01 · Options Market Read
What the volatility surface did.
2W ATM IV rose 3.59 volatility points to 44.58%, a large move at the 93rd percentile. At the cutoff, realised volatility measured 46.03% over 24 hours, 54.15% over seven days and 33.80% over 30 days. Front-end ATM IV averaged 44.65%, +3.26 points from the prior snapshot, while the long end averaged 42.56%, +0.94 points. The 1Y-minus-1W ATM slope flattened 2.07 points to -3.76 points. 1W RR25 moved 2.69 volatility points toward calls to 3.72%, leaving calls richer than puts. 1W BF25 rose 0.43 volatility points to 3.02%. The nearest eligible forward, 27AUG26, rose $2,722.36 (+3.53%) to $79,946.37. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Catalyst check
23 Aug 2026, 15:33 UTC to 24 Aug 2026, 15:33 UTCRelevant context found; no confirmed catalyst
Relevant market events
2 events were retained after relevance scoring and event-level deduplication.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
22 canonical events scanned through the news MCP across 7 publishers. 22 fell inside the report window; 22 were BTC-tagged; 2 passed the final threshold; 2 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
At the 15:33 UTC cutoff, 1W ATM IV was 46.30%, 7.85 volatility points below seven-day realised volatility of 54.15%; 24-hour realised volatility was 46.03% and 30-day realised volatility was 33.80%.
Front-end ATM IV increased, averaging +3.26 volatility points to 44.65% across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.94 volatility points to 42.56% across 6M and 1Y.
RR25 moved towards calls, averaging +1.72 volatility points to 1.65% across the six headline tenors.
BF25 increased, averaging +0.21 volatility points to 2.76% across the six headline tenors.
The largest standard-tenor ATM IV move was +3.59 volatility points at 2W, to 44.58%.
Universe roll: no additions; removed 24AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, +5.43 vol ptsLargest standard-tenor ATM IV move
2W, +3.59 vol ptsLargest standard-tenor RR25 move
1W, +2.69 vol ptsLargest standard-tenor BF25 move
1W, +0.43 vol ptsLargest eligible SVI sigma move
27AUG26, -0.2508 paramLargest eligible SVI rho move
25JUN27, +0.1216 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 46.30 | 43.45 | +2.85 vol pts | +6.56% |
| 2W | 44.58 | 40.99 | +3.59 vol pts | +8.76% |
| 1M | 43.07 | 39.73 | +3.34 vol pts | +8.41% |
| 3M | 42.48 | 40.77 | +1.71 vol pts | +4.19% |
| 6M | 42.58 | 41.49 | +1.09 vol pts | +2.63% |
| 9M | 42.56 | 41.66 | +0.90 vol pts | +2.16% |
| 1Y | 42.54 | 41.76 | +0.78 vol pts | +1.87% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +1.72 volatility points to 1.65% 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 | 3.72 | 1.03 | +2.69 vol pts |
| 2W | 3.76 | 1.43 | +2.33 vol pts |
| 1M | 2.48 | 0.07 | +2.41 vol pts |
| 3M | 0.33 | -0.88 | +1.21 vol pts |
| 6M | -0.13 | -1.03 | +0.90 vol pts |
| 9M | -0.20 | -1.01 | +0.81 vol pts |
| 1Y | -0.25 | -1.06 | +0.81 vol pts |
07 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.21 volatility points to 2.76% 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 | 3.02 | 2.59 | +0.43 vol pts |
| 2W | 3.06 | 2.69 | +0.37 vol pts |
| 1M | 2.74 | 2.61 | +0.13 vol pts |
