BTC daily surface: 2W ATM IV rises 0.83 volatility points

01 · Executive summary

What changed across the BTC volatility surface.

Across the six headline tenors, ATM IV averaged +0.35 volatility points, RR25 -0.26 volatility points and BF25 -0.04 volatility points between the stored endpoints.

Universe roll: added 26JUL26; removed 22JUL26. Comparisons use common expiries only.

02 · ATM volatility

Standard-tenor ATM implied volatility.

03 · Risk reversals

RR25 skew moved most at 1W.

RR25 moved towards puts, averaging -0.26 volatility points across the six headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

04 · Butterflies

BF25 convexity changed most at 6M.

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.

05 · 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.

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.

06 · 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.

07 · 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 25DEC26.

08 · 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.

09 · Methodology and provenance

Generated from Derivasys surface data only.

Current snapshot

22 Jul 2026, 23:59 UTC

Comparison snapshot

21 Jul 2026, 23:59 UTC

Source

Derivasys proprietary historical SVI surface database

Comparison window

Nearest successful surface snapshots approximately 24 hours apart

Calculations and commentary

Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.

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.

Causal claims

The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts.

Greek normalization

Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV