01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV increased, averaging +0.23 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.25 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.41 volatility points across the six headline tenors.
BF25 decreased, averaging -0.84 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +1.15 volatility points at 1W.
Universe roll: added 30JUN26; removed 26JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
29JUN26, -7.76 vol ptsLargest standard-tenor BF25 move
1W, -1.74 vol ptsLargest standard-tenor RR25 move
2W, +1.27 vol ptsLargest standard-tenor ATM IV move
1W, +1.15 vol ptsLargest eligible SVI sigma move
10JUL26, +0.4770 paramLargest eligible SVI rho move
10JUL26, -0.1929 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 44.11 | 42.96 | +1.15 vol pts | +2.68% |
| 2W | 43.05 | 42.86 | +0.19 vol pts | +0.44% |
| 1M | 42.07 | 42.72 | -0.65 vol pts | -1.52% |
| 3M | 41.93 | 42.73 | -0.80 vol pts | -1.87% |
| 6M | 43.40 | 43.87 | -0.47 vol pts | -1.07% |
| 9M | 43.97 | 44.30 | -0.33 vol pts | -0.74% |
| 1Y | 44.36 | 44.39 | -0.03 vol pts | -0.07% |
04 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.41 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 | -9.01 | -8.53 | -0.48 vol pts |
| 2W | -8.51 | -9.78 | +1.27 vol pts |
| 1M | -8.73 | -9.28 | +0.55 vol pts |
| 3M | -8.23 | -8.80 | +0.57 vol pts |
| 6M | -6.87 | -6.82 | -0.05 vol pts |
| 9M | -5.72 | -5.93 | +0.21 vol pts |
| 1Y | -5.30 | -5.90 | +0.60 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.84 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 | 2.89 | 4.63 | -1.74 vol pts |
| 2W | 2.61 | 4.16 | -1.55 vol pts |
| 1M | 3.11 | 3.82 | -0.71 vol pts |
| 3M | 2.87 | 3.36 | -0.49 vol pts |
| 6M | 2.97 | 3.34 | -0.37 vol pts |
| 9M | 2.90 | 3.11 | -0.21 vol pts |
| 1Y | 2.64 | 2.80 | -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
27JUN26, -25.48 vol ptsATM IV change
28JUN26, -13.08 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 |
|---|---|---|---|---|---|---|---|
| 27JUN26Expiry effect | 0.3 days | 60,026.26 | +313.79 USD | 32.68% | -13.53 vol pts | -2.37 vol pts | -1.43 vol pts |
| 28JUN26Expiry effect | 1.3 days | 60,030.51 | +314.14 USD | 27.62% | -13.08 vol pts | +0.13 vol pts | -1.79 vol pts |
| 29JUN26 | 2.3 days | 60,033.69 | +314.78 USD | 34.54% | -5.81 vol pts | -0.11 vol pts | -2.07 vol pts |
| 3JUL26 | 6.3 days | 60,049.41 | +320.65 USD | 44.33% | +1.27 vol pts | -0.48 vol pts | -1.70 vol pts |
| 10JUL26 | 13.3 days | 60,062.06 | +316.05 USD | 43.09% | +0.24 vol pts | +1.41 vol pts | -1.61 vol pts |
| 17JUL26 | 20.3 days | 60,088.45 | +321.00 USD | 42.82% | +0.26 vol pts | +0.19 vol pts | -0.91 vol pts |
| 31JUL26 | 34.3 days | 60,135.59 | +333.82 USD | 41.87% | -0.91 vol pts | +0.65 vol pts | -0.65 vol pts |
| 28AUG26 | 62.3 days | 60,311.63 | +313.50 USD | 41.60% | -0.92 vol pts | +0.61 vol pts | -0.47 vol pts |
| 25SEP26 | 90.3 days | 60,487.67 | +303.25 USD | 41.91% | -0.82 vol pts | +0.55 vol pts | -0.49 vol pts |
| 25DEC26 | 181.3 days | 61,102.57 | +304.76 USD | 43.39% | -0.48 vol pts | -0.06 vol pts | -0.36 vol pts |
| 26MAR27 | 272.3 days | 61,719.46 | +276.62 USD | 43.97% | -0.33 vol pts | +0.21 vol pts | -0.21 vol pts |
| 25JUN27 | 363.3 days | 62,357.7 | +277.89 USD | 44.35% | -0.04 vol pts | +0.59 vol pts | -0.15 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 10JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 27JUN26 | -0.01760 | +0.00680 | -0.14240 | -0.08720 | +0.16530 | rotation towards puts, wing steepening |
| 28JUN26 | -0.01620 | -0.00350 | -0.15790 | -0.09320 | +0.17220 | rotation towards puts, wing steepening |
| 29JUN26 | -0.00830 | -0.02290 | -0.15720 | -0.08360 | +0.15580 | rotation towards puts, wing flattening |
| 3JUL26 | -0.03740 | +0.00460 | -0.18200 | -0.09230 | +0.25090 | rotation towards puts, wing flattening |
| 10JUL26 | -0.10450 | +0.03860 | -0.19290 | -0.13060 | +0.47700 | wing flattening |
| 17JUL26 | -0.05080 | +0.01230 | -0.15110 | -0.08960 | +0.24120 | rotation towards puts, wing flattening |
| 31JUL26 | -0.05010 | +0.02010 | -0.04070 | -0.02660 | +0.18910 | parallel shift lower |
| 28AUG26 | -0.04770 | +0.01680 | -0.05940 | -0.03120 | +0.18230 | parallel shift lower |
| 25SEP26 | -0.00880 | -0.00950 | +0.02800 | +0.02510 | +0.05910 | parallel shift lower |
| 25DEC26 | +0.00990 | -0.02690 | +0.11040 | +0.12100 | +0.00470 | parallel shift lower |
| 26MAR27 | +0.00590 | -0.01470 | +0.00150 | +0.00340 | +0.01660 | parallel shift lower |
| 25JUN27 | -0.09680 | +0.06320 | -0.14390 | -0.29190 | +0.17800 | limited movement |
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
- 26 Jun 2026, 23:59 UTC
- Comparison snapshot
- 25 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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