01 · Market Read
The session in context.
1W RR25 moved 1.08 volatility points toward calls to -3.27%, leaving puts richer than calls; this was a notable move at the 83rd percentile. Front-end ATM IV averaged 32.32%, -0.54 points from the prior snapshot, while the long end averaged 41.03%, -0.29 points. The 1Y-minus-1W ATM slope steepened 0.18 points to 10.16 points. 2W ATM IV fell 0.64 volatility points to 31.95%. 1W BF25 fell 0.10 volatility points to 1.79%. The nearest eligible forward, 5AUG26, rose $728.34 (+1.16%) to $63,510.64. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
01 Aug 2026, 23:59 UTC to 02 Aug 2026, 23:59 UTCNo sufficiently relevant context identified
No sufficiently relevant context identified
No article met the threshold for inclusion, so the report does not assign a news catalyst.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
320 feed articles scanned across 13 feeds and 13 publishers. 22 fell inside the report window; 4 passed source relevance rules; 0 passed the final threshold; 0 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -0.54 volatility points to 32.32% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.29 volatility points to 41.03% across 6M and 1Y.
RR25 moved towards calls, averaging +0.34 volatility points to -4.52% across the six headline tenors.
BF25 was broadly unchanged, averaging -0.02 volatility points to 2.15% across the six headline tenors.
The largest standard-tenor ATM IV move was -0.64 volatility points at 2W, to 31.95%.
Universe roll: added 6AUG26; removed 2AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
14AUG26, +3.62 vol ptsLargest standard-tenor RR25 move
1W, +1.08 vol ptsLargest standard-tenor ATM IV move
2W, -0.64 vol ptsLargest eligible SVI sigma move
5AUG26, +0.2686 paramLargest standard-tenor BF25 move
1W, -0.10 vol ptsLargest eligible SVI rho move
28AUG26, -0.0732 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 32.04 | 32.46 | -0.42 vol pts | -1.29% |
| 2W | 31.95 | 32.59 | -0.64 vol pts | -1.96% |
| 1M | 32.97 | 33.53 | -0.56 vol pts | -1.67% |
| 3M | 36.88 | 37.10 | -0.22 vol pts | -0.59% |
| 6M | 39.85 | 40.19 | -0.34 vol pts | -0.85% |
| 9M | 41.16 | 41.50 | -0.34 vol pts | -0.82% |
| 1Y | 42.20 | 42.44 | -0.24 vol pts | -0.57% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.34 volatility points to -4.52% 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 | -3.27 | -4.35 | +1.08 vol pts |
| 2W | -4.35 | -5.24 | +0.89 vol pts |
| 1M | -4.96 | -5.57 | +0.61 vol pts |
| 3M | -5.37 | -5.36 | -0.01 vol pts |
| 6M | -4.99 | -4.71 | -0.28 vol pts |
| 9M | -4.65 | -4.33 | -0.32 vol pts |
| 1Y | -4.20 | -3.98 | -0.22 vol pts |
07 · Butterflies
BF25 convexity changed most at 1W.
