01 · Executive summary
What changed across the BTC volatility surface.
Front-end ATM IV was broadly unchanged, averaging +0.06 volatility points across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.30 volatility points across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.01 volatility points across the six headline tenors.
BF25 was broadly unchanged, averaging -0.04 volatility points across the six headline tenors.
The largest standard-tenor ATM IV move was -0.47 volatility points at 3M.
Universe roll: added 22JUL26; removed 18JUL26. Comparisons use common expiries only.
02 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
21JUL26, -9.23 vol ptsLargest standard-tenor RR25 move
1W, -0.58 vol ptsLargest standard-tenor ATM IV move
3M, -0.47 vol ptsLargest eligible SVI rho move
31JUL26, +0.1701 paramLargest eligible SVI sigma move
7AUG26, -0.1543 paramLargest standard-tenor BF25 move
1W, -0.12 vol pts03 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 32.93 | 32.48 | +0.45 vol pts | +1.39% |
| 2W | 33.85 | 33.72 | +0.13 vol pts | +0.39% |
| 1M | 33.73 | 34.12 | -0.39 vol pts | -1.14% |
| 3M | 37.13 | 37.60 | -0.47 vol pts | -1.25% |
| 6M | 40.09 | 40.47 | -0.38 vol pts | -0.94% |
| 9M | 41.36 | 41.65 | -0.29 vol pts | -0.70% |
| 1Y | 42.31 | 42.53 | -0.22 vol pts | -0.52% |
04 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.01 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 | -2.51 | -1.93 | -0.58 vol pts |
| 2W | -3.32 | -3.08 | -0.24 vol pts |
| 1M | -4.54 | -4.50 | -0.04 vol pts |
| 3M | -5.25 | -5.67 | +0.42 vol pts |
| 6M | -5.37 | -5.73 | +0.36 vol pts |
| 9M | -5.30 | -5.56 | +0.26 vol pts |
| 1Y | -5.18 | -5.22 | +0.04 vol pts |
05 · Butterflies
BF25 convexity changed most at 1W.
BF25 was broadly unchanged, averaging -0.04 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 | 1.47 | 1.59 | -0.12 vol pts |
| 2W | 1.72 | 1.74 | -0.02 vol pts |
| 1M | 2.14 | 2.16 | -0.02 vol pts |
| 3M | 2.61 | 2.67 | -0.06 vol pts |
| 6M | 2.69 | 2.75 | -0.06 vol pts |
| 9M | 2.70 | 2.72 | -0.02 vol pts |
| 1Y | 2.70 | 2.64 | +0.06 vol pts |
06 · News context
17 Jul 2026, 23:59 UTC to 18 Jul 2026, 23:59 UTCAcross the wire
No clear news catalyst identified
The collected headlines did not provide a sufficiently direct explanation for the observed BTC options repricing. The surface changes below are therefore reported without assigning a causal driver.
315 feed articles scanned across 13 feeds and 13 publishers. 0 fell inside the report window; 0 passed source relevance rules; 0 passed the final threshold; 0 selected.
07 · 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
19JUL26, -15.78 vol ptsSmile rotation
20JUL26, -9.43 vol pts08 · 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 |
|---|---|---|---|---|---|---|---|
| 19JUL26Expiry effect | 0.3 days | 64,797.56 | +898.08 USD | 23.56% | +6.57 vol pts | -1.07 vol pts | -0.17 vol pts |
| 20JUL26Expiry effect | 1.3 days | 64,800.36 | +886.03 USD | 25.72% | +1.92 vol pts | -1.25 vol pts | +0.09 vol pts |
| 21JUL26 | 2.3 days | 64,809 | +893.55 USD | 28.59% | +0.61 vol pts | -1.73 vol pts | -0.13 vol pts |
| 24JUL26 | 5.3 days | 64,837.29 | +897.56 USD | 32.21% | 0.00 vol pts | -0.52 vol pts | -0.22 vol pts |
| 31JUL26 | 12.3 days | 64,875.44 | +911.03 USD | 33.91% | +0.23 vol pts | +0.03 vol pts | -0.11 vol pts |
| 7AUG26 | 19.3 days | 64,928.72 | +913.92 USD | 33.74% | -0.21 vol pts | -0.07 vol pts | +0.05 vol pts |
| 28AUG26 | 40.3 days | 65,091.2 | +916.43 USD | 33.72% | -0.50 vol pts | +0.01 vol pts | -0.07 vol pts |
| 25SEP26 | 68.3 days | 65,300.06 | +921.68 USD | 35.11% | -0.63 vol pts | +0.46 vol pts | -0.08 vol pts |
| 25DEC26 | 159.3 days | 65,950.85 | +948.78 USD | 39.60% | -0.43 vol pts | +0.38 vol pts | -0.08 vol pts |
| 26MAR27 | 250.3 days | 66,732.06 | +1002.26 USD | 41.01% | -0.34 vol pts | +0.33 vol pts | -0.03 vol pts |
| 25JUN27 | 341.3 days | 67,501.15 | +1064.53 USD | 42.12% | -0.24 vol pts | +0.08 vol pts | +0.04 vol pts |
09 · 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.
10 · SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 31JUL26; the largest sigma change occurred at 7AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 19JUL26 | +0.03470 | -0.05460 | -0.14630 | -0.08170 | -0.02250 | rotation towards puts, wing steepening |
| 20JUL26 | +0.04280 | -0.04430 | -0.09510 | -0.00590 | -0.22510 | rotation towards puts, wing steepening |
| 21JUL26 | +0.02820 | -0.03220 | -0.09640 | -0.03390 | -0.09080 | rotation towards puts, wing steepening |
| 24JUL26 | +0.03040 | -0.03350 | +0.01740 | +0.02260 | -0.06410 | rotation towards puts |
| 31JUL26 | +0.01710 | -0.01400 | +0.17010 | +0.11360 | -0.05210 | parallel shift higher |
| 7AUG26 | +0.04110 | -0.02720 | +0.05000 | +0.01570 | -0.15430 | limited movement |
| 28AUG26 | +0.01830 | -0.01980 | -0.02580 | -0.01750 | -0.05360 | parallel shift lower |
| 25SEP26 | -0.01260 | +0.00740 | -0.11690 | -0.09930 | +0.04260 | parallel shift lower |
| 25DEC26 | -0.04370 | +0.04370 | -0.14810 | -0.20560 | +0.07010 | parallel shift lower |
| 26MAR27 | -0.03580 | +0.05760 | -0.13260 | -0.22250 | +0.01770 | parallel shift lower |
| 25JUN27 | -0.00680 | +0.04660 | -0.09340 | -0.15720 | -0.04060 | parallel shift lower |
11 · 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.
12 · Methodology and provenance
Generated from measured Derivasys surface data.
- Current snapshot
- 18 Jul 2026, 23:59 UTC
- Comparison snapshot
- 17 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
- News window
- 17 Jul 2026, 23:59 UTC to 18 Jul 2026, 23:59 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 315
- Inside report window
- 0
- Passed source rules
- 0
- Passed final threshold
- 0
- Stories displayed
- 0
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