01 · Options Market Read
What the volatility surface did.
1W RR25 moved 0.76 volatility points toward calls to 1.31%, leaving calls richer than puts; this was a routine move at the 53rd percentile. At the cutoff, realised volatility measured 36.80% over 24 hours, 51.93% over seven days and 32.86% over 30 days. Front-end ATM IV averaged 41.48%, -0.14 points from the prior snapshot, while the long end averaged 41.69%, -0.04 points. The 1Y-minus-1W ATM slope flattened 0.14 points to -1.77 points. 1M ATM IV fell 0.24 volatility points to 39.86%. 3M BF25 fell 0.17 volatility points to 2.52%. The nearest eligible forward, 26AUG26, rose $200.31 (+0.26%) to $77,192.72. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Catalyst check
22 Aug 2026, 15:16 UTC to 23 Aug 2026, 15:16 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.
324 feed articles scanned across 13 feeds and 13 publishers. 30 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.
At the 15:16 UTC cutoff, 1W ATM IV was 43.57%, 8.36 volatility points below seven-day realised volatility of 51.93%; 24-hour realised volatility was 36.80% and 30-day realised volatility was 32.86%.
Front-end ATM IV decreased, averaging -0.14 volatility points to 41.48% across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging -0.04 volatility points to 41.69% across 6M and 1Y.
RR25 moved towards calls, averaging +0.27 volatility points to 0.03% across the six headline tenors.
BF25 was broadly unchanged, averaging -0.09 volatility points to 2.55% across the six headline tenors.
The largest standard-tenor ATM IV move was -0.24 volatility points at 1M, to 39.86%.
Universe roll: added 27AUG26; removed 23AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
26AUG26, +3.66 vol ptsLargest standard-tenor RR25 move
1W, +0.76 vol ptsLargest standard-tenor ATM IV move
1M, -0.24 vol ptsLargest standard-tenor BF25 move
3M, -0.17 vol ptsLargest eligible SVI sigma move
26AUG26, -0.0950 paramLargest eligible SVI rho move
26AUG26, +0.0535 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 43.57 | 43.62 | -0.05 vol pts | -0.11% |
| 2W | 41.01 | 41.14 | -0.13 vol pts | -0.32% |
| 1M | 39.86 | 40.10 | -0.24 vol pts | -0.60% |
| 3M | 40.85 | 40.75 | +0.10 vol pts | +0.25% |
| 6M | 41.57 | 41.46 | +0.11 vol pts | +0.27% |
| 9M | 41.71 | 41.76 | -0.05 vol pts | -0.12% |
| 1Y | 41.80 | 41.99 | -0.19 vol pts | -0.45% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.27 volatility points to 0.03% 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 | 1.31 | 0.55 | +0.76 vol pts |
| 2W | 1.67 | 1.46 | +0.21 vol pts |
| 1M | -0.02 | 0.38 | -0.40 vol pts |
| 3M | -0.84 | -1.11 | +0.27 vol pts |
| 6M | -0.96 | -1.30 | +0.34 vol pts |
| 9M | -0.94 | -1.35 | +0.41 vol pts |
| 1Y | -0.99 | -1.41 | +0.42 vol pts |
07 · Butterflies
BF25 convexity changed most at 3M.
BF25 was broadly unchanged, averaging -0.09 volatility points to 2.55% 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 | 2.59 | 2.45 | +0.14 vol pts |
| 2W | 2.67 | 2.80 | -0.13 vol pts |
| 1M | 2.66 | 2.80 | -0.14 vol pts |
| 3M | 2.52 | 2.69 | -0.17 vol pts |
| 6M | 2.50 | 2.66 | -0.16 vol pts |
| 9M | 2.44 | 2.55 | -0.11 vol pts |
| 1Y | 2.37 | 2.47 | -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
24AUG26, +9.80 vol ptsSmile rotation
25AUG26, +6.65 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 |
|---|---|---|---|---|---|---|---|
| 24AUG26Expiry effect | 0.7 days | 77,155.16 | +196.50 USD | 50.95% | +8.68 vol pts | +1.68 vol pts | -0.06 vol pts |
| 25AUG26Expiry effect | 1.7 days | 77,173 | +193.73 USD | 49.61% | +4.33 vol pts | +1.48 vol pts | +0.06 vol pts |
| 26AUG26 | 2.7 days | 77,192.72 | +200.31 USD | 46.83% | +2.04 vol pts | +0.99 vol pts | +0.23 vol pts |
| 28AUG26 | 4.7 days | 77,233.63 | +204.55 USD | 45.67% | +0.95 vol pts | +0.46 vol pts | +0.16 vol pts |
| 4SEP26 | 11.7 days | 77,281.95 | +211.05 USD | 41.78% | +0.40 vol pts | +0.52 vol pts | -0.08 vol pts |
| 11SEP26 | 18.7 days | 77,325.5 | +189.31 USD | 40.01% | -0.43 vol pts | -0.22 vol pts | -0.20 vol pts |
| 25SEP26 | 32.7 days | 77,434.57 | +178.10 USD | 39.84% | -0.19 vol pts | -0.35 vol pts | -0.13 vol pts |
| 30OCT26 | 67.7 days | 77,761.26 | +184.07 USD | 40.10% | +0.02 vol pts | +0.39 vol pts | -0.13 vol pts |
| 25DEC26 | 123.7 days | 78,363.86 | +184.27 USD | 41.42% | +0.12 vol pts | +0.20 vol pts | -0.20 vol pts |
| 26MAR27 | 214.7 days | 79,209.06 | +180.91 USD | 41.62% | +0.10 vol pts | +0.40 vol pts | -0.14 vol pts |
| 25JUN27 | 305.7 days | 80,072.7 | +111.46 USD | 41.75% | -0.11 vol pts | +0.42 vol pts | -0.12 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 26AUG26; the largest sigma change occurred at 26AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 24AUG26 | +0.01090 | -0.02200 | +0.06860 | +0.03290 | +0.00790 | rotation towards calls, wing steepening |
| 25AUG26 | +0.00430 | -0.00880 | +0.08490 | +0.04540 | +0.00530 | rotation towards calls, wing steepening |
| 26AUG26 | +0.02260 | -0.01510 | +0.05350 | +0.03380 | -0.09500 | rotation towards calls, wing steepening |
| 28AUG26 | +0.01430 | -0.00740 | +0.03110 | +0.02770 | -0.05820 | rotation towards calls, wing steepening |
| 4SEP26 | -0.00320 | -0.00260 | +0.02680 | +0.00880 | +0.02150 | rotation towards calls |
| 11SEP26 | -0.01140 | +0.00180 | +0.01080 | -0.00280 | +0.04890 | parallel shift lower |
| 25SEP26 | -0.00460 | -0.00560 | +0.04090 | +0.02560 | +0.03140 | limited movement |
| 30OCT26 | +0.03600 | -0.02840 | -0.01220 | +0.00420 | -0.06670 | limited movement |
| 25DEC26 | +0.04900 | -0.03580 | -0.01100 | +0.00190 | -0.06450 | limited movement |
| 26MAR27 | +0.05610 | -0.03530 | +0.00780 | +0.00450 | -0.06760 | limited movement |
| 25JUN27 | +0.05510 | -0.02550 | -0.05230 | -0.07230 | -0.07350 | 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
- 23 Aug 2026, 15:16 UTC
- Comparison snapshot
- 22 Aug 2026, 15:16 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
- 22 Aug 2026, 15:16 UTC to 23 Aug 2026, 15:16 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 324
- Inside report window
- 30
- Passed source rules
- 4
- Passed final threshold
- 0
- Event clusters displayed
- 0
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