01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.28 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.45 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +1.12 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging -0.07 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -1.50 volatility points at 1M.
Universe roll: added 18JUL26; removed 14JUL26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
24JUL26, +5.75 vol ptsLargest standard-tenor RR25 move
1W, +2.07 vol ptsLargest standard-tenor ATM IV move
1M, -1.50 vol ptsLargest eligible SVI sigma move
31JUL26, +0.1899 paramLargest standard-tenor BF25 move
6M, -0.16 vol ptsLargest eligible SVI rho move
17JUL26, -0.1300 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 33.89 | 34.86 | -0.97 vol pts | -2.78% |
| 2W | 33.75 | 35.13 | -1.38 vol pts | -3.93% |
| 1M | 34.16 | 35.66 | -1.50 vol pts | -4.21% |
| 3M | 37.56 | 38.24 | -0.68 vol pts | -1.78% |
| 6M | 40.54 | 41.00 | -0.46 vol pts | -1.12% |
| 9M | 41.75 | 42.21 | -0.46 vol pts | -1.09% |
| 1Y | 42.58 | 43.01 | -0.43 vol pts | -1.00% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +1.12 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 | -3.00 | -5.07 | +2.07 vol pts |
| 2W | -3.26 | -5.11 | +1.85 vol pts |
| 1M | -5.08 | -6.50 | +1.42 vol pts |
| 3M | -5.95 | -6.58 | +0.63 vol pts |
| 6M | -5.55 | -6.07 | +0.52 vol pts |
| 9M | -5.17 | -5.64 | +0.47 vol pts |
| 1Y | -4.96 | -5.22 | +0.26 vol pts |
05 · Butterflies
BF25 convexity changed most at 6M.
BF25 was broadly unchanged, averaging -0.07 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 | 1.68 | 1.73 | -0.05 vol pts |
| 2W | 1.64 | 1.71 | -0.07 vol pts |
| 1M | 2.14 | 2.10 | +0.04 vol pts |
| 3M | 2.57 | 2.66 | -0.09 vol pts |
| 6M | 2.65 | 2.81 | -0.16 vol pts |
| 9M | 2.63 | 2.72 | -0.09 vol pts |
| 1Y | 2.62 | 2.68 | -0.06 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
16JUL26, +9.41 vol ptsSmile rotation
15JUL26, -6.03 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 |
|---|---|---|---|---|---|---|---|
| 15JUL26Expiry effect | 0.3 days | 64,969.3 | +2714.07 USD | 40.07% | +2.89 vol pts | +0.05 vol pts | -0.23 vol pts |
| 16JUL26Expiry effect | 1.3 days | 64,971.53 | +2714.37 USD | 37.26% | +1.31 vol pts | +2.42 vol pts | +0.34 vol pts |
| 17JUL26 | 2.3 days | 64,976.99 | +2715.17 USD | 35.86% | +0.06 vol pts | +0.65 vol pts | +0.09 vol pts |
| 24JUL26 | 9.3 days | 65,019.6 | +2715.10 USD | 33.66% | -0.92 vol pts | +2.24 vol pts | -0.06 vol pts |
| 31JUL26 | 16.3 days | 65,060.55 | +2716.76 USD | 33.77% | -1.65 vol pts | +1.62 vol pts | -0.06 vol pts |
| 28AUG26 | 44.3 days | 65,266.24 | +2725.74 USD | 34.31% | -1.46 vol pts | +1.48 vol pts | +0.04 vol pts |
| 25SEP26 | 72.3 days | 65,478.92 | +2730.32 USD | 35.97% | -0.92 vol pts | +0.67 vol pts | -0.03 vol pts |
| 25DEC26 | 163.3 days | 66,127.46 | +2785.14 USD | 40.15% | -0.48 vol pts | +0.52 vol pts | -0.16 vol pts |
| 26MAR27 | 254.3 days | 66,828.65 | +2832.45 USD | 41.50% | -0.49 vol pts | +0.51 vol pts | -0.09 vol pts |
| 25JUN27 | 345.3 days | 67,531.05 | +2872.28 USD | 42.44% | -0.44 vol pts | +0.29 vol pts | -0.07 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 17JUL26; the largest sigma change occurred at 31JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 15JUL26 | -0.01530 | +0.00390 | -0.09370 | -0.08630 | +0.16840 | rotation towards puts, wing steepening |
| 16JUL26 | -0.01490 | +0.02520 | -0.00690 | -0.02600 | +0.02550 | rotation towards calls, wing steepening |
| 17JUL26 | -0.01790 | +0.02110 | -0.13000 | -0.07300 | +0.07830 | wing steepening |
| 24JUL26 | -0.03740 | +0.03480 | -0.04580 | -0.04370 | +0.17010 | rotation towards calls, wing steepening |
| 31JUL26 | -0.04070 | +0.02970 | -0.10430 | -0.05410 | +0.18990 | rotation towards calls, wing steepening |
| 28AUG26 | -0.01770 | +0.00980 | -0.10290 | -0.06390 | +0.08810 | rotation towards calls, wing steepening |
| 25SEP26 | +0.00660 | -0.00640 | -0.06070 | -0.05660 | -0.01470 | rotation towards calls |
| 25DEC26 | -0.02340 | +0.02030 | -0.08100 | -0.12830 | +0.04910 | parallel shift lower |
| 26MAR27 | -0.00420 | +0.02290 | -0.06520 | -0.11990 | -0.01650 | parallel shift lower |
| 25JUN27 | +0.00580 | +0.01580 | -0.04640 | -0.08630 | -0.02820 | 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
- 14 Jul 2026, 23:59 UTC
- Comparison snapshot
- 13 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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