01 · Market Read
The session in context.
1W ATM IV fell 1.84 volatility points to 29.08%, a notable move at the 80th percentile. Front-end ATM IV averaged 30.42%, -1.15 points from the prior snapshot, while the long end averaged 40.78%, -0.03 points. The 1Y-minus-1W ATM slope steepened 1.85 points to 12.80 points. 1W RR25 moved 0.66 volatility points toward calls to -3.26%, leaving puts richer than calls. 2W BF25 fell 0.35 volatility points to 1.57%. The nearest eligible forward, 7AUG26, rose $223.43 (+0.35%) to $64,037.96. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
03 Aug 2026, 16:19 UTC to 04 Aug 2026, 16:19 UTCRelevant context found; no confirmed catalyst
Relevant market events
2 events were retained after relevance scoring and event-level deduplication.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
316 feed articles scanned across 13 feeds and 13 publishers. 67 fell inside the report window; 12 passed source relevance rules; 2 passed the final threshold; 2 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -1.15 volatility points to 30.42% across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging -0.04 volatility points to 40.78% across 6M and 1Y.
RR25 moved towards calls, averaging +0.23 volatility points to -4.29% across the six headline tenors.
BF25 decreased, averaging -0.14 volatility points to 2.06% across the six headline tenors.
The largest standard-tenor ATM IV move was -1.84 volatility points at 1W, to 29.08%.
Universe roll: added 8AUG26; removed 4AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
7AUG26, +6.49 vol ptsLargest standard-tenor ATM IV move
1W, -1.84 vol ptsLargest standard-tenor RR25 move
1W, +0.66 vol ptsLargest standard-tenor BF25 move
2W, -0.35 vol ptsLargest eligible SVI sigma move
25JUN27, +0.1267 paramLargest eligible SVI rho move
28AUG26, +0.0848 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 29.08 | 30.92 | -1.84 vol pts | -5.95% |
| 2W | 29.80 | 30.95 | -1.15 vol pts | -3.72% |
| 1M | 32.39 | 32.85 | -0.46 vol pts | -1.40% |
| 3M | 36.58 | 36.69 | -0.11 vol pts | -0.30% |
| 6M | 39.68 | 39.76 | -0.08 vol pts | -0.20% |
| 9M | 40.93 | 41.00 | -0.07 vol pts | -0.17% |
| 1Y | 41.88 | 41.87 | +0.01 vol pts | +0.02% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.23 volatility points to -4.29% 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 | -3.26 | -3.92 | +0.66 vol pts |
| 2W | -4.07 | -4.36 | +0.29 vol pts |
| 1M | -4.66 | -4.89 | +0.23 vol pts |
| 3M | -4.97 | -5.23 | +0.26 vol pts |
| 6M | -4.66 | -4.78 | +0.12 vol pts |
| 9M | -4.43 | -4.49 | +0.06 vol pts |
| 1Y | -4.15 | -3.98 | -0.17 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.14 volatility points to 2.06% 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 | 1.54 | 1.88 | -0.34 vol pts |
| 2W | 1.57 | 1.92 | -0.35 vol pts |
| 1M | 2.06 | 2.09 | -0.03 vol pts |
| 3M | 2.25 | 2.21 | +0.04 vol pts |
| 6M | 2.54 | 2.54 | 0.00 vol pts |
| 9M | 2.49 | 2.55 | -0.06 vol pts |
| 1Y | 2.39 | 2.54 | -0.15 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
5AUG26, +7.68 vol ptsSmile rotation
6AUG26, +5.75 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 |
|---|---|---|---|---|---|---|---|
| 5AUG26Expiry effect | 0.7 days | 64,016.36 | +207.62 USD | 26.89% | -2.68 vol pts | +1.83 vol pts | -0.73 vol pts |
| 6AUG26Expiry effect | 1.7 days | 64,029.82 | +213.31 USD | 27.04% | -3.21 vol pts | +1.70 vol pts | -0.62 vol pts |
| 7AUG26 | 2.7 days | 64,037.96 | +223.43 USD | 28.37% | -3.27 vol pts | +1.90 vol pts | -0.32 vol pts |
| 14AUG26 | 9.7 days | 64,092.37 | +225.17 USD | 29.02% | -1.63 vol pts | +0.44 vol pts | -0.36 vol pts |
| 21AUG26 | 16.7 days | 64,149.42 | +228.83 USD | 30.07% | -1.08 vol pts | +0.37 vol pts | -0.33 vol pts |
| 28AUG26 | 23.7 days | 64,218.48 | +244.51 USD | 31.42% | -0.67 vol pts | +0.04 vol pts | -0.06 vol pts |
| 25SEP26 | 51.7 days | 64,436.8 | +249.28 USD | 33.86% | -0.45 vol pts | +0.68 vol pts | -0.06 vol pts |
| 30OCT26 | 86.7 days | 64,713.67 | +257.40 USD | 36.25% | -0.20 vol pts | +0.28 vol pts | +0.04 vol pts |
| 25DEC26 | 142.7 days | 65,127.72 | +251.34 USD | 38.91% | -0.05 vol pts | +0.04 vol pts | 0.00 vol pts |
| 26MAR27 | 233.7 days | 65,814.28 | +255.15 USD | 40.29% | -0.13 vol pts | +0.20 vol pts | -0.02 vol pts |
| 25JUN27 | 324.7 days | 66,499.07 | +286.12 USD | 41.53% | -0.03 vol pts | -0.09 vol pts | -0.11 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 25JUN27.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 5AUG26 | -0.03870 | -0.01590 | +0.07070 | -0.04100 | +0.64000 | rotation towards calls, wing steepening |
| 6AUG26 | -0.00720 | -0.01590 | +0.05310 | -0.00800 | +0.17090 | rotation towards calls, wing steepening |
| 7AUG26 | +0.01180 | -0.01660 | +0.05990 | +0.02320 | -0.04150 | rotation towards calls, wing steepening |
| 14AUG26 | +0.01310 | -0.02220 | +0.02800 | +0.01440 | -0.01470 | parallel shift lower |
| 21AUG26 | +0.01410 | -0.02190 | +0.03770 | +0.02330 | -0.01560 | parallel shift lower |
| 28AUG26 | +0.02010 | -0.01550 | +0.08480 | +0.03550 | -0.08510 | parallel shift lower |
| 25SEP26 | -0.01320 | +0.00920 | -0.02180 | -0.03360 | +0.03900 | rotation towards calls |
| 30OCT26 | -0.02920 | +0.02100 | -0.06020 | -0.06880 | +0.07570 | parallel shift lower |
| 25DEC26 | -0.02870 | +0.02570 | -0.02980 | -0.06040 | +0.03940 | parallel shift lower |
| 26MAR27 | -0.07070 | +0.05670 | -0.06900 | -0.15290 | +0.09950 | parallel shift lower |
| 25JUN27 | -0.07810 | +0.04670 | -0.03540 | -0.11930 | +0.12670 | 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
- 04 Aug 2026, 16:19 UTC
- Comparison snapshot
- 03 Aug 2026, 16:19 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
- 03 Aug 2026, 16:19 UTC to 04 Aug 2026, 16:19 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 316
- Inside report window
- 67
- Passed source rules
- 12
- Passed final threshold
- 2
- Event clusters displayed
- 2
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