| 3M | 2.67 | 2.54 | +0.13 vol pts |
| 6M | 2.57 | 2.53 | +0.04 vol pts |
| 9M | 2.50 | 2.43 | +0.07 vol pts |
| 1Y | 2.49 | 2.34 | +0.15 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
25AUG26, +6.82 vol ptsATM IV change
26AUG26, +3.41 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 |
|---|---|---|---|---|---|---|---|
| 25AUG26Expiry effect | 0.7 days | 79,890.26 | +2708.12 USD | 54.20% | +5.93 vol pts | +1.04 vol pts | -0.12 vol pts |
| 26AUG26Expiry effect | 1.7 days | 79,926.99 | +2723.73 USD | 50.10% | +3.41 vol pts | +0.78 vol pts | +0.32 vol pts |
| 27AUG26 | 2.7 days | 79,946.37 | +2722.36 USD | 48.18% | +2.12 vol pts | -0.09 vol pts | +0.47 vol pts |
| 28AUG26 | 3.7 days | 79,955.28 | +2713.91 USD | 47.66% | +2.16 vol pts | +1.39 vol pts | +0.19 vol pts |
| 4SEP26 | 10.7 days | 80,042.47 | +2749.09 USD | 45.77% | +4.05 vol pts | +2.85 vol pts | +0.43 vol pts |
| 11SEP26 | 17.7 days | 80,090.2 | +2751.34 USD | 43.77% | +3.72 vol pts | +2.14 vol pts | +0.36 vol pts |
| 25SEP26 | 31.7 days | 80,261.09 | +2817.30 USD | 43.02% | +3.33 vol pts | +2.49 vol pts | +0.11 vol pts |
| 30OCT26 | 66.7 days | 80,565.24 | +2790.80 USD | 42.31% | +2.27 vol pts | +1.27 vol pts | +0.17 vol pts |
| 25DEC26 | 122.7 days | 81,172.3 | +2783.16 USD | 42.60% | +1.28 vol pts | +1.18 vol pts | +0.08 vol pts |
| 26MAR27 | 213.7 days | 82,007.99 | +2793.05 USD | 42.57% | +1.02 vol pts | +0.82 vol pts | +0.04 vol pts |
| 25JUN27 | 304.7 days | 82,953.37 | +2863.60 USD | 42.55% | +0.85 vol pts | +0.81 vol pts | +0.11 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 27AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 25AUG26 | +0.03050 | -0.03750 | +0.00760 | -0.00200 | -0.10140 | rotation towards calls, wing steepening |
| 26AUG26 | +0.03860 | -0.03560 | -0.04520 | -0.01750 | -0.18200 | rotation towards calls, wing steepening |
| 27AUG26 | +0.05060 | -0.03540 | -0.11510 | -0.03870 | -0.25080 | rotation towards puts, wing steepening |
| 28AUG26 | +0.05950 | -0.04400 | -0.07320 | -0.02050 | -0.22940 | rotation towards calls, wing steepening |
| 4SEP26 | +0.03880 | -0.02890 | -0.03030 | -0.01470 | -0.13420 | rotation towards calls |
| 11SEP26 | +0.04270 | -0.02490 | -0.05870 | -0.02020 | -0.14690 | rotation towards calls |
| 25SEP26 | +0.03330 | -0.01730 | -0.08870 | -0.06830 | -0.10390 | rotation towards calls |
| 30OCT26 | -0.03740 | +0.01820 | +0.07750 | +0.01030 | +0.09950 | rotation towards calls |
| 25DEC26 | -0.04650 | +0.02610 | +0.03640 | -0.02290 | +0.09710 | rotation towards calls |
| 26MAR27 | -0.06920 | +0.03110 | +0.04190 | -0.00190 | +0.13610 | parallel shift higher, rotation towards calls |
| 25JUN27 | -0.01660 | +0.00330 | +0.12160 | +0.10300 | +0.03920 | parallel shift higher |
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
- 24 Aug 2026, 15:33 UTC
- Comparison snapshot
- 23 Aug 2026, 15:33 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
- 23 Aug 2026, 15:33 UTC to 24 Aug 2026, 15:33 UTC
- Feeds queried
- 1
- Publishers queried
- 7
- Feed articles scanned
- 22
- Inside report window
- 22
- Passed source rules
- 22
- Passed final threshold
- 2
- Event clusters displayed
- 2
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