01 · Options Market Read
What the volatility surface did.
1W ATM IV rose 3.22 volatility points to 45.85%, a notable move at the 84th percentile. At the cutoff, realised volatility measured 58.95% over 24 hours, 56.77% over seven days and 34.90% over 30 days. Front-end ATM IV averaged 43.07%, +1.47 points from the prior snapshot, while the long end averaged 42.31%, +0.72 points. The 1Y-minus-1W ATM slope flattened 2.44 points to -3.36 points. 1M RR25 moved 2.03 volatility points toward calls to 2.83%, leaving calls richer than puts. 1Y BF25 rose 0.51 volatility points to 2.81%. The nearest eligible forward, 28AUG26, rose $2,869.86 (+3.72%) to $79,961.07. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Catalyst check
24 Aug 2026, 09:00 UTC to 25 Aug 2026, 09:00 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.
20 canonical events scanned through the news MCP across 10 publishers. 20 fell inside the report window; 20 were BTC-tagged; 2 passed the final threshold; 2 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
At the 09:00 UTC cutoff, 1W ATM IV was 45.85%, 10.92 volatility points below seven-day realised volatility of 56.77%; 24-hour realised volatility was 58.95% and 30-day realised volatility was 34.90%.
Front-end ATM IV increased, averaging +1.47 volatility points to 43.07% across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.72 volatility points to 42.31% across 6M and 1Y.
RR25 moved towards calls, averaging +1.38 volatility points to 2.00% across the six headline tenors.
BF25 increased, averaging +0.14 volatility points to 2.87% across the six headline tenors.
The largest standard-tenor ATM IV move was +3.22 volatility points at 1W, to 45.85%.
Universe roll: added 29AUG26; removed 25AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
25SEP26, +3.41 vol ptsLargest standard-tenor ATM IV move
1W, +3.22 vol ptsLargest standard-tenor RR25 move
1M, +2.03 vol ptsLargest standard-tenor BF25 move
1Y, +0.51 vol ptsLargest eligible SVI sigma move
28AUG26, +0.1963 paramLargest eligible SVI rho move
25DEC26, +0.1282 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 45.85 | 42.63 | +3.22 vol pts | +7.55% |
| 2W | 42.25 | 41.41 | +0.84 vol pts | +2.03% |
| 1M | 41.12 | 40.76 | +0.36 vol pts | +0.88% |
| 3M | 41.62 | 40.80 | +0.82 vol pts | +2.01% |
| 6M | 42.13 | 41.48 | +0.65 vol pts | +1.57% |
| 9M | 42.34 | 41.62 | +0.72 vol pts | +1.73% |
| 1Y | 42.49 | 41.71 | +0.78 vol pts | +1.87% |
06 · Risk reversals
RR25 skew moved most at 1M.
RR25 moved towards calls, averaging +1.38 volatility points to 2.00% 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 | 3.59 | 2.44 | +1.15 vol pts |
| 2W | 3.76 | 2.58 | +1.18 vol pts |
| 1M | 2.83 | 0.80 | +2.03 vol pts |
| 3M | 1.30 | -0.40 | +1.70 vol pts |
| 6M | 0.44 | -0.89 | +1.33 vol pts |
| 9M | 0.20 | -0.84 | +1.04 vol pts |
| 1Y | 0.09 | -0.78 | +0.87 vol pts |
07 · Butterflies
BF25 convexity changed most at 1Y.
