01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV was broadly unchanged, averaging +0.01 volatility points across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging +0.08 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.26 volatility points across the six headline tenors.
BF25 decreased, averaging -0.20 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was +0.18 volatility points at 3M.
Universe roll: added 1JUL26; removed 27JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
30JUN26, -5.47 vol ptsLargest standard-tenor RR25 move
1W, +0.71 vol ptsLargest standard-tenor BF25 move
1M, -0.65 vol ptsLargest eligible SVI rho move
28AUG26, +0.2129 paramLargest eligible SVI sigma move
10JUL26, -0.1967 paramLargest standard-tenor ATM IV move
3M, +0.18 vol pts03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 43.95 | 44.11 | -0.16 vol pts | -0.36% |
| 2W | 43.10 | 43.05 | +0.05 vol pts | +0.12% |
| 1M | 42.22 | 42.07 | +0.15 vol pts | +0.36% |
| 3M | 42.11 | 41.93 | +0.18 vol pts | +0.43% |
| 6M | 43.56 | 43.40 | +0.16 vol pts | +0.37% |
| 9M | 44.01 | 43.97 | +0.04 vol pts | +0.09% |
| 1Y | 44.36 | 44.36 | 0.00 vol pts | 0.00% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.26 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 | -8.30 | -9.01 | +0.71 vol pts |
| 2W | -8.28 | -8.51 | +0.23 vol pts |
| 1M | -8.20 | -8.73 | +0.53 vol pts |
| 3M | -8.24 | -8.23 | -0.01 vol pts |
| 6M | -6.80 | -6.87 | +0.07 vol pts |
| 9M | -5.78 | -5.72 | -0.06 vol pts |
| 1Y | -5.30 | -5.30 | 0.00 vol pts |
05 · Butterflies
BF25 convexity changed most at 1M.
BF25 decreased, averaging -0.20 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 | 2.70 | 2.89 | -0.19 vol pts |
| 2W | 2.42 | 2.61 | -0.19 vol pts |
| 1M | 2.46 | 3.11 | -0.65 vol pts |
| 3M | 2.66 | 2.87 | -0.21 vol pts |
| 6M | 2.90 | 2.97 | -0.07 vol pts |
| 9M | 2.92 | 2.90 | +0.02 vol pts |
| 1Y | 2.74 | 2.64 | +0.10 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
28JUN26, +5.00 vol ptsATM IV change
29JUN26, +1.91 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 |
|---|---|---|---|---|---|---|---|
| 28JUN26Expiry effect | 0.3 days | 59,935.89 | -94.62 USD | 31.21% | +3.59 vol pts | +2.06 vol pts | -0.56 vol pts |
| 29JUN26Expiry effect | 1.3 days | 59,940.71 | -92.98 USD | 36.45% | +1.91 vol pts | +0.62 vol pts | -0.40 vol pts |
| 30JUN26 | 2.3 days | 59,944.32 | -92.56 USD | 41.51% | +1.93 vol pts | -0.36 vol pts | -0.50 vol pts |
| 3JUL26 | 5.3 days | 59,956.73 | -92.68 USD | 44.48% | +0.15 vol pts | +0.94 vol pts | -0.10 vol pts |
| 10JUL26 | 12.3 days | 59,981.54 | -80.52 USD | 43.21% | +0.12 vol pts | -0.03 vol pts | -0.07 vol pts |
| 17JUL26 | 19.3 days | 60,006.56 | -81.89 USD | 42.87% | +0.05 vol pts | +1.22 vol pts | -0.64 vol pts |
| 31JUL26 | 33.3 days | 60,056.06 | -79.53 USD | 42.10% | +0.23 vol pts | +0.36 vol pts | -0.66 vol pts |
| 28AUG26 | 61.3 days | 60,222.57 | -89.06 USD | 41.72% | +0.12 vol pts | +0.41 vol pts | -0.51 vol pts |
| 25SEP26 | 89.3 days | 60,403.19 | -84.48 USD | 42.05% | +0.14 vol pts | -0.05 vol pts | -0.21 vol pts |
| 25DEC26 | 180.3 days | 60,986.95 | -115.62 USD | 43.55% | +0.16 vol pts | +0.05 vol pts | -0.09 vol pts |
| 26MAR27 | 271.3 days | 61,607.09 | -112.37 USD | 44.00% | +0.03 vol pts | -0.07 vol pts | +0.03 vol pts |
| 25JUN27 | 362.3 days | 62,251.49 | -106.21 USD | 44.35% | 0.00 vol pts | 0.00 vol pts | +0.10 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 28AUG26; the largest sigma change occurred at 10JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 28JUN26 | +0.02440 | -0.04840 | +0.07010 | +0.03010 | -0.01490 | rotation towards calls, wing steepening |
| 29JUN26 | +0.00080 | -0.01560 | +0.00330 | -0.01900 | +0.07110 | rotation towards puts, wing steepening |
| 30JUN26 | +0.00880 | -0.02510 | -0.04140 | -0.03410 | +0.05260 | rotation towards puts |
| 3JUL26 | +0.02290 | -0.02440 | +0.06170 | +0.04000 | -0.08060 | rotation towards calls, wing steepening |
| 10JUL26 | +0.06670 | -0.04760 | +0.12250 | +0.11830 | -0.19670 | parallel shift higher |
| 17JUL26 | +0.03890 | -0.04700 | +0.12720 | +0.10370 | -0.04780 | rotation towards calls, wing flattening |
| 31JUL26 | +0.03330 | -0.03470 | +0.20870 | +0.16100 | -0.05550 | wing flattening |
| 28AUG26 | +0.00740 | -0.00750 | +0.21290 | +0.16370 | -0.01290 | mixed reshaping |
| 25SEP26 | -0.03710 | +0.01970 | +0.10430 | +0.08850 | +0.09600 | parallel shift higher |
| 25DEC26 | -0.04230 | +0.01840 | +0.05280 | +0.03590 | +0.09140 | parallel shift higher |
| 26MAR27 | -0.05700 | +0.02860 | +0.02790 | +0.00290 | +0.09330 | parallel shift higher |
| 25JUN27 | +0.01190 | -0.02180 | +0.11690 | +0.17670 | -0.03060 | 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
- 27 Jun 2026, 23:59 UTC
- Comparison snapshot
- 26 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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