01 · Market Read
The session in context.
1W ATM IV fell 4.76 volatility points to 38.76%, a large move at the 94th percentile. At the cutoff, realised volatility measured 37.28% over 24 hours, 53.95% over seven days and 35.51% over 30 days. Front-end ATM IV averaged 38.50%, -3.82 points from the prior snapshot, while the long end averaged 42.50%, -0.39 points. The 1Y-minus-1W ATM slope steepened 4.82 points to 4.44 points. 2W RR25 moved 2.58 volatility points toward puts to 0.59%, leaving calls richer than puts. 2W BF25 fell 0.66 volatility points to 2.25%. The nearest eligible forward, 29AUG26, fell $217.51 (-0.28%) to $78,695.63. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
25 Aug 2026, 22:48 UTC to 26 Aug 2026, 22:48 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.
25 canonical events scanned through the news MCP across 10 publishers. 25 fell inside the report window; 25 were BTC-tagged; 2 passed the final threshold; 2 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
At the 22:48 UTC cutoff, 1W ATM IV was 38.76%, 15.19 volatility points below seven-day realised volatility of 53.95%; 24-hour realised volatility was 37.28% and 30-day realised volatility was 35.51%.
Front-end ATM IV decreased, averaging -3.82 volatility points to 38.50% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.39 volatility points to 42.50% across 6M and 1Y.
RR25 moved towards puts, averaging -1.58 volatility points to 0.22% across the six headline tenors.
BF25 decreased, averaging -0.38 volatility points to 2.57% across the six headline tenors.
The largest standard-tenor ATM IV move was -4.76 volatility points at 1W, to 38.76%.
Universe roll: added 30AUG26; removed 26AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, -4.89 vol ptsLargest standard-tenor ATM IV move
1W, -4.76 vol ptsLargest standard-tenor RR25 move
2W, -2.58 vol ptsLargest standard-tenor BF25 move
2W, -0.66 vol ptsLargest eligible SVI sigma move
11SEP26, +0.2220 paramLargest eligible SVI rho move
11SEP26, +0.1346 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 38.76 | 43.52 | -4.76 vol pts | -10.94% |
| 2W | 38.30 | 41.96 | -3.66 vol pts | -8.72% |
| 1M | 38.43 | 41.47 | -3.04 vol pts | -7.33% |
| 3M | 40.27 | 41.94 | -1.67 vol pts | -3.98% |
| 6M | 41.80 | 42.64 | -0.84 vol pts | -1.97% |
| 9M | 42.64 | 42.94 | -0.30 vol pts | -0.70% |
| 1Y | 43.20 | 43.14 | +0.06 vol pts | +0.14% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -1.58 volatility points to 0.22% 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 | 0.72 | 3.16 | -2.44 vol pts |
| 2W | 0.59 | 3.17 | -2.58 vol pts |
| 1M | 0.03 | 2.52 | -2.49 vol pts |
| 3M | -0.23 | 1.01 | -1.24 vol pts |
| 6M | -0.03 | 0.58 | -0.61 vol pts |
| 9M | 0.15 | 0.46 | -0.31 vol pts |
| 1Y | 0.24 | 0.34 | -0.10 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.38 volatility points to 2.57% 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 | 2.30 | 2.90 | -0.60 vol pts |
| 2W | 2.25 | 2.91 | -0.66 vol pts |
| 1M | 2.39 | 2.88 | -0.49 vol pts |
| 3M | 2.57 | 2.97 | -0.40 vol pts |
| 6M | 2.79 | 2.96 | -0.17 vol pts |
| 9M | 2.99 | 3.02 | -0.03 vol pts |
| 1Y | 3.10 | 3.04 | +0.06 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, +13.38 vol ptsATM IV change
28AUG26, -10.18 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 |
|---|---|---|---|---|---|---|---|
| 27AUG26Expiry effect | 0.4 days | 78,682.79 | -194.32 USD | 35.38% | -8.44 vol pts | +0.89 vol pts | -1.83 vol pts |
| 28AUG26Expiry effect | 1.4 days | 78,688.96 | -207.71 USD | 33.72% | -10.18 vol pts | -0.43 vol pts | -0.29 vol pts |
| 29AUG26 | 2.4 days | 78,695.63 | -217.51 USD | 41.15% | -5.18 vol pts | -2.23 vol pts | -0.65 vol pts |
| 4SEP26 | 8.4 days | 78,743.52 | -209.36 USD | 39.05% | -3.77 vol pts | -2.63 vol pts | -0.57 vol pts |
| 11SEP26 | 15.4 days | 78,794.77 | -194.28 USD | 38.20% | -3.50 vol pts | -2.55 vol pts | -0.69 vol pts |
| 25SEP26 | 29.4 days | 78,912.13 | -192.86 USD | 38.41% | -3.06 vol pts | -2.48 vol pts | -0.48 vol pts |
| 30OCT26 | 64.4 days | 79,263.16 | -202.61 USD | 38.85% | -2.41 vol pts | -1.77 vol pts | -0.47 vol pts |
| 25DEC26 | 120.4 days | 79,914.41 | -176.42 USD | 41.08% | -1.29 vol pts | -0.90 vol pts | -0.34 vol pts |
| 26MAR27 | 211.4 days | 80,809.18 | -150.87 USD | 41.99% | -0.73 vol pts | -0.54 vol pts | -0.12 vol pts |
| 25JUN27 | 302.4 days | 81,813.65 | -183.24 USD | 42.86% | -0.16 vol pts | -0.22 vol pts | 0.00 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 11SEP26; the largest sigma change occurred at 11SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 27AUG26 | +0.00160 | -0.04180 | +0.18970 | +0.11340 | +0.26400 | rotation towards calls, wing steepening |
| 28AUG26 | +0.02230 | -0.02390 | +0.10120 | +0.05050 | -0.13580 | wing steepening |
| 29AUG26 | -0.03340 | +0.02110 | +0.11410 | +0.06230 | +0.16570 | rotation towards puts, wing steepening |
| 4SEP26 | -0.04480 | +0.02840 | +0.07640 | +0.02420 | +0.19230 | rotation towards puts, wing steepening |
| 11SEP26 | -0.04630 | +0.01730 | +0.13460 | +0.05030 | +0.22200 | rotation towards puts |
| 25SEP26 | -0.04130 | +0.01790 | +0.13230 | +0.06380 | +0.18520 | rotation towards puts |
| 30OCT26 | -0.00440 | -0.00020 | -0.10130 | -0.04480 | +0.02240 | rotation towards puts |
| 25DEC26 | -0.06850 | +0.02330 | -0.01820 | -0.03250 | +0.15960 | parallel shift lower, rotation towards puts |
| 26MAR27 | -0.01690 | +0.00690 | -0.04750 | -0.03820 | +0.02630 | parallel shift lower |
| 25JUN27 | -0.00180 | +0.00110 | -0.00810 | -0.00020 | -0.00220 | 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
- 26 Aug 2026, 22:48 UTC
- Comparison snapshot
- 25 Aug 2026, 22:48 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
- 25 Aug 2026, 22:48 UTC to 26 Aug 2026, 22:48 UTC
- Feeds queried
- 1
- Publishers queried
- 10
- Feed articles scanned
- 25
- Inside report window
- 25
- Passed source rules
- 25
- Passed final threshold
- 2
- Event clusters displayed
- 2
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