01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.11 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.38 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.28 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging -0.05 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -1.19 volatility points at 2W.
Universe roll: added 20JUN26; removed 16JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest standard-tenor ATM IV move
2W, -1.19 vol ptsLargest eligible smile rotation
19JUN26, +1.09 vol ptsLargest standard-tenor RR25 move
1M, +0.60 vol ptsLargest standard-tenor BF25 move
1Y, -0.16 vol ptsLargest eligible SVI sigma move
19JUN26, -0.1234 paramLargest eligible SVI rho move
19JUN26, +0.0499 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 34.61 | 35.78 | -1.17 vol pts | -3.27% |
| 2W | 34.62 | 35.81 | -1.19 vol pts | -3.32% |
| 1M | 35.33 | 36.31 | -0.98 vol pts | -2.70% |
| 3M | 37.52 | 38.12 | -0.60 vol pts | -1.57% |
| 6M | 41.08 | 41.50 | -0.42 vol pts | -1.01% |
| 9M | 42.36 | 42.72 | -0.36 vol pts | -0.84% |
| 1Y | 42.99 | 43.33 | -0.34 vol pts | -0.78% |
04 · Risk reversals
RR25 skew moved most at 1M.
RR25 moved towards calls, averaging +0.28 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 | -3.52 | -3.78 | +0.26 vol pts |
| 2W | -4.31 | -4.52 | +0.21 vol pts |
| 1M | -4.71 | -5.31 | +0.60 vol pts |
| 3M | -4.96 | -5.32 | +0.36 vol pts |
| 6M | -4.43 | -4.70 | +0.27 vol pts |
| 9M | -3.98 | -4.05 | +0.07 vol pts |
| 1Y | -3.74 | -3.70 | -0.04 vol pts |
05 · Butterflies
BF25 convexity changed most at 1Y.
BF25 was broadly unchanged, averaging -0.05 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 | 2.08 | 2.06 | +0.02 vol pts |
| 2W | 2.07 | 2.16 | -0.09 vol pts |
| 1M | 2.15 | 2.23 | -0.08 vol pts |
| 3M | 2.48 | 2.46 | +0.02 vol pts |
| 6M | 2.69 | 2.70 | -0.01 vol pts |
| 9M | 2.74 | 2.85 | -0.11 vol pts |
| 1Y | 2.76 | 2.92 | -0.16 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
18JUN26, +11.12 vol ptsATM IV change
17JUN26, +1.57 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 |
|---|---|---|---|---|---|---|---|
| 17JUN26Expiry effect | 0.3 days | 65,601.49 | -704.88 USD | 33.81% | +1.57 vol pts | +0.02 vol pts | 0.00 vol pts |
| 18JUN26Expiry effect | 1.3 days | 65,612.31 | -690.40 USD | 39.90% | +4.54 vol pts | +2.89 vol pts | -0.17 vol pts |
| 19JUN26 | 2.3 days | 65,614.26 | -687.64 USD | 37.60% | +1.62 vol pts | +0.34 vol pts | +0.20 vol pts |
| 26JUN26 | 9.3 days | 65,627.91 | -686.10 USD | 34.58% | -1.14 vol pts | +0.19 vol pts | -0.07 vol pts |
| 3JUL26 | 16.3 days | 65,661.47 | -686.50 USD | 34.63% | -1.23 vol pts | +0.40 vol pts | -0.10 vol pts |
| 31JUL26 | 44.3 days | 65,795.73 | -681.30 USD | 35.59% | -0.93 vol pts | +0.70 vol pts | -0.04 vol pts |
| 28AUG26 | 72.3 days | 65,996.72 | -687.07 USD | 36.71% | -0.83 vol pts | +0.22 vol pts | +0.08 vol pts |
| 25SEP26 | 100.3 days | 66,197.7 | -696.08 USD | 37.81% | -0.55 vol pts | +0.39 vol pts | -0.03 vol pts |
| 25DEC26 | 191.3 days | 66,899.03 | -715.61 USD | 41.27% | -0.43 vol pts | +0.25 vol pts | -0.03 vol pts |
| 26MAR27 | 282.3 days | 67,625.79 | -730.37 USD | 42.44% | -0.37 vol pts | +0.05 vol pts | -0.11 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 19JUN26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 17JUN26 | -0.02160 | +0.01620 | +0.02920 | +0.00190 | +0.12050 | rotation towards puts, wing steepening |
| 18JUN26 | -0.02050 | +0.01190 | +0.07800 | +0.00930 | +0.13790 | rotation towards calls, wing steepening |
| 19JUN26 | +0.02510 | -0.01700 | +0.04990 | +0.04290 | -0.12340 | rotation towards calls, wing steepening |
| 26JUN26 | +0.02360 | -0.01980 | +0.03480 | +0.01510 | -0.08300 | wing steepening |
| 3JUL26 | +0.01890 | -0.01530 | +0.02580 | +0.00630 | -0.06090 | rotation towards calls, wing steepening |
| 31JUL26 | +0.00010 | -0.00060 | +0.00390 | -0.01340 | -0.00230 | rotation towards calls |
| 28AUG26 | +0.00380 | +0.00070 | -0.01470 | -0.02520 | -0.02710 | parallel shift lower |
| 25SEP26 | -0.00650 | +0.00330 | -0.00660 | -0.01970 | +0.01080 | parallel shift lower |
| 25DEC26 | -0.01420 | +0.00750 | -0.01340 | -0.03260 | +0.02020 | parallel shift lower |
| 26MAR27 | -0.01350 | -0.00170 | +0.00740 | -0.00090 | +0.03570 | 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
- 16 Jun 2026, 23:59 UTC
- Comparison snapshot
- 15 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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