Daily BTC options market report · 24-hour comparison

BTC front-end volatility retreats as options expiry approaches

Name: BTC options surface changes for 2026-08-26
Creator: Derivasys
License: https://www.derivasys.com/research-artifact-license/v1

Front-end ATM IV fell sharply, while relative put-side volatility increased modestly and implied volatility remained below seven-day realised volatility.

By Sean Gordon — Derivasys Research

Published 26 Aug 2026, 22:52 UTC · Snapshot 26 Aug 2026, 22:48 UTC

Snapshot · 26 Aug 2026, 22:48 UTC

BTCSpot-index 24h -0.27%1W ATM IV 38.76%1W RR25 +0.72 vol pts1W BF25 +2.30 vol pts1W IV − 7D RV Unavailable

BTC1W ATM IV 38.76%Spot-index 24h -0.27%

Full snapshot readings

BTCSpot-index 24h -0.27%1W ATM IV 38.76%1W RR25 +0.72 vol pts1W BF25 +2.30 vol pts1W IV − 7D RV Unavailable

02 · Options market read

What the volatility surface did.

6 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -4.76 volatility points, to 38.76%.

Derived directly from structured Derivasys surface data

Relevant context found; no confirmed catalyst

Relevant market events

2 relevant events were retained for the comparison window.

News collection was incomplete; the retained events do not establish full coverage.

Confidencelow causal confidence

News is presented as contextual association unless the structured evidence supports a stronger relationship.

Selected events

01
A massive $6.4 billion bitcoin options expiry on Friday could amplify volatilityCoinDesk · 08:01 UTC
broader crypto · neutral · low confidence
Selection methodology
Events are selected using relevance scoring and event-level deduplication.
Retained as news context; an options-market connection was not established.
02
Bitcoin holds $79,000, ether, solana slip as traders bank a week of gainsCoinDesk · 04:13 UTC
broader crypto · neutral · low confidence
Selection methodology
Events are selected using relevance scoring and event-level deduplication.
Retained as contemporaneous price context alongside Forward 29AUG26: -217.51 USD (-0.28%) to 78695.63 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.09%, ATM IV -0.34 points and RR25 -0.18 points; this is a timed association, not proof of causation.
Matched signals: Forward 29AUG26: -217.51 USD (-0.28%) to 78695.63 USD; ATM IV 1W: down 4.76 points to 38.76%

04 · Detailed analysis

What changed across the BTC volatility surface.

Implied versus realised

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

Front-end ATM IV decreased, averaging -3.82 volatility points to 38.50% across 1W, 2W and 1M.

Long end

Long-dated ATM IV decreased, averaging -0.39 volatility points to 42.50% across 6M and 1Y.

Skew

RR25 moved towards puts, averaging -1.58 volatility points to 0.22 volatility points across the six available headline tenors.

Convexity

BF25 decreased, averaging -0.38 volatility points to 2.57 volatility points across the six available headline tenors.

Largest standard-tenor move

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.

05 · Standard-tenor ranking

Largest surface events

Largest eligible smile rotation

4SEP26, -4.89 vol pts

Largest standard-tenor ATM IV move

1W, -4.76 vol pts

Largest standard-tenor RR25 move

2W, -2.58 vol pts

Largest standard-tenor BF25 move

2W, -0.66 vol pts

Largest eligible SVI sigma move

11SEP26, +0.2220 param

Largest eligible SVI rho move

11SEP26, +0.1346 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

Tenor	Current (vol %)	Comparison snapshot (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%

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 2W.

RR25 moved towards puts, averaging -1.58 volatility points to 0.22 volatility points across the six available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

Tenor	Current (vol pts)	Comparison snapshot (vol pts)	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

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 2W.

BF25 decreased, averaging -0.38 volatility points to 2.57 volatility points across the six available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

Tenor	Current (vol pts)	Comparison snapshot (vol pts)	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

Source: Derivasys Research — structured data

09 · 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.

0.4d

Smile rotation

27AUG26, +13.38 vol pts

1.4d

ATM IV change

28AUG26, -10.18 vol pts

10 · Volatility term structure

Today against the previous 24-hour snapshot.

