01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +1.90 volatility points across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.47 volatility points across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.03 volatility points across the six headline tenors.
BF25 increased, averaging +0.24 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +2.13 volatility points at 2W.
Universe roll: added 17JUL26, 25JUN27, 29JUN26; removed 25JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
28JUN26, +5.46 vol ptsLargest standard-tenor ATM IV move
2W, +2.13 vol ptsLargest standard-tenor RR25 move
1W, +0.96 vol ptsLargest standard-tenor BF25 move
1W, +0.60 vol ptsLargest eligible SVI sigma move
25DEC26, -0.2069 paramLargest eligible SVI rho move
10JUL26, +0.0768 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 42.96 | 40.89 | +2.07 vol pts | +5.06% |
| 2W | 42.86 | 40.73 | +2.13 vol pts | +5.23% |
| 1M | 42.72 | 41.23 | +1.49 vol pts | +3.61% |
| 3M | 42.73 | 41.60 | +1.13 vol pts | +2.72% |
| 6M | 43.87 | 43.22 | +0.65 vol pts | +1.50% |
| 9M | 44.30 | 43.80 | +0.50 vol pts | +1.14% |
| 1Y | 44.39 | 44.10 | +0.29 vol pts | +0.66% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.03 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 | -8.53 | -9.49 | +0.96 vol pts |
| 2W | -9.78 | -9.89 | +0.11 vol pts |
| 1M | -9.28 | -9.51 | +0.23 vol pts |
| 3M | -8.80 | -8.41 | -0.39 vol pts |
| 6M | -6.82 | -6.59 | -0.23 vol pts |
| 9M | -5.93 | -5.58 | -0.35 vol pts |
| 1Y | -5.90 | -5.07 | -0.83 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.24 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 | 4.63 | 4.03 | +0.60 vol pts |
| 2W | 4.16 | 3.79 | +0.37 vol pts |
| 1M | 3.82 | 3.47 | +0.35 vol pts |
| 3M | 3.36 | 3.19 | +0.17 vol pts |
| 6M | 3.34 | 3.13 | +0.21 vol pts |
| 9M | 3.11 | 3.08 | +0.03 vol pts |
| 1Y | 2.80 | 3.03 | -0.23 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
26JUN26, -15.67 vol ptsATM IV change
27JUN26, +3.49 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 |
|---|---|---|---|---|---|---|---|
| 26JUN26Expiry effect | 0.3 days | 59,706.21 | -1275.20 USD | 46.85% | +3.62 vol pts | -1.18 vol pts | -1.08 vol pts |
| 27JUN26Expiry effect | 1.3 days | 59,712.47 | -1271.73 USD | 46.21% | +3.49 vol pts | +0.53 vol pts | -0.21 vol pts |
| 28JUN26 | 2.3 days | 59,716.37 | -1270.61 USD | 40.70% | +2.22 vol pts | +1.80 vol pts | +0.04 vol pts |
| 3JUL26 | 7.3 days | 59,728.76 | -1281.13 USD | 43.06% | +1.83 vol pts | +1.29 vol pts | +0.53 vol pts |
| 10JUL26 | 14.3 days | 59,746.01 | -1286.63 USD | 42.85% | +2.18 vol pts | +0.07 vol pts | +0.41 vol pts |
| 31JUL26 | 35.3 days | 59,801.77 | -1282.95 USD | 42.78% | +1.45 vol pts | +0.19 vol pts | +0.37 vol pts |
| 28AUG26 | 63.3 days | 59,998.13 | -1278.76 USD | 42.52% | +1.08 vol pts | -0.41 vol pts | +0.25 vol pts |
| 25SEP26 | 91.3 days | 60,184.42 | -1279.34 USD | 42.73% | +1.12 vol pts | -0.42 vol pts | +0.18 vol pts |
| 25DEC26 | 182.3 days | 60,797.81 | -1298.61 USD | 43.87% | +0.64 vol pts | -0.24 vol pts | +0.20 vol pts |
| 26MAR27 | 273.3 days | 61,442.84 | -1312.25 USD | 44.30% | +0.49 vol pts | -0.36 vol pts | +0.04 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 10JUL26; the largest sigma change occurred at 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 26JUN26 | +0.00280 | -0.02520 | -0.06560 | -0.03640 | +0.07090 | rotation towards puts, wing steepening |
| 27JUN26 | +0.00820 | -0.02010 | +0.02910 | +0.00760 | -0.02370 | wing steepening |
| 28JUN26 | +0.00400 | -0.00680 | +0.05290 | +0.01000 | -0.01850 | rotation towards calls, wing steepening |
| 3JUL26 | -0.00950 | +0.02120 | -0.00210 | -0.01680 | +0.01890 | rotation towards calls, wing steepening |
| 10JUL26 | +0.00720 | +0.00030 | +0.07680 | +0.02270 | -0.04600 | parallel shift higher, rotation towards calls, wing steepening |
| 31JUL26 | -0.01950 | +0.02310 | -0.05680 | -0.04030 | +0.05420 | parallel shift higher |
| 28AUG26 | -0.01460 | +0.01870 | +0.00790 | +0.00170 | +0.03370 | parallel shift higher |
| 25SEP26 | +0.01640 | -0.00730 | -0.02040 | -0.00510 | -0.04450 | parallel shift higher |
| 25DEC26 | +0.11340 | -0.05490 | -0.01360 | +0.05440 | -0.20690 | parallel shift higher |
| 26MAR27 | +0.11700 | -0.07010 | +0.07560 | +0.16960 | -0.18140 | 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
- 25 Jun 2026, 23:59 UTC
- Comparison snapshot
- 24 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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