01 · Market Read
The session in context.
1M ATM IV rose 0.57 volatility points to 32.73%, a routine move at the 57th percentile. Front-end ATM IV averaged 30.26%, +0.27 points from the prior snapshot, while the long end was unchanged at 40.88%. The 1Y-minus-1W ATM slope steepened 0.17 points to 13.56 points. 1W RR25 moved 0.22 volatility points toward puts to -2.40%, leaving puts richer than calls. 2W BF25 fell 0.16 volatility points to 1.52%. The nearest eligible forward, 9AUG26, rose $91.84 (+0.14%) to $64,662.62. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
05 Aug 2026, 17:27 UTC to 06 Aug 2026, 17:27 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.
325 feed articles scanned across 13 feeds and 13 publishers. 68 fell inside the report window; 12 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 increased, averaging +0.27 volatility points to 30.26% across 1W, 2W and 1M.
Long-dated ATM IV was unchanged at 40.88% across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.01 volatility points to -3.89% across the six headline tenors.
BF25 was broadly unchanged, averaging +0.02 volatility points to 2.05% across the six headline tenors.
The largest standard-tenor ATM IV move was +0.57 volatility points at 1M, to 32.73%.
Universe roll: added 10AUG26; removed 6AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
28AUG26, +0.74 vol ptsLargest standard-tenor ATM IV move
1M, +0.57 vol ptsLargest standard-tenor RR25 move
1W, -0.22 vol ptsLargest standard-tenor BF25 move
2W, -0.16 vol ptsLargest eligible SVI sigma move
25JUN27, -0.1128 paramLargest eligible SVI rho move
26MAR27, +0.0741 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 28.32 | 28.52 | -0.20 vol pts | -0.70% |
| 2W | 29.74 | 29.30 | +0.44 vol pts | +1.50% |
| 1M | 32.73 | 32.16 | +0.57 vol pts | +1.77% |
| 3M | 37.01 | 36.82 | +0.19 vol pts | +0.52% |
| 6M | 39.87 | 39.85 | +0.02 vol pts | +0.05% |
| 9M | 41.05 | 41.06 | -0.01 vol pts | -0.02% |
| 1Y | 41.88 | 41.91 | -0.03 vol pts | -0.07% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.01 volatility points to -3.89% 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 | -2.40 | -2.18 | -0.22 vol pts |
| 2W | -3.78 | -3.72 | -0.06 vol pts |
| 1M | -4.42 | -4.52 | +0.10 vol pts |
| 3M | -4.63 | -4.61 | -0.02 vol pts |
| 6M | -4.40 | -4.38 | -0.02 vol pts |
| 9M | -4.05 | -4.15 | +0.10 vol pts |
| 1Y | -3.71 | -3.89 | +0.18 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging +0.02 volatility points to 2.05% 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 | 1.46 | 1.36 | +0.10 vol pts |
| 2W | 1.52 | 1.68 | -0.16 vol pts |
| 1M | 2.04 | 2.08 | -0.04 vol pts |
| 3M | 2.33 | 2.29 | +0.04 vol pts |
| 6M | 2.54 | 2.46 | +0.08 vol pts |
| 9M | 2.49 | 2.41 | +0.08 vol pts |
| 1Y | 2.39 | 2.29 | +0.10 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
7AUG26, +9.54 vol ptsSmile rotation
8AUG26, -1.44 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 |
|---|---|---|---|---|---|---|---|
| 7AUG26Expiry effect | 0.6 days | 64,640.97 | +83.12 USD | 25.67% | -1.92 vol pts | +1.64 vol pts | -0.34 vol pts |
| 8AUG26Expiry effect | 1.6 days | 64,653.21 | +90.00 USD | 27.99% | -0.37 vol pts | -0.20 vol pts | -0.16 vol pts |
| 9AUG26 | 2.6 days | 64,662.62 | +91.84 USD | 24.88% | -1.06 vol pts | +0.15 vol pts | -0.03 vol pts |
| 14AUG26 | 7.6 days | 64,700.51 | +91.92 USD | 28.60% | -0.41 vol pts | -0.13 vol pts | +0.11 vol pts |
| 21AUG26 | 14.6 days | 64,752.78 | +92.77 USD | 29.79% | +0.44 vol pts | +0.09 vol pts | -0.19 vol pts |
| 28AUG26 | 21.6 days | 64,812.48 | +95.01 USD | 31.37% | +0.68 vol pts | +0.34 vol pts | -0.08 vol pts |
| 25SEP26 | 49.6 days | 65,034.67 | +108.48 USD | 34.06% | +0.15 vol pts | -0.07 vol pts | -0.01 vol pts |
| 30OCT26 | 84.6 days | 65,297.74 | +75.80 USD | 36.56% | +0.14 vol pts | -0.02 vol pts | +0.02 vol pts |
| 25DEC26 | 140.6 days | 65,761.04 | +102.12 USD | 39.06% | +0.03 vol pts | -0.08 vol pts | +0.08 vol pts |
| 26MAR27 | 231.6 days | 66,424.9 | +78.75 USD | 40.45% | -0.01 vol pts | +0.03 vol pts | +0.07 vol pts |
| 25JUN27 | 322.6 days | 67,121.1 | +93.06 USD | 41.56% | -0.03 vol pts | +0.15 vol pts | +0.09 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 26MAR27; the largest sigma change occurred at 25JUN27.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 7AUG26 | +0.01270 | -0.02530 | +0.12040 | +0.04200 | -0.04560 | rotation towards calls, wing steepening |
| 8AUG26 | +0.01450 | -0.01920 | -0.00160 | +0.00250 | -0.04770 | rotation towards puts, wing steepening |
| 9AUG26 | +0.01910 | -0.01790 | -0.00590 | +0.00200 | -0.10380 | wing steepening |
| 14AUG26 | +0.01460 | -0.00890 | -0.02210 | -0.01630 | -0.08510 | rotation towards puts, wing steepening |
| 21AUG26 | -0.00350 | -0.00420 | +0.01830 | +0.01540 | +0.04730 | wing flattening |
| 28AUG26 | +0.00060 | -0.00300 | +0.02760 | +0.01120 | +0.00830 | rotation towards calls |
| 25SEP26 | +0.00630 | -0.00710 | +0.03060 | +0.02360 | -0.01600 | parallel shift higher |
| 30OCT26 | +0.00210 | +0.00020 | -0.00370 | -0.00160 | -0.00980 | parallel shift higher |
| 25DEC26 | +0.02310 | -0.02140 | +0.03520 | +0.06870 | -0.04570 | parallel shift higher |
| 26MAR27 | +0.07730 | -0.07440 | +0.07410 | +0.17570 | -0.10300 | limited movement |
| 25JUN27 | +0.08310 | -0.06980 | +0.05040 | +0.16320 | -0.11280 | 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
- 06 Aug 2026, 17:27 UTC
- Comparison snapshot
- 05 Aug 2026, 17:27 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
- 05 Aug 2026, 17:27 UTC to 06 Aug 2026, 17:27 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 325
- Inside report window
- 68
- Passed source rules
- 12
- Passed final threshold
- 0
- Event clusters displayed
- 0
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