01 · Options Market Read
What the volatility surface did.
1Y ATM IV fell 1.62 volatility points to 41.95%, an exceptional move at the 100th percentile. At the cutoff, realised volatility measured 60.41% over 24 hours, 50.10% over seven days and 32.57% over 30 days. Front-end ATM IV averaged 41.71%, -0.89 points from the prior snapshot, while the long end averaged 41.70%, -1.40 points. The 1Y-minus-1W ATM slope flattened 0.37 points to -1.76 points. 2W RR25 moved 1.23 volatility points toward puts to 1.71%, leaving calls richer than puts. 2W BF25 rose 0.17 volatility points to 2.85%. The nearest eligible forward, 25AUG26, fell $506.86 (-0.65%) to $77,139.25. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Catalyst check
21 Aug 2026, 15:34 UTC to 22 Aug 2026, 15:34 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.
319 feed articles scanned across 13 feeds and 13 publishers. 38 fell inside the report window; 6 passed source relevance rules; 3 passed the final threshold; 1 event displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
At the 15:34 UTC cutoff, 1W ATM IV was 43.71%, 6.39 volatility points below seven-day realised volatility of 50.10%; 24-hour realised volatility was 60.41% and 30-day realised volatility was 32.57%.
Front-end ATM IV decreased, averaging -0.89 volatility points to 41.71% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -1.40 volatility points to 41.70% across 6M and 1Y.
RR25 moved towards puts, averaging -0.65 volatility points to -0.15% across the six headline tenors.
BF25 was broadly unchanged, averaging +0.03 volatility points to 2.66% across the six headline tenors.
The largest standard-tenor ATM IV move was -1.62 volatility points at 1Y, to 41.95%.
Universe roll: added 26AUG26; removed 22AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
25AUG26, -9.29 vol ptsLargest standard-tenor ATM IV move
1Y, -1.62 vol ptsLargest standard-tenor RR25 move
2W, -1.23 vol ptsLargest eligible SVI rho move
30OCT26, -0.3080 paramLargest standard-tenor BF25 move
2W, +0.17 vol ptsLargest eligible SVI sigma move
11SEP26, -0.1472 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 43.71 | 44.96 | -1.25 vol pts | -2.78% |
| 2W | 41.29 | 42.20 | -0.91 vol pts | -2.16% |
| 1M | 40.12 | 40.62 | -0.50 vol pts | -1.23% |
| 3M | 40.74 | 41.64 | -0.90 vol pts | -2.16% |
| 6M | 41.46 | 42.63 | -1.17 vol pts | -2.74% |
| 9M | 41.74 | 43.15 | -1.41 vol pts | -3.27% |
| 1Y | 41.95 | 43.57 | -1.62 vol pts | -3.72% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -0.65 volatility points to -0.15% 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 | 0.66 | 1.52 | -0.86 vol pts |
| 2W | 1.71 | 2.94 | -1.23 vol pts |
| 1M | 0.52 | 0.88 | -0.36 vol pts |
| 3M | -1.05 | -0.87 | -0.18 vol pts |
| 6M | -1.29 | -0.83 | -0.46 vol pts |
| 9M | -1.37 | -0.75 | -0.62 vol pts |
| 1Y | -1.47 | -0.66 | -0.81 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging +0.03 volatility points to 2.66% 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 | 2.46 | 2.38 | +0.08 vol pts |
| 2W | 2.85 | 2.68 | +0.17 vol pts |
| 1M | 2.80 | 2.86 | -0.06 vol pts |
| 3M | 2.69 | 2.71 | -0.02 vol pts |
