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Daily BTC options market report · 24-hour comparison

BTC front-end IV catches up with seven-day realised volatility

Front-end ATM IV rose sharply, with 1W IV reaching 44.02%, close to seven-day realised volatility of 44.90% but well below the 24-hour rate of 74.18%; RR25 moved toward calls and BF25 increased.

By Sean Gordon — Derivasys Research

Published · Snapshot

Snapshot · 21 Aug 2026, 16:00 UTC

  • BTCSpot-index 24h +6.72%1W ATM IV 44.02%1W RR25 +1.47 vol pts1W BF25 +2.33 vol pts1W IV − 7D RV Unavailable
  • BTC1W ATM IV 44.02%Spot-index 24h +6.72%
Full snapshot readings
  • BTCSpot-index 24h +6.72%1W ATM IV 44.02%1W RR25 +1.47 vol pts1W BF25 +2.33 vol pts1W IV − 7D RV Unavailable

02 · Options market read

What the volatility surface did.

6 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at +4.73 volatility points, to 44.02%.

Derived directly from structured Derivasys surface data

03 · Catalyst check

20 Aug 2026, 16:00 UTC to 21 Aug 2026, 16:00 UTC

Relevant context found; no confirmed catalyst

Relevant market event

1 relevant event was retained for the comparison window.

Confidencelow causal confidence

News is presented as contextual association unless the structured evidence supports a stronger relationship.

04 · Detailed analysis

What changed across the BTC volatility surface.

Implied versus realised

At the 16:00 UTC cutoff, 1W ATM IV was 44.02%, broadly in line with seven-day realised volatility of 44.90%, below the 24-hour rate of 74.18%, and above the 30-day rate of 31.09%.

Front end

Front-end ATM IV increased, averaging +3.81 volatility points to 41.90% across 1W, 2W and 1M.

Long end

Long-dated ATM IV increased, averaging +1.20 volatility points to 43.06% across 6M and 1Y.

Skew

RR25 moved towards calls, averaging +1.32 volatility points to 0.54 volatility points across the six available headline tenors.

Convexity

BF25 increased, averaging +0.36 volatility points to 2.57 volatility points across the six available headline tenors.

Largest standard-tenor move

The largest standard-tenor ATM IV move was +4.73 volatility points at 1W, to 44.02%.

Universe roll: added 25AUG26; removed 21AUG26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

24AUG26, +7.07 vol pts
02

Largest standard-tenor ATM IV move

1W, +4.73 vol pts
03

Largest standard-tenor RR25 move

1Y, +2.40 vol pts
04

Largest standard-tenor BF25 move

1M, +0.60 vol pts
05

Largest eligible SVI rho move

25JUN27, +0.2730 param
06

Largest eligible SVI sigma move

25SEP26, -0.1861 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W44.0239.29+4.73 vol pts+12.04%
2W41.3737.49+3.88 vol pts+10.35%
1M40.3137.50+2.81 vol pts+7.49%
3M41.6039.57+2.03 vol pts+5.13%
6M42.5741.07+1.50 vol pts+3.65%
9M43.1141.95+1.16 vol pts+2.77%
1Y43.5642.66+0.90 vol pts+2.11%

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 1Y.

RR25 moved towards calls, averaging +1.32 volatility points to 0.54 volatility points across the six available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

-3.3 vol pts-1.6 vol pts0.0 vol pts1.7 vol pts3.4 vol pts1W2W1M3M6M9M1Y
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W1.471.70-0.23 vol pts
2W2.711.68+1.03 vol pts
1M1.06-0.52+1.58 vol pts
3M-1.04-2.35+1.31 vol pts
6M-0.75-2.58+1.83 vol pts
9M-0.42-2.64+2.22 vol pts
1Y-0.20-2.60+2.40 vol pts

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 1M.

BF25 increased, averaging +0.36 volatility points to 2.57 volatility points across the six available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

1.9 vol pts2.1 vol pts2.4 vol pts2.7 vol pts3.0 vol pts1W2W1M3M6M9M1Y
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W2.332.24+0.09 vol pts
2W2.532.08+0.45 vol pts
1M2.762.16+0.60 vol pts
3M2.702.29+0.41 vol pts
6M2.672.36+0.31 vol pts
9M2.522.26+0.26 vol pts
1Y2.422.14+0.28 vol pts

Source: Derivasys Research — structured data

09 · 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.

0.7d

Smile rotation

22AUG26, +13.89 vol pts
1.7d

Smile rotation

23AUG26, +5.38 vol pts

10 · Volatility term structure

Today against the previous 24-hour snapshot.

Only fixed tenors bracketed by listed expiries at both snapshots are charted. The listed-expiry table preserves the observable exchange maturities underneath those interpolated points.

36.7%38.7%40.8%42.8%44.8%1W2W1M3M6M9M1Y
ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
22AUG26Expiry effect0.7 days77,149.79+4713.06 USD50.53%+5.46 vol pts+2.19 vol pts-0.33 vol pts
23AUG26Expiry effect1.7 days77,167.17+4720.57 USD40.39%+1.49 vol pts+0.98 vol pts-0.18 vol pts
24AUG262.7 days77,177.6+4739.27 USD41.46%+3.46 vol pts+1.82 vol pts+0.02 vol pts
28AUG266.7 days77,199.4+4723.51 USD44.28%+4.87 vol pts-0.34 vol pts+0.06 vol pts
4SEP2613.7 days77,267.2+4727.41 USD41.42%+4.04 vol pts+1.14 vol pts+0.46 vol pts
11SEP2620.7 days77,329.4+4725.71 USD40.76%+4.05 vol pts+0.62 vol pts+0.36 vol pts
25SEP2634.7 days77,453.81+4722.33 USD40.18%+2.36 vol pts+1.99 vol pts+0.65 vol pts
30OCT2669.7 days77,765.87+4725.97 USD40.71%+2.26 vol pts+1.32 vol pts+0.54 vol pts
25DEC26125.7 days78,265.16+4712.93 USD42.39%+1.76 vol pts+1.30 vol pts+0.28 vol pts
26MAR27216.7 days79,017.46+4749.39 USD42.63%+1.40 vol pts+2.03 vol pts+0.31 vol pts
25JUN27307.7 days79,769.76+4767.00 USD43.31%+1.03 vol pts+2.30 vol pts+0.28 vol pts

11 · 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.

