01 · Options Market Read
What the volatility surface did.
1W ATM IV fell 1.54 volatility points to 28.62%, a routine move at the 67th percentile. Front-end ATM IV averaged 31.06%, -0.83 points from the prior snapshot, while the long end averaged 41.37%, +0.01 points. The 1Y-minus-1W ATM slope steepened 1.50 points to 13.64 points. 1W RR25 moved 0.36 volatility points toward calls to -3.03%, leaving puts richer than calls. 3M BF25 fell 0.15 volatility points to 2.27%. The nearest eligible forward, 14AUG26, fell $378.40 (-0.59%) to $63,572.89. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Catalyst check
10 Aug 2026, 23:59 UTC to 11 Aug 2026, 23:59 UTCRelevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
305 feed articles scanned across 13 feeds and 13 publishers. 51 fell inside the report window; 10 passed source relevance rules; 2 passed the final threshold; 1 event displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
Front-end ATM IV decreased, averaging -0.83 volatility points to 31.06% across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging +0.01 volatility points to 41.37% across 6M and 1Y.
RR25 was broadly unchanged, averaging -0.06 volatility points to -4.01% across the six headline tenors.
BF25 was broadly unchanged, averaging -0.04 volatility points to 2.09% across the six headline tenors.
The largest standard-tenor ATM IV move was -1.54 volatility points at 1W, to 28.62%.
Universe roll: added 15AUG26; removed 11AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
14AUG26, -3.42 vol ptsLargest standard-tenor ATM IV move
1W, -1.54 vol ptsLargest standard-tenor RR25 move
1W, +0.36 vol ptsLargest standard-tenor BF25 move
3M, -0.15 vol ptsLargest eligible SVI sigma move
30OCT26, +0.1385 paramLargest eligible SVI rho move
14AUG26, -0.0884 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 28.62 | 30.16 | -1.54 vol pts | -5.11% |
| 2W | 30.54 | 31.29 | -0.75 vol pts | -2.40% |
| 1M | 34.03 | 34.23 | -0.20 vol pts | -0.58% |
| 3M | 38.19 | 38.10 | +0.09 vol pts | +0.24% |
| 6M | 40.48 | 40.42 | +0.06 vol pts | +0.15% |
| 9M | 41.50 | 41.49 | +0.01 vol pts | +0.02% |
| 1Y | 42.26 | 42.30 | -0.04 vol pts | -0.09% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 was broadly unchanged, averaging -0.06 volatility points to -4.01% 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 | -3.03 | -3.39 | +0.36 vol pts |
| 2W | -3.70 | -3.62 | -0.08 vol pts |
| 1M | -4.47 | -4.22 | -0.25 vol pts |
| 3M | -4.69 | -4.66 | -0.03 vol pts |
| 6M | -4.27 | -4.12 | -0.15 vol pts |
| 9M | -4.01 | -3.85 | -0.16 vol pts |
| 1Y | -3.88 | -3.66 | -0.22 vol pts |
07 · Butterflies
BF25 convexity changed most at 3M.
BF25 was broadly unchanged, averaging -0.04 volatility points to 2.09% 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 | 1.71 | 1.63 | +0.08 vol pts |
| 2W | 1.76 | 1.70 | +0.06 vol pts |
| 1M | 2.05 | 2.12 | -0.07 vol pts |
| 3M | 2.27 | 2.42 | -0.15 vol pts |
| 6M | 2.43 | 2.48 | -0.05 vol pts |
| 9M | 2.39 | 2.45 | -0.06 vol pts |
| 1Y | 2.32 | 2.40 | -0.08 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
12AUG26, -3.64 vol ptsSmile rotation
13AUG26, -2.90 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 |
|---|---|---|---|---|---|---|---|
| 12AUG26Expiry effect | 0.3 days | 63,557.33 | -364.74 USD | 24.94% | -3.32 vol pts | +0.56 vol pts | -0.54 vol pts |
| 13AUG26Expiry effect | 1.3 days | 63,567.05 | -362.41 USD | 29.19% | -0.83 vol pts | +0.02 vol pts | -0.18 vol pts |
| 14AUG26 | 2.3 days | 63,572.89 | -378.40 USD | 28.23% | -2.62 vol pts | -0.20 vol pts | -0.02 vol pts |
| 21AUG26 | 9.3 days | 63,616.92 | -385.92 USD | 28.70% | -1.25 vol pts | +0.46 vol pts | +0.08 vol pts |
| 28AUG26 | 16.3 days | 63,668.37 | -386.17 USD | 31.05% | -0.95 vol pts | -0.21 vol pts | +0.03 vol pts |
| 25SEP26 | 44.3 days | 63,875.99 | -368.74 USD | 35.12% | -0.09 vol pts | -0.22 vol pts | -0.14 vol pts |
| 30OCT26 | 79.3 days | 64,140.51 | -362.37 USD | 37.45% | +0.01 vol pts | +0.04 vol pts | -0.18 vol pts |
| 25DEC26 | 135.3 days | 64,578.69 | -328.55 USD | 39.78% | +0.08 vol pts | -0.23 vol pts | -0.09 vol pts |
| 26MAR27 | 226.3 days | 65,234.98 | -371.76 USD | 40.87% | +0.03 vol pts | -0.11 vol pts | -0.03 vol pts |
| 25JUN27 | 317.3 days | 65,904.72 | -375.42 USD | 41.92% | -0.03 vol pts | -0.20 vol pts | -0.06 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 14AUG26; the largest sigma change occurred at 30OCT26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 12AUG26 | +0.03850 | -0.05710 | -0.03200 | +0.00720 | -0.19390 | rotation towards puts, wing steepening |
| 13AUG26 | +0.01350 | -0.01990 | -0.04730 | -0.01420 | -0.06000 | rotation towards puts, wing steepening |
| 14AUG26 | +0.01640 | -0.01620 | -0.08840 | -0.02550 | -0.10570 | rotation towards puts, wing steepening |
| 21AUG26 | +0.01100 | -0.00600 | +0.00920 | -0.00870 | -0.07320 | rotation towards calls, wing steepening |
| 28AUG26 | +0.00960 | -0.00720 | -0.00380 | -0.00990 | -0.05150 | rotation towards puts, wing steepening |
| 25SEP26 | -0.03300 | +0.01580 | +0.00710 | -0.00150 | +0.11400 | parallel shift lower |
| 30OCT26 | -0.04580 | +0.01690 | +0.00850 | -0.02140 | +0.13850 | limited movement |
| 25DEC26 | -0.05360 | +0.02660 | -0.01130 | -0.05400 | +0.11660 | limited movement |
| 26MAR27 | -0.04800 | +0.02490 | +0.00420 | -0.03540 | +0.08130 | limited movement |
| 25JUN27 | -0.06370 | +0.02390 | +0.00840 | -0.04330 | +0.11640 | limited movement |
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
- 11 Aug 2026, 23:59 UTC
- Comparison snapshot
- 10 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
- 10 Aug 2026, 23:59 UTC to 11 Aug 2026, 23:59 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 305
- Inside report window
- 51
- Passed source rules
- 10
- Passed final threshold
- 2
- Event clusters displayed
- 1
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