01 · Market Read
The session in context.
1W ATM IV rose 0.88 volatility points to 27.12%, a routine move at the 53rd percentile. Front-end ATM IV averaged 29.80%, +0.44 points from the prior snapshot, while the long end was unchanged at 40.95%. The 1Y-minus-1W ATM slope flattened 0.93 points to 14.84 points. 2W RR25 moved 0.29 volatility points toward calls to -3.35%, leaving puts richer than calls. 2W BF25 fell 0.15 volatility points to 1.53%. The nearest eligible forward, 19AUG26, rose $35.85 (+0.06%) to $63,100.55. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
15 Aug 2026, 16:02 UTC to 16 Aug 2026, 16:02 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. 24 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 increased, averaging +0.44 volatility points to 29.80% across 1W, 2W and 1M.
Long-dated ATM IV was unchanged at 40.95% across 6M and 1Y.
RR25 was broadly unchanged, averaging +0.05 volatility points to -3.82% across the six headline tenors.
BF25 was broadly unchanged, averaging -0.03 volatility points to 2.03% across the six headline tenors.
The largest standard-tenor ATM IV move was +0.88 volatility points at 1W, to 27.12%.
Universe roll: added 20AUG26; removed 16AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
19AUG26, -4.50 vol ptsLargest standard-tenor ATM IV move
1W, +0.88 vol ptsLargest standard-tenor RR25 move
2W, +0.29 vol ptsLargest eligible SVI sigma move
28AUG26, +0.2103 paramLargest standard-tenor BF25 move
2W, -0.15 vol ptsLargest eligible SVI rho move
25JUN27, -0.1046 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 27.12 | 26.24 | +0.88 vol pts | +3.35% |
| 2W | 29.29 | 28.93 | +0.36 vol pts | +1.24% |
| 1M | 33.00 | 32.92 | +0.08 vol pts | +0.24% |
| 3M | 37.58 | 37.47 | +0.11 vol pts | +0.29% |
| 6M | 39.95 | 39.89 | +0.06 vol pts | +0.15% |
| 9M | 41.15 | 41.14 | +0.01 vol pts | +0.02% |
| 1Y | 41.96 | 42.01 | -0.05 vol pts | -0.12% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 was broadly unchanged, averaging +0.05 volatility points to -3.82% 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 | -2.81 | -2.96 | +0.15 vol pts |
| 2W | -3.35 | -3.64 | +0.29 vol pts |
| 1M | -4.66 | -4.49 | -0.17 vol pts |
| 3M | -4.53 | -4.36 | -0.17 vol pts |
| 6M | -4.03 | -3.95 | -0.08 vol pts |
| 9M | -3.75 | -3.84 | +0.09 vol pts |
| 1Y | -3.53 | -3.82 | +0.29 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging -0.03 volatility points to 2.03% 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 | 1.39 | 1.50 | -0.11 vol pts |
| 2W | 1.53 | 1.68 | -0.15 vol pts |
| 1M | 2.16 | 2.07 | +0.09 vol pts |
| 3M | 2.37 | 2.34 | +0.03 vol pts |
| 6M | 2.43 | 2.43 | 0.00 vol pts |
| 9M | 2.35 | 2.38 | -0.03 vol pts |
| 1Y | 2.29 | 2.32 | -0.03 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
18AUG26, -6.62 vol ptsSmile rotation
17AUG26, +3.74 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 |
|---|---|---|---|---|---|---|---|
| 17AUG26Expiry effect | 0.7 days | 63,081.63 | +32.25 USD | 18.88% | -0.09 vol pts | +1.22 vol pts | -0.58 vol pts |
| 18AUG26Expiry effect | 1.7 days | 63,093.46 | +36.42 USD | 23.37% | +1.47 vol pts | -0.55 vol pts | -0.55 vol pts |
| 19AUG26 | 2.7 days | 63,100.55 | +35.85 USD | 23.59% | +0.73 vol pts | -0.72 vol pts | -0.04 vol pts |
| 21AUG26 | 4.7 days | 63,114.74 | +34.73 USD | 25.47% | +0.46 vol pts | -0.39 vol pts | -0.07 vol pts |
| 28AUG26 | 11.7 days | 63,163.99 | +35.73 USD | 28.37% | -0.05 vol pts | +0.76 vol pts | -0.24 vol pts |
| 4SEP26 | 18.7 days | 63,200.04 | +17.69 USD | 30.41% | +0.12 vol pts | +0.21 vol pts | -0.09 vol pts |
| 25SEP26 | 39.7 days | 63,357.15 | +20.12 USD | 33.98% | -0.18 vol pts | -0.32 vol pts | +0.14 vol pts |
| 30OCT26 | 74.7 days | 63,629.05 | +26.38 USD | 36.53% | +0.05 vol pts | -0.28 vol pts | 0.00 vol pts |
| 25DEC26 | 130.7 days | 64,077.38 | +32.41 USD | 38.99% | +0.07 vol pts | -0.06 vol pts | +0.04 vol pts |
| 26MAR27 | 221.7 days | 64,737.9 | +17.74 USD | 40.38% | +0.03 vol pts | -0.09 vol pts | +0.01 vol pts |
| 25JUN27 | 312.7 days | 65,419.98 | +26.69 USD | 41.56% | -0.03 vol pts | +0.19 vol pts | -0.03 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 25JUN27; the largest sigma change occurred at 28AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 17AUG26 | -0.00810 | -0.02990 | -0.00690 | -0.10570 | +0.48960 | rotation towards calls, wing flattening |
| 18AUG26 | -0.06780 | +0.01350 | +0.00450 | -0.11010 | +0.68640 | rotation towards puts, wing flattening |
| 19AUG26 | -0.00760 | +0.00510 | -0.05100 | -0.03340 | +0.06130 | rotation towards puts, wing steepening |
| 21AUG26 | -0.00350 | +0.00140 | -0.08050 | -0.04440 | +0.03130 | rotation towards puts, wing steepening |
| 28AUG26 | -0.04740 | +0.02590 | -0.04880 | -0.04050 | +0.21030 | rotation towards calls |
| 4SEP26 | -0.03860 | +0.02320 | -0.07040 | -0.04520 | +0.15660 | parallel shift higher |
| 25SEP26 | -0.00620 | +0.00970 | -0.02770 | -0.01840 | -0.00070 | rotation towards puts |
| 30OCT26 | -0.03090 | +0.01740 | -0.00240 | -0.01550 | +0.07650 | limited movement |
| 25DEC26 | +0.01680 | -0.00420 | -0.02360 | -0.01120 | -0.04040 | parallel shift higher |
| 26MAR27 | +0.04570 | -0.03280 | +0.02810 | +0.07810 | -0.07260 | parallel shift higher |
| 25JUN27 | +0.00990 | +0.03180 | -0.10460 | -0.16210 | -0.05890 | 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
- 16 Aug 2026, 16:02 UTC
- Comparison snapshot
- 15 Aug 2026, 16:02 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
- 15 Aug 2026, 16:02 UTC to 16 Aug 2026, 16:02 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 320
- Inside report window
- 24
- Passed source rules
- 4
- Passed final threshold
- 0
- Event clusters displayed
- 0
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