01 · Market Read
The session in context.
1W ATM IV rose 2.25 volatility points to 41.57%, a routine move at the 67th percentile. At the cutoff, realised volatility measured 38.69% over 24 hours, 51.94% over seven days and 35.64% over 30 days. Front-end ATM IV averaged 40.94%, +1.86 points from the prior snapshot, while the long end averaged 42.67%, +0.28 points. The 1Y-minus-1W ATM slope flattened 1.76 points to 1.76 points. 2W RR25 moved 1.32 volatility points toward calls to 2.52%, leaving calls richer than puts. 1W BF25 rose 0.20 volatility points to 2.50%. The nearest eligible forward, 30AUG26, rose $2,462.09 (+3.16%) to $80,443.35. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
26 Aug 2026, 15:35 UTC to 27 Aug 2026, 15:35 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 12 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 15:35 UTC cutoff, 1W ATM IV was 41.57%, 10.37 volatility points below seven-day realised volatility of 51.94%; 24-hour realised volatility was 38.69% and 30-day realised volatility was 35.64%.
Front-end ATM IV increased, averaging +1.86 volatility points to 40.94% across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.28 volatility points to 42.67% across 6M and 1Y.
RR25 moved towards calls, averaging +0.74 volatility points to 1.22% across the six headline tenors.
BF25 was broadly unchanged, averaging +0.02 volatility points to 2.57% across the six headline tenors.
The largest standard-tenor ATM IV move was +2.25 volatility points at 1W, to 41.57%.
Universe roll: added 18SEP26, 27NOV26, 31AUG26; removed 27AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
30AUG26, +3.58 vol ptsLargest standard-tenor ATM IV move
1W, +2.25 vol ptsLargest standard-tenor RR25 move
2W, +1.32 vol ptsLargest standard-tenor BF25 move
1W, +0.20 vol ptsLargest eligible SVI sigma move
25DEC26, -0.1181 paramLargest eligible SVI rho move
25DEC26, -0.0711 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 41.57 | 39.32 | +2.25 vol pts | +5.72% |
| 2W | 40.89 | 39.04 | +1.85 vol pts | +4.74% |
| 1M | 40.37 | 38.88 | +1.49 vol pts | +3.83% |
| 3M | 40.78 | 40.66 | +0.12 vol pts | +0.30% |
| 6M | 42.01 | 41.93 | +0.08 vol pts | +0.19% |
| 9M | 42.80 | 42.48 | +0.32 vol pts | +0.75% |
| 1Y | 43.33 | 42.84 | +0.49 vol pts | +1.14% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.74 volatility points to 1.22% 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 | 1.80 | 1.14 | +0.66 vol pts |
| 2W | 2.52 | 1.20 | +1.32 vol pts |
| 1M | 1.18 | 0.34 | +0.84 vol pts |
| 3M | 0.65 | -0.25 | +0.90 vol pts |
| 6M | 0.51 | -0.03 | +0.54 vol pts |
| 9M | 0.60 | 0.28 | +0.32 vol pts |
| 1Y | 0.63 | 0.47 | +0.16 vol pts |
07 · Butterflies
BF25 convexity changed most at 1W.
BF25 was broadly unchanged, averaging +0.02 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 | 2.50 | 2.30 | +0.20 vol pts |
| 2W | 2.36 | 2.26 | +0.10 vol pts |
| 1M | 2.34 | 2.28 | +0.06 vol pts |
| 3M | 2.43 | 2.55 | -0.12 vol pts |
| 6M | 2.73 | 2.79 | -0.06 vol pts |
| 9M | 2.94 | 3.00 | -0.06 vol pts |
| 1Y | 3.07 | 3.13 | -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
28AUG26, +6.21 vol ptsSmile rotation
29AUG26, +6.12 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 |
|---|---|---|---|---|---|---|---|
| 28AUG26Expiry effect | 0.7 days | 80,422.67 | +2456.62 USD | 40.21% | +3.32 vol pts | +1.45 vol pts | +0.07 vol pts |
| 29AUG26Expiry effect | 1.7 days | 80,426.1 | +2456.06 USD | 46.50% | +5.34 vol pts | +1.65 vol pts | +0.39 vol pts |
| 30AUG26 | 2.7 days | 80,443.35 | +2462.09 USD | 39.83% | +2.05 vol pts | +0.88 vol pts | +0.16 vol pts |
| 4SEP26 | 7.7 days | 80,476.85 | +2457.68 USD | 41.78% | +2.14 vol pts | +0.67 vol pts | +0.17 vol pts |
| 11SEP26 | 14.7 days | 80,519.28 | +2454.01 USD | 40.84% | +1.91 vol pts | +1.35 vol pts | +0.09 vol pts |
| 25SEP26 | 28.7 days | 80,629.36 | +2451.52 USD | 40.42% | +1.55 vol pts | +0.85 vol pts | +0.05 vol pts |
| 30OCT26 | 63.7 days | 81,034.98 | +2483.71 USD | 39.80% | +0.44 vol pts | +1.13 vol pts | -0.01 vol pts |
| 25DEC26 | 119.7 days | 81,641.33 | +2443.83 USD | 41.39% | -0.03 vol pts | +0.60 vol pts | -0.10 vol pts |
| 26MAR27 | 210.7 days | 82,522.58 | +2435.96 USD | 42.17% | +0.10 vol pts | +0.53 vol pts | -0.05 vol pts |
| 25JUN27 | 301.7 days | 83,548.68 | +2455.39 USD | 43.00% | +0.38 vol pts | +0.26 vol pts | -0.06 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 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 28AUG26 | -0.01100 | +0.00950 | +0.04140 | +0.01260 | +0.05970 | rotation towards calls, wing steepening |
| 29AUG26 | +0.00620 | -0.00450 | +0.04390 | +0.01750 | -0.03280 | rotation towards calls, wing steepening |
| 30AUG26 | +0.00790 | -0.00640 | +0.06060 | +0.03080 | -0.03850 | rotation towards calls, wing steepening |
| 4SEP26 | +0.00050 | -0.00060 | +0.02890 | +0.01340 | -0.00470 | rotation towards calls, wing steepening |
| 11SEP26 | +0.00380 | -0.00550 | +0.02690 | +0.00460 | -0.00660 | rotation towards calls |
| 25SEP26 | +0.01740 | -0.01520 | +0.00910 | +0.00400 | -0.04640 | rotation towards calls |
| 30OCT26 | +0.03680 | -0.02140 | -0.05020 | -0.02570 | -0.11240 | rotation towards calls |
| 25DEC26 | +0.05980 | -0.02710 | -0.07110 | -0.06440 | -0.11810 | rotation towards calls |
| 26MAR27 | +0.05360 | -0.02540 | -0.04850 | -0.06120 | -0.08820 | limited movement |
| 25JUN27 | +0.07490 | -0.03520 | -0.06140 | -0.06480 | -0.11660 | 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
- 27 Aug 2026, 15:35 UTC
- Comparison snapshot
- 26 Aug 2026, 15:35 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
- 26 Aug 2026, 15:35 UTC to 27 Aug 2026, 15:35 UTC
- Feeds queried
- 1
- Publishers queried
- 12
- Feed articles scanned
- 25
- Inside report window
- 25
- Passed source rules
- 25
- Passed final threshold
- 2
- Event clusters displayed
- 2
Continue through Derivasys