol pts |
| 14JUN26 | 2.3 days | 63,567.91 | +2112.58 USD | 35.05% | -9.28 vol pts | +3.19 vol pts | -1.01 vol pts |
| 19JUN26 | 7.3 days | 63,589.75 | +2113.93 USD | 41.02% | -6.48 vol pts | +4.16 vol pts | -0.82 vol pts |
| 26JUN26 | 14.3 days | 63,621.62 | +2133.79 USD | 41.53% | -4.27 vol pts | +2.83 vol pts | -0.61 vol pts |
| 31JUL26 | 49.3 days | 63,804 | +2132.44 USD | 41.10% | -2.54 vol pts | +2.21 vol pts | -0.35 vol pts |
| 28AUG26 | 77.3 days | 63,995.01 | +2145.87 USD | 41.40% | -1.96 vol pts | +1.86 vol pts | -0.26 vol pts |
| 25SEP26 | 105.3 days | 64,178.48 | +2156.85 USD | 41.60% | -1.87 vol pts | +0.96 vol pts | -0.14 vol pts |
| 25DEC26 | 196.3 days | 64,838.7 | +2174.85 USD | 43.55% | -0.95 vol pts | +0.82 vol pts | -0.16 vol pts |
| 26MAR27 | 287.3 days | 65,510.8 | +2195.90 USD | 44.18% | -0.59 vol pts | +0.44 vol pts | -0.12 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 14JUN26; the largest sigma change occurred at 28AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 12JUN26 | +0.01680 | -0.04150 | +0.06650 | +0.00990 | +0.02580 | rotation towards calls, wing steepening |
| 13JUN26 | +0.00050 | -0.01560 | -0.09530 | -0.06010 | +0.06130 | wing steepening |
| 14JUN26 | -0.01050 | +0.00180 | -0.09380 | -0.07110 | +0.08170 | rotation towards calls, wing steepening |
| 19JUN26 | -0.03410 | +0.01880 | -0.01900 | -0.03450 | +0.16250 | rotation towards calls, wing steepening |
| 26JUN26 | -0.02890 | +0.01880 | -0.01930 | -0.02640 | +0.13480 | rotation towards calls, wing steepening |
| 31JUL26 | -0.03180 | +0.00900 | -0.02450 | -0.00900 | +0.14820 | rotation towards calls |
| 28AUG26 | -0.10990 | +0.04850 | -0.08470 | -0.05180 | +0.35060 | rotation towards calls |
| 25SEP26 | -0.07240 | +0.02730 | -0.07690 | -0.10400 | +0.16810 | parallel shift lower, rotation towards calls |
| 25DEC26 | -0.05850 | +0.02040 | -0.06960 | -0.11780 | +0.12660 | parallel shift lower, rotation towards calls |
| 26MAR27 | -0.04170 | +0.01800 | -0.05050 | -0.09660 | +0.07170 | 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
- 11 Jun 2026, 23:59 UTC
- Comparison snapshot
- 10 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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