01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +2.81 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.62 volatility points across 6M and 1Y.
RR25 moved towards puts, averaging -1.51 volatility points across the six headline tenors.
BF25 increased, averaging +0.43 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +3.44 volatility points at 1W.
Universe roll: added 10JUL26, 22JUN26; removed 18JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
21JUN26, -7.45 vol ptsLargest standard-tenor RR25 move
1W, -3.81 vol ptsLargest standard-tenor ATM IV move
1W, +3.44 vol ptsLargest standard-tenor BF25 move
1W, +1.17 vol ptsLargest eligible SVI sigma move
21JUN26, -0.1687 paramLargest eligible SVI rho move
31JUL26, -0.1466 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 39.52 | 36.08 | +3.44 vol pts | +9.53% |
| 2W | 39.83 | 36.91 | +2.92 vol pts | +7.91% |
| 1M | 39.22 | 37.14 | +2.08 vol pts | +5.60% |
| 3M | 39.76 | 38.42 | +1.34 vol pts | +3.49% |
| 6M | 42.21 | 41.48 | +0.73 vol pts | +1.76% |
| 9M | 43.14 | 42.56 | +0.58 vol pts | +1.36% |
| 1Y | 43.61 | 43.09 | +0.52 vol pts | +1.21% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.51 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 | -9.07 | -5.26 | -3.81 vol pts |
| 2W | -9.07 | -6.47 | -2.60 vol pts |
| 1M | -8.02 | -6.44 | -1.58 vol pts |
| 3M | -6.71 | -5.83 | -0.88 vol pts |
| 6M | -5.21 | -4.97 | -0.24 vol pts |
| 9M | -4.40 | -4.36 | -0.04 vol pts |
| 1Y | -3.99 | -4.05 | +0.06 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.43 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 | 3.83 | 2.66 | +1.17 vol pts |
| 2W | 3.15 | 2.57 | +0.58 vol pts |
| 1M | 2.94 | 2.40 | +0.54 vol pts |
| 3M | 2.75 | 2.55 | +0.20 vol pts |
| 6M | 2.87 | 2.85 | +0.02 vol pts |
| 9M | 3.00 | 2.94 | +0.06 vol pts |
| 1Y | 3.05 | 2.99 | +0.06 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
19JUN26, -21.71 vol ptsSmile rotation
20JUN26, -9.87 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 |
|---|---|---|---|---|---|---|---|
| 19JUN26Expiry effect | 0.3 days | 62,903.39 | -1533.91 USD | 41.85% | +6.00 vol pts | -2.84 vol pts | -0.12 vol pts |
| 20JUN26Expiry effect | 1.3 days | 62,903.88 | -1535.25 USD | 37.35% | +2.46 vol pts | -1.92 vol pts | +0.76 vol pts |
| 21JUN26 | 2.3 days | 62,904.24 | -1530.35 USD | 34.86% | +2.56 vol pts | -2.32 vol pts | +1.08 vol pts |
| 26JUN26 | 7.3 days | 62,915.88 | -1537.39 USD | 39.66% | +3.06 vol pts | -3.73 vol pts | +1.11 vol pts |
| 3JUL26 | 14.3 days | 62,942.33 | -1529.48 USD | 39.83% | +2.88 vol pts | -2.45 vol pts | +0.59 vol pts |
| 31JUL26 | 42.3 days | 63,094.38 | -1512.37 USD | 39.15% | +1.95 vol pts | -1.35 vol pts | +0.49 vol pts |
| 28AUG26 | 70.3 days | 63,303.18 | -1511.28 USD | 39.30% | +1.49 vol pts | -0.82 vol pts | +0.18 vol pts |
| 25SEP26 | 98.3 days | 63,497.18 | -1514.54 USD | 39.88% | +1.27 vol pts | -0.92 vol pts | +0.22 vol pts |
| 25DEC26 | 189.3 days | 64,157.31 | -1543.09 USD | 42.31% | +0.68 vol pts | -0.21 vol pts | +0.01 vol pts |
| 26MAR27 | 280.3 days | 64,837.76 | -1542.08 USD | 43.19% | +0.57 vol pts | -0.03 vol pts | +0.05 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 31JUL26; the largest sigma change occurred at 21JUN26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 19JUN26 | +0.01250 | -0.02470 | -0.09950 | -0.03640 | -0.02120 | rotation towards puts, wing steepening |
| 20JUN26 | +0.01990 | -0.02400 | -0.03770 | +0.01110 | -0.13350 | rotation towards puts, wing steepening |
| 21JUN26 | +0.02400 | -0.02330 | -0.01850 | +0.01970 | -0.16870 | rotation towards puts, wing steepening |
| 26JUN26 | +0.02580 | -0.02540 | -0.02800 | +0.00470 | -0.15150 | rotation towards puts, wing steepening |
| 3JUL26 | +0.01240 | -0.00720 | -0.03180 | -0.00310 | -0.07030 | rotation towards puts |
| 31JUL26 | -0.03000 | +0.02350 | -0.14660 | -0.05530 | +0.09430 | rotation towards puts |
| 28AUG26 | +0.01400 | -0.00770 | -0.02950 | -0.00760 | -0.04180 | parallel shift higher, rotation towards puts |
| 25SEP26 | +0.02200 | -0.00680 | -0.02460 | +0.00020 | -0.06330 | parallel shift higher, rotation towards puts |
| 25DEC26 | +0.01720 | -0.00760 | -0.02640 | -0.01430 | -0.01720 | parallel shift higher |
| 26MAR27 | +0.05400 | -0.01540 | -0.07070 | -0.05900 | -0.08240 | 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
- 18 Jun 2026, 23:59 UTC
- Comparison snapshot
- 17 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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