01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -0.60 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.39 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.20 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging -0.06 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -1.29 volatility points at 2W.
Universe roll: added 7JUL26; removed 3JUL26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
6JUL26, +4.23 vol ptsLargest standard-tenor ATM IV move
2W, -1.29 vol ptsLargest standard-tenor RR25 move
1W, +0.85 vol ptsLargest eligible SVI sigma move
6JUL26, -0.6057 paramLargest eligible SVI rho move
25JUN27, -0.2329 paramLargest standard-tenor BF25 move
1Y, -0.18 vol pts03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 37.06 | 36.38 | +0.68 vol pts | +1.87% |
| 2W | 36.55 | 37.84 | -1.29 vol pts | -3.41% |
| 1M | 37.18 | 38.37 | -1.19 vol pts | -3.10% |
| 3M | 39.12 | 40.12 | -1.00 vol pts | -2.49% |
| 6M | 41.66 | 42.14 | -0.48 vol pts | -1.14% |
| 9M | 42.68 | 42.99 | -0.31 vol pts | -0.72% |
| 1Y | 43.21 | 43.50 | -0.29 vol pts | -0.67% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.20 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 | -3.84 | -4.69 | +0.85 vol pts |
| 2W | -5.48 | -4.91 | -0.57 vol pts |
| 1M | -6.11 | -6.07 | -0.04 vol pts |
| 3M | -7.03 | -7.14 | +0.11 vol pts |
| 6M | -5.99 | -6.09 | +0.10 vol pts |
| 9M | -5.45 | -5.65 | +0.20 vol pts |
| 1Y | -5.23 | -5.97 | +0.74 vol pts |
05 · Butterflies
BF25 convexity changed most at 1Y.
BF25 was broadly unchanged, averaging -0.06 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 | 1.98 | 2.09 | -0.11 vol pts |
| 2W | 1.86 | 1.93 | -0.07 vol pts |
| 1M | 2.07 | 2.07 | 0.00 vol pts |
| 3M | 2.73 | 2.72 | +0.01 vol pts |
| 6M | 2.73 | 2.75 | -0.02 vol pts |
| 9M | 2.65 | 2.67 | -0.02 vol pts |
| 1Y | 2.53 | 2.71 | -0.18 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
5JUL26, +10.39 vol ptsSmile rotation
4JUL26, -5.18 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 |
|---|---|---|---|---|---|---|---|
| 4JUL26Expiry effect | 0.3 days | 62,546.76 | +1040.79 USD | 25.70% | -4.99 vol pts | +1.10 vol pts | -0.48 vol pts |
| 5JUL26Expiry effect | 1.3 days | 62,550.43 | +1043.15 USD | 20.95% | -6.77 vol pts | +2.13 vol pts | +0.31 vol pts |
| 6JUL26 | 2.3 days | 62,552.84 | +1041.05 USD | 24.87% | -4.20 vol pts | +0.91 vol pts | +0.51 vol pts |
| 10JUL26 | 6.3 days | 62,578.82 | +1048.98 USD | 37.19% | +0.54 vol pts | +1.23 vol pts | -0.11 vol pts |
| 17JUL26 | 13.3 days | 62,597.13 | +1047.01 USD | 36.44% | -1.43 vol pts | -0.44 vol pts | -0.12 vol pts |
| 24JUL26 | 20.3 days | 62,617.46 | +1027.57 USD | 37.25% | -0.91 vol pts | -0.14 vol pts | -0.02 vol pts |
| 31JUL26 | 27.3 days | 62,645.15 | +1031.24 USD | 36.98% | -1.28 vol pts | +0.05 vol pts | -0.01 vol pts |
| 28AUG26 | 55.3 days | 62,834.92 | +1031.50 USD | 38.09% | -1.17 vol pts | -0.03 vol pts | +0.03 vol pts |
| 25SEP26 | 83.3 days | 63,022.2 | +1032.35 USD | 38.64% | -1.16 vol pts | +0.09 vol pts | +0.03 vol pts |
| 25DEC26 | 174.3 days | 63,676.07 | +1053.68 USD | 41.52% | -0.52 vol pts | +0.09 vol pts | -0.03 vol pts |
| 26MAR27 | 265.3 days | 64,312.96 | +1071.80 USD | 42.62% | -0.32 vol pts | +0.14 vol pts | 0.00 vol pts |
| 25JUN27 | 356.3 days | 64,946.32 | +1076.36 USD | 43.17% | -0.30 vol pts | +0.71 vol pts | -0.17 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 25JUN27; the largest sigma change occurred at 6JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 4JUL26 | +0.04150 | -0.05100 | -0.24350 | -0.22710 | +0.10990 | rotation towards puts, wing flattening |
| 5JUL26 | +0.02550 | -0.01230 | -0.00240 | -0.01590 | -0.35030 | rotation towards calls, wing steepening |
| 6JUL26 | +0.06430 | -0.02020 | -0.16940 | -0.11410 | -0.60570 | rotation towards calls, wing steepening |
| 10JUL26 | -0.01170 | +0.01060 | -0.17080 | -0.08890 | +0.07410 | rotation towards calls, wing steepening |
| 17JUL26 | +0.07020 | -0.04870 | +0.03500 | +0.03280 | -0.21970 | rotation towards puts |
| 24JUL26 | +0.06390 | -0.04260 | +0.07690 | +0.04440 | -0.22540 | mixed reshaping |
| 31JUL26 | +0.07650 | -0.04740 | +0.05590 | +0.02260 | -0.26760 | parallel shift lower |
| 28AUG26 | +0.05080 | -0.02520 | +0.08450 | +0.02960 | -0.20260 | parallel shift lower |
| 25SEP26 | +0.01240 | -0.00640 | -0.01790 | -0.01920 | -0.04790 | parallel shift lower |
| 25DEC26 | +0.04010 | -0.02440 | +0.01730 | +0.03390 | -0.09280 | parallel shift lower |
| 26MAR27 | +0.04260 | -0.02340 | -0.00260 | +0.01270 | -0.09590 | parallel shift lower |
| 25JUN27 | -0.12850 | +0.08940 | -0.23290 | -0.42500 | +0.25970 | 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
- 03 Jul 2026, 23:59 UTC
- Comparison snapshot
- 02 Jul 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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