BF25 was broadly unchanged, averaging -0.02 volatility points to 2.15% 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 | 1.79 | 1.89 | -0.10 vol pts |
| 2W | 1.91 | 1.84 | +0.07 vol pts |
| 1M | 2.06 | 2.15 | -0.09 vol pts |
| 3M | 2.17 | 2.14 | +0.03 vol pts |
| 6M | 2.55 | 2.59 | -0.04 vol pts |
| 9M | 2.51 | 2.55 | -0.04 vol pts |
| 1Y | 2.44 | 2.44 | 0.00 vol pts |
08 · 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
3AUG26, +7.99 vol ptsSmile rotation
4AUG26, -5.47 vol pts09 · 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 |
|---|---|---|---|---|---|---|---|
| 3AUG26Expiry effect | 0.3 days | 63,493.35 | +725.93 USD | 31.83% | +5.48 vol pts | +2.22 vol pts | -0.50 vol pts |
| 4AUG26Expiry effect | 1.3 days | 63,491.29 | +716.43 USD | 32.83% | +3.84 vol pts | -0.31 vol pts | -0.43 vol pts |
| 5AUG26 | 2.3 days | 63,510.64 | +728.34 USD | 32.39% | +2.78 vol pts | +0.46 vol pts | -0.20 vol pts |
| 7AUG26 | 4.3 days | 63,525.46 | +728.29 USD | 32.37% | +0.01 vol pts | +1.11 vol pts | -0.23 vol pts |
| 14AUG26 | 11.3 days | 63,577.32 | +716.92 USD | 31.84% | -0.75 vol pts | +1.46 vol pts | -0.02 vol pts |
| 21AUG26 | 18.3 days | 63,632.14 | +719.93 USD | 32.07% | -0.51 vol pts | +0.49 vol pts | +0.13 vol pts |
| 28AUG26 | 25.3 days | 63,685.12 | +716.48 USD | 32.27% | -0.77 vol pts | +0.88 vol pts | -0.12 vol pts |
| 25SEP26 | 53.3 days | 63,897.08 | +733.74 USD | 34.56% | -0.52 vol pts | +0.13 vol pts | +0.03 vol pts |
| 30OCT26 | 88.3 days | 64,150.16 | +741.12 USD | 36.69% | -0.29 vol pts | -0.02 vol pts | +0.02 vol pts |
| 25DEC26 | 144.3 days | 64,576.41 | +774.26 USD | 39.11% | -0.27 vol pts | -0.14 vol pts | -0.02 vol pts |
| 26MAR27 | 235.3 days | 65,242.25 | +779.48 USD | 40.48% | -0.43 vol pts | -0.40 vol pts | -0.06 vol pts |
| 25JUN27 | 326.3 days | 65,923.74 | +796.10 USD | 41.84% | -0.28 vol pts | -0.26 vol pts | -0.02 vol pts |
10 · 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.
11 · SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 28AUG26; the largest sigma change occurred at 5AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 3AUG26 | +0.01160 | -0.03570 | +0.05740 | +0.00370 | +0.12560 | rotation towards calls, wing steepening |
| 4AUG26 | -0.06210 | +0.01290 | +0.02820 | -0.08530 | +0.50930 | rotation towards puts, wing flattening |
| 5AUG26 | -0.04390 | +0.01840 | +0.00750 | -0.04100 | +0.26860 | parallel shift higher, rotation towards calls, wing steepening |
| 7AUG26 | -0.02890 | +0.01990 | -0.05680 | -0.05430 | +0.13880 | rotation towards calls, wing steepening |
| 14AUG26 | -0.02900 | +0.02630 | -0.01570 | -0.03230 | +0.09130 | rotation towards calls, wing steepening |
| 21AUG26 | -0.02170 | +0.02260 | -0.04660 | -0.04420 | +0.05250 | rotation towards calls, wing steepening |
| 28AUG26 | -0.03180 | +0.01940 | -0.07320 | -0.04600 | +0.12630 | rotation towards calls |
| 25SEP26 | -0.00350 | +0.00290 | -0.03020 | -0.02640 | +0.00590 | parallel shift lower |
| 30OCT26 | +0.00020 | -0.00030 | -0.01790 | -0.01540 | -0.00340 | parallel shift lower |
| 25DEC26 | +0.00650 | -0.00640 | +0.00190 | +0.01100 | -0.00860 | parallel shift lower |
| 26MAR27 | +0.04530 | -0.03880 | +0.03470 | +0.09450 | -0.06120 | parallel shift lower |
| 25JUN27 | +0.06180 | -0.05150 | +0.04310 | +0.12690 | -0.07210 | parallel shift lower |
12 · 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.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
- Current snapshot
- 02 Aug 2026, 23:59 UTC
- Comparison snapshot
- 01 Aug 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
- 01 Aug 2026, 23:59 UTC to 02 Aug 2026, 23:59 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 320
- Inside report window
- 22
- Passed source rules
- 4
- Passed final threshold
- 0
- Event clusters displayed
- 0
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