01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -2.69 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.58 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.35 volatility points across the six headline tenors.
BF25 decreased, averaging -0.18 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -3.16 volatility points at 1W.
Universe roll: added 13JUL26; removed 9JUL26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest standard-tenor ATM IV move
1W, -3.16 vol ptsLargest eligible smile rotation
12JUL26, -1.26 vol ptsLargest standard-tenor RR25 move
2W, +0.86 vol ptsLargest standard-tenor BF25 move
2W, -0.38 vol ptsLargest eligible SVI sigma move
24JUL26, +0.0959 paramLargest eligible SVI rho move
12JUL26, -0.0951 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 33.26 | 36.42 | -3.16 vol pts | -8.68% |
| 2W | 33.68 | 36.70 | -3.02 vol pts | -8.23% |
| 1M | 35.08 | 36.97 | -1.89 vol pts | -5.11% |
| 3M | 38.17 | 39.28 | -1.11 vol pts | -2.83% |
| 6M | 41.14 | 41.87 | -0.73 vol pts | -1.74% |
| 9M | 42.26 | 42.82 | -0.56 vol pts | -1.31% |
| 1Y | 43.02 | 43.46 | -0.44 vol pts | -1.01% |
04 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.35 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 | -4.55 | -5.11 | +0.56 vol pts |
| 2W | -5.86 | -6.72 | +0.86 vol pts |
| 1M | -6.27 | -6.51 | +0.24 vol pts |
| 3M | -6.51 | -6.85 | +0.34 vol pts |
| 6M | -6.16 | -6.32 | +0.16 vol pts |
| 9M | -5.78 | -5.88 | +0.10 vol pts |
| 1Y | -5.42 | -5.37 | -0.05 vol pts |
05 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.18 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 | 1.41 | 1.73 | -0.32 vol pts |
| 2W | 1.66 | 2.04 | -0.38 vol pts |
| 1M | 2.23 | 2.29 | -0.06 vol pts |
| 3M | 2.59 | 2.69 | -0.10 vol pts |
| 6M | 2.80 | 2.88 | -0.08 vol pts |
| 9M | 2.78 | 2.82 | -0.04 vol pts |
| 1Y | 2.62 | 2.73 | -0.11 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
10JUL26, +6.73 vol ptsATM IV change
11JUL26, -5.20 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 |
|---|---|---|---|---|---|---|---|
| 10JUL26Expiry effect | 0.3 days | 63,199.23 | +937.52 USD | 35.41% | -2.28 vol pts | +2.14 vol pts | -0.88 vol pts |
| 11JUL26Expiry effect | 1.3 days | 63,206.72 | +939.43 USD | 31.61% | -5.20 vol pts | +1.88 vol pts | -0.56 vol pts |
| 12JUL26 | 2.3 days | 63,212.34 | +939.47 USD | 28.15% | -4.81 vol pts | +0.41 vol pts | -0.25 vol pts |
| 17JUL26 | 7.3 days | 63,233.17 | +937.62 USD | 33.45% | -3.45 vol pts | +0.73 vol pts | -0.35 vol pts |
| 24JUL26 | 14.3 days | 63,272.07 | +945.56 USD | 33.69% | -2.98 vol pts | +1.01 vol pts | -0.43 vol pts |
| 31JUL26 | 21.3 days | 63,307.64 | +930.20 USD | 34.42% | -2.19 vol pts | +0.03 vol pts | -0.07 vol pts |
| 28AUG26 | 49.3 days | 63,505.9 | +959.60 USD | 35.71% | -1.69 vol pts | +0.56 vol pts | -0.04 vol pts |
| 25SEP26 | 77.3 days | 63,692.77 | +958.18 USD | 37.08% | -1.34 vol pts | +0.39 vol pts | -0.09 vol pts |
| 25DEC26 | 168.3 days | 64,287.01 | +952.78 USD | 40.88% | -0.78 vol pts | +0.16 vol pts | -0.10 vol pts |
| 26MAR27 | 259.3 days | 64,925.06 | +947.02 USD | 42.10% | -0.60 vol pts | +0.11 vol pts | -0.01 vol pts |
| 25JUN27 | 350.3 days | 65,563.11 | +941.26 USD | 42.93% | -0.46 vol pts | -0.04 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 12JUL26; the largest sigma change occurred at 24JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 10JUL26 | +0.00200 | -0.03310 | +0.06180 | -0.00600 | +0.25700 | rotation towards calls, wing steepening |
| 11JUL26 | +0.00390 | -0.01360 | -0.01300 | -0.02930 | +0.03980 | rotation towards calls, wing steepening |
| 12JUL26 | +0.01430 | -0.01240 | -0.09510 | -0.04730 | -0.07440 | rotation towards puts, wing steepening |
| 17JUL26 | -0.00560 | -0.00470 | -0.07320 | -0.05870 | +0.07190 | parallel shift lower, wing steepening |
| 24JUL26 | -0.01040 | -0.00360 | -0.05950 | -0.03980 | +0.09590 | parallel shift lower, rotation towards calls |
| 31JUL26 | +0.00060 | -0.00430 | -0.05010 | -0.03060 | +0.00040 | parallel shift lower, rotation towards puts, wing steepening |
| 28AUG26 | -0.00250 | +0.00170 | -0.00150 | -0.01710 | +0.00080 | parallel shift lower |
| 25SEP26 | +0.01330 | -0.00770 | +0.04700 | +0.02280 | -0.04900 | parallel shift lower |
| 25DEC26 | -0.02600 | +0.01090 | -0.00430 | -0.02520 | +0.04900 | parallel shift lower |
| 26MAR27 | -0.01060 | +0.00360 | +0.01290 | +0.00310 | +0.00600 | parallel shift lower |
| 25JUN27 | -0.00060 | -0.02440 | +0.04900 | +0.07980 | +0.02660 | 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
- 09 Jul 2026, 23:59 UTC
- Comparison snapshot
- 08 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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