01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.44 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.14 volatility points across 6M and 1Y.
RR25 moved towards calls, averaging +0.27 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging +0.05 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -2.71 volatility points at 1W.
Universe roll: added 19JUL26; removed 15JUL26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
18JUL26, +3.45 vol ptsLargest standard-tenor ATM IV move
1W, -2.71 vol ptsLargest standard-tenor RR25 move
1W, +0.75 vol ptsLargest standard-tenor BF25 move
6M, +0.11 vol ptsLargest eligible SVI sigma move
31JUL26, -0.0563 paramLargest eligible SVI rho move
26MAR27, +0.0441 param03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 31.18 | 33.89 | -2.71 vol pts | -8.00% |
| 2W | 32.69 | 33.75 | -1.06 vol pts | -3.14% |
| 1M | 33.60 | 34.16 | -0.56 vol pts | -1.64% |
| 3M | 37.31 | 37.56 | -0.25 vol pts | -0.67% |
| 6M | 40.31 | 40.54 | -0.23 vol pts | -0.57% |
| 9M | 41.57 | 41.75 | -0.18 vol pts | -0.43% |
| 1Y | 42.53 | 42.58 | -0.05 vol pts | -0.12% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.27 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 | -2.25 | -3.00 | +0.75 vol pts |
| 2W | -3.32 | -3.26 | -0.06 vol pts |
| 1M | -4.71 | -5.08 | +0.37 vol pts |
| 3M | -5.47 | -5.95 | +0.48 vol pts |
| 6M | -5.42 | -5.55 | +0.13 vol pts |
| 9M | -5.21 | -5.17 | -0.04 vol pts |
| 1Y | -5.02 | -4.96 | -0.06 vol pts |
05 · Butterflies
BF25 convexity changed most at 6M.
BF25 was broadly unchanged, averaging +0.05 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 | 1.61 | 1.68 | -0.07 vol pts |
| 2W | 1.72 | 1.64 | +0.08 vol pts |
| 1M | 2.21 | 2.14 | +0.07 vol pts |
| 3M | 2.63 | 2.57 | +0.06 vol pts |
| 6M | 2.76 | 2.65 | +0.11 vol pts |
| 9M | 2.71 | 2.63 | +0.08 vol pts |
| 1Y | 2.64 | 2.62 | +0.02 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, +8.95 vol ptsSmile rotation
17JUL26, +7.20 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 |
|---|---|---|---|---|---|---|---|
| 16JUL26Expiry effect | 0.3 days | 64,716.91 | -254.62 USD | 32.29% | -4.97 vol pts | +1.66 vol pts | -1.30 vol pts |
| 17JUL26Expiry effect | 1.3 days | 64,725.84 | -251.15 USD | 32.36% | -3.50 vol pts | +1.94 vol pts | -0.30 vol pts |
| 18JUL26 | 2.3 days | 64,741.46 | -253.51 USD | 31.47% | -3.42 vol pts | +1.09 vol pts | -0.33 vol pts |
| 24JUL26 | 8.3 days | 64,781.16 | -238.44 USD | 31.56% | -2.10 vol pts | +0.85 vol pts | -0.05 vol pts |
| 31JUL26 | 15.3 days | 64,820.63 | -239.92 USD | 32.83% | -0.94 vol pts | -0.18 vol pts | +0.10 vol pts |
| 28AUG26 | 43.3 days | 65,014.48 | -251.76 USD | 33.85% | -0.46 vol pts | +0.65 vol pts | +0.03 vol pts |
| 25SEP26 | 71.3 days | 65,229.82 | -249.10 USD | 35.59% | -0.38 vol pts | +0.67 vol pts | +0.03 vol pts |
| 25DEC26 | 162.3 days | 65,847.59 | -279.87 USD | 39.89% | -0.26 vol pts | +0.19 vol pts | +0.11 vol pts |
| 26MAR27 | 253.3 days | 66,538.01 | -290.64 USD | 41.27% | -0.23 vol pts | -0.03 vol pts | +0.09 vol pts |
| 25JUN27 | 344.3 days | 67,223.49 | -307.56 USD | 42.36% | -0.08 vol pts | -0.05 vol pts | +0.03 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 26MAR27; the largest sigma change occurred at 31JUL26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 16JUL26 | -0.00730 | -0.03930 | +0.08070 | +0.04010 | +0.41230 | rotation towards calls, wing steepening |
| 17JUL26 | +0.01500 | -0.01860 | +0.04040 | +0.01240 | -0.06640 | rotation towards calls, wing steepening |
| 18JUL26 | -0.00060 | -0.00500 | -0.01740 | -0.01790 | +0.02570 | rotation towards calls, wing steepening |
| 24JUL26 | +0.00720 | -0.00380 | -0.02280 | -0.02820 | -0.04460 | rotation towards calls, wing steepening |
| 31JUL26 | +0.00750 | -0.00060 | +0.00150 | -0.00930 | -0.05630 | rotation towards puts, wing steepening |
| 28AUG26 | +0.00760 | -0.00430 | +0.04130 | -0.00070 | -0.04080 | rotation towards calls |
| 25SEP26 | -0.00550 | +0.00710 | +0.01810 | -0.00930 | +0.00240 | rotation towards calls |
| 25DEC26 | -0.00750 | +0.01290 | +0.00340 | -0.00710 | -0.01840 | parallel shift lower |
| 26MAR27 | +0.00930 | -0.01510 | +0.04410 | +0.07370 | -0.02110 | parallel shift lower |
| 25JUN27 | -0.00940 | -0.00820 | +0.02930 | +0.04320 | +0.01960 | 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
- 15 Jul 2026, 23:59 UTC
- Comparison snapshot
- 14 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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