01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -5.92 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -1.16 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +2.04 volatility points across the six headline tenors.
BF25 decreased, averaging -0.47 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -7.95 volatility points at 1W.
Universe roll: no additions; removed 29JUN26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
3JUL26, +10.59 vol ptsLargest standard-tenor ATM IV move
1W, -7.95 vol ptsLargest standard-tenor RR25 move
1W, +4.35 vol ptsLargest standard-tenor BF25 move
1W, -1.11 vol ptsLargest eligible SVI rho move
28AUG26, +0.1097 paramLargest eligible SVI sigma move
2JUL26, +0.0864 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 41.35 | 49.30 | -7.95 vol pts | -16.13% |
| 2W | 40.86 | 46.64 | -5.78 vol pts | -12.39% |
| 1M | 40.37 | 44.41 | -4.04 vol pts | -9.10% |
| 3M | 40.56 | 42.88 | -2.32 vol pts | -5.41% |
| 6M | 42.39 | 43.97 | -1.58 vol pts | -3.59% |
| 9M | 43.31 | 44.35 | -1.04 vol pts | -2.34% |
| 1Y | 43.90 | 44.63 | -0.73 vol pts | -1.64% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +2.04 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 | -6.28 | -10.63 | +4.35 vol pts |
| 2W | -6.61 | -10.14 | +3.53 vol pts |
| 1M | -6.98 | -9.30 | +2.32 vol pts |
| 3M | -7.19 | -8.46 | +1.27 vol pts |
| 6M | -6.13 | -6.77 | +0.64 vol pts |
| 9M | -5.45 | -5.85 | +0.40 vol pts |
| 1Y | -5.15 | -5.26 | +0.11 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.47 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 | 2.32 | 3.43 | -1.11 vol pts |
| 2W | 2.21 | 3.06 | -0.85 vol pts |
| 1M | 2.36 | 2.90 | -0.54 vol pts |
| 3M | 2.71 | 2.98 | -0.27 vol pts |
| 6M | 2.95 | 3.01 | -0.06 vol pts |
| 9M | 2.77 | 2.95 | -0.18 vol pts |
| 1Y | 2.81 | 2.82 | -0.01 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
30JUN26, +23.65 vol ptsSmile rotation
1JUL26, +15.70 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 |
|---|---|---|---|---|---|---|---|
| 30JUN26Expiry effect | 0.3 days | 60,146.86 | +625.67 USD | 35.30% | -22.01 vol pts | +7.43 vol pts | -1.01 vol pts |
| 1JUL26Expiry effect | 1.3 days | 60,153.37 | +627.30 USD | 40.84% | -13.74 vol pts | +6.82 vol pts | -2.20 vol pts |
| 2JUL26 | 2.3 days | 60,158.24 | +627.30 USD | 42.07% | -10.81 vol pts | +5.05 vol pts | -1.77 vol pts |
| 3JUL26 | 3.3 days | 60,163.12 | +627.31 USD | 42.95% | -9.49 vol pts | +4.99 vol pts | -1.23 vol pts |
| 10JUL26 | 10.3 days | 60,193.72 | +631.05 USD | 40.87% | -6.38 vol pts | +4.06 vol pts | -0.96 vol pts |
| 17JUL26 | 17.3 days | 60,229.2 | +636.89 USD | 40.85% | -5.16 vol pts | +3.09 vol pts | -0.73 vol pts |
| 31JUL26 | 31.3 days | 60,300.51 | +648.93 USD | 40.34% | -3.88 vol pts | +2.25 vol pts | -0.53 vol pts |
| 28AUG26 | 59.3 days | 60,489.2 | +666.96 USD | 40.00% | -2.98 vol pts | +1.79 vol pts | -0.43 vol pts |
| 25SEP26 | 87.3 days | 60,669.96 | +677.06 USD | 40.41% | -2.40 vol pts | +1.28 vol pts | -0.30 vol pts |
| 25DEC26 | 178.3 days | 61,244.31 | +677.85 USD | 42.33% | -1.62 vol pts | +0.64 vol pts | -0.04 vol pts |
| 26MAR27 | 269.3 days | 61,841.96 | +667.69 USD | 43.28% | -1.06 vol pts | +0.41 vol pts | -0.19 vol pts |
| 25JUN27 | 360.3 days | 62,444.82 | +684.70 USD | 43.88% | -0.74 vol pts | +0.12 vol pts | -0.02 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 2JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 30JUN26 | +0.04410 | -0.05490 | +0.21220 | +0.15660 | -0.31960 | rotation towards calls, wing steepening |
| 1JUL26 | -0.01190 | -0.02390 | +0.02190 | -0.07200 | +0.22120 | rotation towards calls, wing steepening |
| 2JUL26 | +0.00240 | -0.02540 | +0.01340 | -0.03260 | +0.08640 | rotation towards calls, wing steepening |
| 3JUL26 | +0.00700 | -0.01700 | +0.04430 | -0.00650 | +0.00240 | rotation towards calls, wing steepening |
| 10JUL26 | -0.00460 | -0.00720 | +0.10670 | +0.02620 | +0.04820 | rotation towards calls, wing steepening |
| 17JUL26 | +0.00390 | -0.01250 | +0.08530 | +0.02110 | +0.01590 | rotation towards calls, wing steepening |
| 31JUL26 | +0.01400 | -0.01560 | +0.07730 | +0.01660 | -0.02980 | rotation towards calls |
| 28AUG26 | +0.02260 | -0.01840 | +0.10970 | +0.03520 | -0.06610 | parallel shift lower, rotation towards calls |
| 25SEP26 | +0.00880 | -0.00970 | +0.06420 | +0.02190 | -0.02140 | parallel shift lower, rotation towards calls |
| 25DEC26 | +0.02640 | -0.01350 | +0.00280 | -0.01350 | -0.06460 | parallel shift lower |
| 26MAR27 | -0.00280 | -0.00880 | -0.00810 | -0.02450 | +0.02020 | parallel shift lower |
| 25JUN27 | +0.01990 | -0.00910 | -0.00910 | -0.00990 | -0.04410 | 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
- 29 Jun 2026, 23:59 UTC
- Comparison snapshot
- 28 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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