| 6M | 2.65 | 2.57 | +0.08 vol pts |
| 9M | 2.57 | 2.55 | +0.02 vol pts |
| 1Y | 2.49 | 2.56 | -0.07 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
23AUG26, -11.09 vol ptsSmile rotation
24AUG26, -6.87 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 |
|---|---|---|---|---|---|---|---|
| 23AUG26Expiry effect | 0.7 days | 77,085.96 | -535.01 USD | 38.84% | -3.28 vol pts | -2.83 vol pts | -0.45 vol pts |
| 24AUG26Expiry effect | 1.7 days | 77,118.5 | -512.44 USD | 42.97% | +0.52 vol pts | -2.04 vol pts | +0.04 vol pts |
| 25AUG26 | 2.7 days | 77,139.25 | -506.86 USD | 45.56% | -0.25 vol pts | -2.77 vol pts | +0.09 vol pts |
| 28AUG26 | 5.7 days | 77,186.39 | -480.11 USD | 44.76% | -0.45 vol pts | -1.26 vol pts | -0.08 vol pts |
| 4SEP26 | 12.7 days | 77,240.99 | -494.44 USD | 41.59% | -0.70 vol pts | -1.24 vol pts | +0.18 vol pts |
| 11SEP26 | 19.7 days | 77,274.21 | -508.87 USD | 40.44% | -0.55 vol pts | -0.40 vol pts | +0.28 vol pts |
| 25SEP26 | 33.7 days | 77,410.72 | -496.77 USD | 40.05% | -0.46 vol pts | -0.25 vol pts | -0.15 vol pts |
| 30OCT26 | 68.7 days | 77,715.74 | -516.33 USD | 40.09% | -0.69 vol pts | +0.23 vol pts | -0.03 vol pts |
| 25DEC26 | 124.7 days | 78,329.24 | -385.77 USD | 41.27% | -1.13 vol pts | -0.52 vol pts | -0.02 vol pts |
| 26MAR27 | 215.7 days | 79,193.94 | -296.47 USD | 41.52% | -1.19 vol pts | -0.44 vol pts | +0.12 vol pts |
| 25JUN27 | 306.7 days | 80,101.72 | -137.20 USD | 41.83% | -1.51 vol pts | -0.71 vol pts | -0.01 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 30OCT26; the largest sigma change occurred at 11SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 23AUG26 | +0.01500 | -0.02120 | -0.09160 | -0.03690 | -0.04620 | rotation towards puts, wing steepening |
| 24AUG26 | +0.02050 | -0.01690 | -0.05580 | -0.02510 | -0.09090 | rotation towards puts, wing steepening |
| 25AUG26 | +0.03070 | -0.01690 | -0.09950 | -0.04840 | -0.13870 | rotation towards puts, wing steepening |
| 28AUG26 | +0.03500 | -0.02150 | -0.05560 | -0.02320 | -0.09960 | rotation towards puts, wing steepening |
| 4SEP26 | +0.03740 | -0.01570 | -0.08240 | -0.01900 | -0.14220 | rotation towards puts, wing steepening |
| 11SEP26 | +0.03340 | -0.00480 | -0.12530 | -0.05420 | -0.14720 | rotation towards puts, wing steepening |
| 25SEP26 | +0.01870 | -0.00560 | -0.19590 | -0.11780 | -0.05920 | rotation towards puts |
| 30OCT26 | -0.01960 | +0.03790 | -0.30800 | -0.25960 | +0.00120 | parallel shift lower |
| 25DEC26 | -0.05660 | +0.03240 | -0.02260 | -0.02580 | +0.08900 | parallel shift lower |
| 26MAR27 | +0.01620 | +0.00460 | -0.12460 | -0.12730 | -0.08400 | parallel shift lower |
| 25JUN27 | -0.04520 | +0.02330 | -0.12970 | -0.13670 | +0.03160 | 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
- 22 Aug 2026, 15:34 UTC
- Comparison snapshot
- 21 Aug 2026, 15:34 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
- News window
- 21 Aug 2026, 15:34 UTC to 22 Aug 2026, 15:34 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 319
- Inside report window
- 38
- Passed source rules
- 6
- Passed final threshold
- 3
- Event clusters displayed
- 1
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