22AUG26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
23AUG26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
24AUG26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
28AUG26parallel shift higher · rotation towards puts
-0.30k0.00k+0.30k
4SEP26parallel shift higher · rotation towards calls
-0.30k0.00k+0.30k
11SEP26parallel shift higher · rotation towards calls
-0.30k0.00k+0.30k
25SEP26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
30OCT26parallel shift higher · rotation towards calls
-0.30k0.00k+0.30k
25DEC26parallel shift higher · rotation towards calls
-0.30k0.00k+0.30k
26MAR27rotation towards calls
-0.30k0.00k+0.30k
25JUN27rotation towards calls
-0.30k0.00k+0.30k

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.

Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-08-20 16:00:00 UTC → 2026-08-21 16:00:00 UTC

Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.

Original report summary

Front-end ATM IV rose sharply, with 1W IV reaching 44.02%, close to seven-day realised volatility of 44.90% but well below the 24-hour rate of 74.18%; RR25 moved toward calls and BF25 increased.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: BTC 1W ATM IV 44.02% · Δ +4.73 vol pts

Skew: BTC 1W RR25 1.47 vol pts · Δ -0.23 vol pts

Wings: BTC 1W BF25 2.33 vol pts · Δ +0.09 vol pts

Vol

BTC 1W ATM IV 44.02% · Δ +4.73 vol ptspercentile rank 93.3% by absolute move · full history (n=119)

Skew

BTC 1W RR25 1.47 vol pts · Δ -0.23 vol ptspercentile rank 16.7% by absolute move · 30-day window (n=30)

Wings

BTC 1W BF25 2.33 vol pts · Δ +0.09 vol ptspercentile rank 50.0% by absolute move · 30-day window (n=30)

IV versus RV

BTC Unavailable

Unavailable readings: BTC IV versus RV. See the report’s data availability notes.

Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.

Historical move evidence

BTC 1W ATM IV: percentile rank 93.3% by absolute move · full history (n=119)

BTC 1W RR25: percentile rank 16.7% by absolute move · 30-day window (n=30)

BTC 1W BF25: percentile rank 50.0% by absolute move · 30-day window (n=30)

12 · Technical appendix

Model parameters and normalized Greeks.

These diagnostics preserve the fitted-surface audit trail without competing with the main market story.

Show SVI parameter changes and normalized Greeks

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 25SEP26.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
22AUG26+0.02160-0.03460+0.09360+0.04210-0.02600rotation towards calls, wing steepening
23AUG26+0.00570-0.01290+0.04350+0.02030+0.00690rotation towards calls, wing steepening
24AUG26+0.01950-0.02310+0.03040+0.00630-0.03750rotation towards calls, wing steepening
28AUG26-0.03770+0.02070-0.13350-0.10290+0.13730parallel shift higher, rotation towards puts
4SEP26+0.03560-0.01250-0.02230-0.01000-0.12830parallel shift higher, rotation towards calls
11SEP26+0.02980-0.01080-0.02080-0.01030-0.10030parallel shift higher, rotation towards calls
25SEP26+0.04550-0.01060-0.01950-0.02030-0.18610rotation towards calls, wing steepening
30OCT26+0.02260+0.00250+0.12910+0.08000-0.11040parallel shift higher, rotation towards calls
25DEC26+0.00990-0.01500+0.24630+0.20980-0.01710parallel shift higher, rotation towards calls
26MAR27+0.03250-0.01670+0.23400+0.17290-0.07610rotation towards calls
25JUN27+0.06760-0.04780+0.27300+0.26530-0.11660rotation towards calls

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.

Highest Vega25JUN27, 286.456553 USD / vol pt
Highest Gamma22AUG26, 0.000239 1 / USD
Highest Theta Decay22AUG26, -498.468344 USD / day
Highest Vanna25JUN27, 0.001796 delta / vol pt
Highest Volga25JUN27, -26.14415 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
BTCUnavailableUnavailablenot recorded / not recorded requirednot recorded / not recorded maximum

Thresholds are asset-specific policies recorded in this edition. Each window is assessed independently; returns spanning gaps are excluded. Partial estimates may miss volatility during gaps.

RV coverage and methodology

BTC · Unavailable · Surface cutoff 21 Aug 2026, 16:00:00 UTC · 7D coverage not recorded / not recorded required · largest 7D gap not recorded / not recorded maximum · maximum gap not recorded. RV suppressed — valid 7D coverage was not recorded. Full 7D coverage policy was not recorded.

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
21 Aug 2026, 16:00 UTC
Comparison snapshot
20 Aug 2026, 16:00 UTC
Source
Derivasys proprietary historical SVI surface and canonical BTC index databases
Realised volatility
Annualised root-mean-square of one-minute canonical BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot.
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
Catalyst policy
Only sufficiently relevant, reliably sourced events are shown; otherwise no catalyst is assigned.

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