BF25 increased, averaging +0.14 volatility points to 2.87% 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 | 2.89 | 2.96 | -0.07 vol pts |
| 2W | 2.98 | 3.02 | -0.04 vol pts |
| 1M | 2.93 | 2.98 | -0.05 vol pts |
| 3M | 2.86 | 2.64 | +0.22 vol pts |
| 6M | 2.74 | 2.47 | +0.27 vol pts |
| 9M | 2.76 | 2.38 | +0.38 vol pts |
| 1Y | 2.81 | 2.30 | +0.51 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
27AUG26, -5.22 vol ptsATM IV change
26AUG26, +3.09 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 |
|---|---|---|---|---|---|---|---|
| 26AUG26Expiry effect | 1.0 days | 79,908.2 | +2861.58 USD | 46.74% | +3.09 vol pts | -1.19 vol pts | -0.77 vol pts |
| 27AUG26Expiry effect | 2.0 days | 79,942.1 | +2861.35 USD | 46.26% | +2.35 vol pts | -2.14 vol pts | -0.50 vol pts |
| 28AUG26 | 3.0 days | 79,961.07 | +2869.86 USD | 46.39% | +2.47 vol pts | -0.91 vol pts | -0.35 vol pts |
| 4SEP26 | 10.0 days | 80,027.71 | +2857.93 USD | 43.49% | +1.48 vol pts | +0.70 vol pts | -0.12 vol pts |
| 11SEP26 | 17.0 days | 80,074.3 | +2838.07 USD | 41.71% | +0.79 vol pts | +1.58 vol pts | +0.02 vol pts |
| 25SEP26 | 31.0 days | 80,252.3 | +2859.34 USD | 41.10% | +0.36 vol pts | +2.13 vol pts | -0.07 vol pts |
| 30OCT26 | 66.0 days | 80,566.69 | +2893.79 USD | 41.04% | +0.99 vol pts | +1.90 vol pts | +0.14 vol pts |
| 25DEC26 | 122.0 days | 81,161.05 | +2881.85 USD | 42.00% | +0.66 vol pts | +1.60 vol pts | +0.30 vol pts |
| 26MAR27 | 213.0 days | 82,048.86 | +2923.63 USD | 42.17% | +0.65 vol pts | +1.25 vol pts | +0.25 vol pts |
| 25JUN27 | 304.0 days | 83,083.13 | +3072.98 USD | 42.40% | +0.74 vol pts | +0.98 vol pts | +0.44 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 25DEC26; the largest sigma change occurred at 28AUG26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 26AUG26 | -0.04330 | +0.01330 | +0.06040 | +0.06010 | +0.31730 | rotation towards puts, wing steepening |
| 27AUG26 | -0.03850 | +0.01930 | +0.05120 | +0.03000 | +0.21940 | rotation towards puts, wing steepening |
| 28AUG26 | -0.03740 | +0.01600 | +0.04320 | +0.01090 | +0.19630 | rotation towards puts, wing steepening |
| 4SEP26 | -0.01550 | +0.00690 | +0.04770 | +0.00480 | +0.07420 | rotation towards calls |
| 11SEP26 | -0.01640 | +0.01420 | +0.01320 | -0.02160 | +0.05510 | rotation towards calls |
| 25SEP26 | -0.01270 | +0.00660 | +0.04760 | -0.01500 | +0.04750 | rotation towards calls |
| 30OCT26 | -0.00960 | +0.01580 | -0.01650 | -0.04940 | +0.00470 | rotation towards calls |
| 25DEC26 | -0.03310 | +0.01980 | +0.12820 | +0.06550 | +0.04370 | rotation towards calls |
| 26MAR27 | +0.01590 | +0.00220 | +0.03760 | -0.00450 | -0.05790 | rotation towards calls |
| 25JUN27 | +0.03620 | +0.00270 | +0.07320 | +0.04640 | -0.12520 | 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
- 25 Aug 2026, 09:00 UTC
- Comparison snapshot
- 24 Aug 2026, 09:00 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
- News window
- 24 Aug 2026, 09:00 UTC to 25 Aug 2026, 09:00 UTC
- Feeds queried
- 1
- Publishers queried
- 10
- Feed articles scanned
- 20
- Inside report window
- 20
- Passed source rules
- 20
- Passed final threshold
- 2
- Event clusters displayed
- 2
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