01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -3.58 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.55 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.33 volatility points across the six headline tenors.
BF25 decreased, averaging -0.18 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -4.23 volatility points at 2W.
Universe roll: added 16JUN26; removed 12JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
15JUN26, +5.67 vol ptsLargest standard-tenor ATM IV move
2W, -4.23 vol ptsLargest standard-tenor RR25 move
3M, +0.60 vol ptsLargest standard-tenor BF25 move
1W, -0.31 vol ptsLargest eligible SVI sigma move
25SEP26, -0.1062 paramLargest eligible SVI rho move
25DEC26, -0.0547 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 36.84 | 40.82 | -3.98 vol pts | -9.75% |
| 2W | 37.29 | 41.52 | -4.23 vol pts | -10.19% |
| 1M | 38.65 | 41.18 | -2.53 vol pts | -6.14% |
| 3M | 39.94 | 41.51 | -1.57 vol pts | -3.78% |
| 6M | 42.59 | 43.38 | -0.79 vol pts | -1.82% |
| 9M | 43.64 | 44.11 | -0.47 vol pts | -1.07% |
| 1Y | 44.16 | 44.47 | -0.31 vol pts | -0.70% |
04 · Risk reversals
RR25 skew moved most at 3M.
RR25 moved towards calls, averaging +0.33 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 | -3.72 | -3.73 | +0.01 vol pts |
| 2W | -4.54 | -5.00 | +0.46 vol pts |
| 1M | -5.45 | -5.82 | +0.37 vol pts |
| 3M | -5.36 | -5.96 | +0.60 vol pts |
| 6M | -4.66 | -4.92 | +0.26 vol pts |
| 9M | -3.81 | -4.08 | +0.27 vol pts |
| 1Y | -3.31 | -3.59 | +0.28 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.18 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 | 1.92 | 2.23 | -0.31 vol pts |
| 2W | 2.36 | 2.62 | -0.26 vol pts |
| 1M | 2.21 | 2.34 | -0.13 vol pts |
| 3M | 2.48 | 2.54 | -0.06 vol pts |
| 6M | 2.72 | 2.76 | -0.04 vol pts |
| 9M | 2.77 | 2.94 | -0.17 vol pts |
| 1Y | 2.77 | 3.03 | -0.26 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
13JUN26, +21.03 vol ptsATM IV change
14JUN26, -15.37 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 |
|---|---|---|---|---|---|---|---|
| 13JUN26Expiry effect | 0.3 days | 63,550.15 | -15.04 USD | 22.49% | -18.78 vol pts | +4.24 vol pts | -1.58 vol pts |
| 14JUN26Expiry effect | 1.3 days | 63,541.38 | -26.53 USD | 19.68% | -15.37 vol pts | +2.11 vol pts | -0.95 vol pts |
| 15JUN26 | 2.3 days | 63,551.77 | -21.61 USD | 28.77% | -6.99 vol pts | +1.81 vol pts | -0.91 vol pts |
| 19JUN26 | 6.3 days | 63,562.99 | -26.76 USD | 36.76% | -4.26 vol pts | +0.22 vol pts | -0.40 vol pts |
| 26JUN26 | 13.3 days | 63,582.53 | -39.09 USD | 37.18% | -4.35 vol pts | +0.63 vol pts | -0.25 vol pts |
| 3JUL26 | 20.3 days | 63,616.57 | -41.53 USD | 37.99% | -3.27 vol pts | -0.15 vol pts | -0.13 vol pts |
| 31JUL26 | 48.3 days | 63,756.14 | -47.86 USD | 39.17% | -1.93 vol pts | +0.88 vol pts | -0.14 vol pts |
| 28AUG26 | 76.3 days | 63,955.36 | -39.65 USD | 39.79% | -1.61 vol pts | +0.50 vol pts | -0.10 vol pts |
| 25SEP26 | 104.3 days | 64,156.26 | -22.22 USD | 40.04% | -1.56 vol pts | +0.63 vol pts | -0.03 vol pts |
| 25DEC26 | 195.3 days | 64,817.73 | -20.97 USD | 42.82% | -0.73 vol pts | +0.22 vol pts | -0.06 vol pts |
| 26MAR27 | 286.3 days | 65,511.65 | +0.85 USD | 43.74% | -0.44 vol pts | +0.26 vol pts | -0.20 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 25SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 13JUN26 | +0.01350 | -0.04900 | +0.17870 | +0.07840 | +0.21420 | rotation towards calls, wing steepening |
| 14JUN26 | +0.00020 | -0.00900 | +0.09250 | +0.03550 | +0.03200 | rotation towards calls, wing steepening |
| 15JUN26 | -0.00140 | -0.01700 | +0.01000 | -0.00880 | +0.08550 | rotation towards calls, wing steepening |
| 19JUN26 | +0.01800 | -0.02220 | -0.02340 | -0.01780 | -0.03940 | parallel shift lower, rotation towards puts, wing steepening |
| 26JUN26 | +0.01690 | -0.01710 | +0.01500 | -0.00630 | -0.07060 | parallel shift lower, rotation towards calls, wing steepening |
| 3JUL26 | +0.02420 | -0.01830 | +0.01650 | -0.00600 | -0.09550 | parallel shift lower, rotation towards puts, wing steepening |
| 31JUL26 | -0.00190 | -0.00210 | +0.01020 | -0.01030 | +0.00830 | parallel shift lower, rotation towards calls |
| 28AUG26 | +0.03300 | -0.01880 | +0.03160 | +0.00420 | -0.08760 | parallel shift lower |
| 25SEP26 | +0.04330 | -0.01910 | +0.00440 | -0.01500 | -0.10620 | parallel shift lower |
| 25DEC26 | +0.00010 | +0.00040 | -0.05470 | -0.07340 | +0.00030 | parallel shift lower |
| 26MAR27 | -0.00280 | -0.00460 | -0.03840 | -0.06340 | +0.02860 | 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
- 12 Jun 2026, 23:59 UTC
- Comparison snapshot
- 11 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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