Only fixed tenors bracketed by listed expiries at both snapshots are charted. The listed-expiry table preserves the observable exchange maturities underneath those interpolated points.

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

11 · 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.

27AUG26rotation towards calls · wing steepening

28AUG26wing steepening

29AUG26rotation towards puts · wing steepening

4SEP26rotation towards puts · wing steepening

11SEP26rotation towards puts

25SEP26rotation towards puts

30OCT26rotation towards puts

25DEC26parallel shift lower · rotation towards puts

26MAR27parallel shift lower

25JUN27parallel shift lower

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.

27AUG26

28AUG26

29AUG26

4SEP26

11SEP26

25SEP26

30OCT26

25DEC26

26MAR27

25JUN27

-0.30kATM+0.30k

Evidence, source data and methodology

Report comparison baseline → current snapshot: 2026-08-25 22:48:00 UTC → 2026-08-26 22:48:00 UTC

Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.

Original report summary

Front-end ATM IV fell sharply, while relative put-side volatility increased modestly and implied volatility remained below seven-day realised volatility.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: BTC 1W ATM IV 38.76% · Δ -4.76 vol pts

Skew: BTC 1W RR25 0.72 vol pts · Δ -2.44 vol pts

Wings: BTC 1W BF25 2.30 vol pts · Δ -0.60 vol pts

Vol

BTC 1W ATM IV 38.76% · Δ -4.76 vol ptspercentile rank 93.5% by absolute move · full history (n=124)

Skew

BTC 1W RR25 0.72 vol pts · Δ -2.44 vol ptspercentile rank 96.7% by absolute move · 30-day window (n=30)

Wings

BTC 1W BF25 2.30 vol pts · Δ -0.60 vol ptspercentile rank 96.7% by absolute move · 30-day window (n=30)

IV versus RV

BTC Unavailable

Unavailable readings: BTC IV versus RV. See the report’s data availability notes.

Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.

Historical move evidence

BTC 1W ATM IV: percentile rank 93.5% by absolute move · full history (n=124)

BTC 1W RR25: percentile rank 96.7% by absolute move · 30-day window (n=30)

BTC 1W BF25: percentile rank 96.7% by absolute move · 30-day window (n=30)

12 · Technical appendix

Model parameters and normalized Greeks.

These diagnostics preserve the fitted-surface audit trail without competing with the main market story.

Show SVI parameter changes and normalized Greeks

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

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.

Highest Vega25JUN27, 291.478646 USD / vol pt

Highest Gamma27AUG26, 0.000442 1 / USD

Highest Theta Decay27AUG26, -469.429239 USD / day

Highest Vanna25JUN27, 0.001781 delta / vol pt

Highest Volga25JUN27, -25.874021 USD / vol pt²

7D realised volatility · data quality

Asset	Recorded RV	Status	Coverage / required	Longest gap / maximum
BTC	Unavailable	Unavailable	not recorded / not recorded required	not recorded / not recorded maximum

Thresholds are asset-specific policies recorded in this edition. Each window is assessed independently; returns spanning gaps are excluded. Partial estimates may miss volatility during gaps.

RV coverage and methodology

BTC · Unavailable · Surface cutoff 26 Aug 2026, 22:48:00 UTC · 7D coverage not recorded / not recorded required · largest 7D gap not recorded / not recorded maximum · maximum gap not recorded. RV suppressed — valid 7D coverage was not recorded. Full 7D coverage policy was not recorded.

Source data JSON

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
Catalyst policy: Only sufficiently relevant, reliably sourced events are shown; otherwise no catalyst is assigned.

Continue through Derivasys

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What the volatility surface did.

Relevant market events

What changed across the BTC volatility surface.

Largest surface events

Standard-tenor ATM implied volatility.

RR25 skew moved most at 2W.

BF25 convexity changed most at 2W.

Near-settlement moves, shown with context.

Today against the previous 24-hour snapshot.

Reconstructed SVI smiles for every common expiry.

Surface movement heatmap

What matters now

Vol

Skew

Wings

IV versus RV

Model parameters and normalized Greeks.

Daily movement in a, b, rho, m and sigma.

Where normalized model Greek intensity is highest.

7D realised volatility · data quality

Generated from measured Derivasys surface data.

From today’s report to the underlying methods.

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