01 · Market Read
The session in context.
1W ATM IV fell 5.26 volatility points to 36.57%, a large move at the 94th percentile. At the cutoff, realised volatility measured 39.25% over 24 hours, 46.18% over seven days and 35.91% over 30 days. Front-end ATM IV averaged 36.88%, -4.20 points from the prior snapshot, while the long end averaged 42.04%, -0.57 points. The 1Y-minus-1W ATM slope steepened 4.91 points to 6.31 points. 1M RR25 moved 1.72 volatility points toward puts to -0.81%, leaving puts richer than calls. 2W BF25 fell 0.58 volatility points to 1.82%. The nearest eligible forward, 31AUG26, fell $1,340.44 (-1.66%) to $79,347.79. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data02 · Relevant Market Context
27 Aug 2026, 15:29 UTC to 28 Aug 2026, 15:29 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 15:29 UTC cutoff, 1W ATM IV was 36.57%, 9.61 volatility points below seven-day realised volatility of 46.18%; 24-hour realised volatility was 39.25% and 30-day realised volatility was 35.91%.
Front-end ATM IV decreased, averaging -4.20 volatility points to 36.88% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.57 volatility points to 42.04% across 6M and 1Y.
RR25 moved towards puts, averaging -0.99 volatility points to 0.19% across the six headline tenors.
BF25 decreased, averaging -0.40 volatility points to 2.21% across the six headline tenors.
The largest standard-tenor ATM IV move was -5.26 volatility points at 1W, to 36.57%.
Universe roll: added 1SEP26; removed 28AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest standard-tenor ATM IV move
1W, -5.26 vol ptsLargest eligible smile rotation
25SEP26, -3.16 vol ptsLargest standard-tenor RR25 move
1M, -1.72 vol ptsLargest standard-tenor BF25 move
2W, -0.58 vol ptsLargest eligible SVI rho move
27NOV26, -0.1949 paramLargest eligible SVI sigma move
25JUN27, +0.1259 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 36.57 | 41.83 | -5.26 vol pts | -12.57% |
| 2W | 36.64 | 41.02 | -4.38 vol pts | -10.68% |
| 1M | 37.43 | 40.40 | -2.97 vol pts | -7.35% |
| 3M | 39.29 | 40.71 | -1.42 vol pts | -3.49% |
| 6M | 41.20 | 41.99 | -0.79 vol pts | -1.88% |
| 9M | 42.23 | 42.73 | -0.50 vol pts | -1.17% |
| 1Y | 42.88 | 43.23 | -0.35 vol pts | -0.81% |
06 · Risk reversals
RR25 skew moved most at 1M.
RR25 moved towards puts, averaging -0.99 volatility points to 0.19% 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 | 0.68 | 1.82 | -1.14 vol pts |
| 2W | 0.82 | 2.48 | -1.66 vol pts |
| 1M | -0.81 | 0.91 | -1.72 vol pts |
| 3M | -0.05 | 0.69 | -0.74 vol pts |
| 6M | 0.09 | 0.50 | -0.41 vol pts |
| 9M | 0.28 | 0.59 | -0.31 vol pts |
| 1Y | 0.40 | 0.65 | -0.25 vol pts |
07 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.40 volatility points to 2.21% 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 | 2.04 | 2.56 | -0.52 vol pts |
| 2W | 1.82 | 2.40 | -0.58 vol pts |
| 1M | 2.01 | 2.37 | -0.36 vol pts |
| 3M | 2.01 | 2.45 | -0.44 vol pts |
| 6M | 2.51 | 2.74 | -0.23 vol pts |
| 9M | 2.74 | 2.97 | -0.23 vol pts |
| 1Y | 2.86 | 3.13 | -0.27 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.
ATM IV change
30AUG26, -12.32 vol ptsATM IV change
29AUG26, -11.89 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 |
|---|---|---|---|---|---|---|---|
| 29AUG26Expiry effect | 0.7 days | 79,309.1 | -1358.96 USD | 35.17% | -11.89 vol pts | -0.81 vol pts | -1.83 vol pts |
| 30AUG26Expiry effect | 1.7 days | 79,331.53 | -1357.25 USD | 27.91% | -12.32 vol pts | -1.00 vol pts | -1.36 vol pts |
| 31AUG26 | 2.7 days | 79,347.79 | -1340.44 USD | 30.30% | -9.40 vol pts | -0.65 vol pts | -0.89 vol pts |
| 4SEP26 | 6.7 days | 79,387.16 | -1333.82 USD | 36.57% | -5.47 vol pts | -1.18 vol pts | -0.52 vol pts |
| 11SEP26 | 13.7 days | 79,451.32 | -1325.68 USD | 36.56% | -4.40 vol pts | -1.68 vol pts | -0.58 vol pts |
| 18SEP26 | 20.7 days | 79,505.42 | -1332.55 USD | 37.81% | -3.36 vol pts | -1.40 vol pts | -0.42 vol pts |
| 25SEP26 | 27.7 days | 79,560.35 | -1311.10 USD | 37.42% | -3.04 vol pts | -1.89 vol pts | -0.39 vol pts |
| 30OCT26 | 62.7 days | 79,952.55 | -1319.95 USD | 37.51% | -2.20 vol pts | -0.71 vol pts | -0.27 vol pts |
| 27NOV26 | 90.7 days | 80,254.83 | -1332.38 USD | 39.28% | -1.45 vol pts | -0.73 vol pts | -0.45 vol pts |
| 25DEC26 | 118.7 days | 80,545.07 | -1320.68 USD | 40.22% | -1.21 vol pts | -0.49 vol pts | -0.43 vol pts |
| 26MAR27 | 209.7 days | 81,469.18 | -1294.41 USD | 41.44% | -0.69 vol pts | -0.40 vol pts | -0.20 vol pts |
| 25JUN27 | 300.7 days | 82,482.79 | -1294.65 USD | 42.47% | -0.45 vol pts | -0.29 vol pts | -0.25 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 27NOV26; the largest sigma change occurred at 25JUN27.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 29AUG26 | +0.00340 | -0.04310 | -0.00720 | -0.00450 | +0.21260 | rotation towards puts, wing steepening |
| 30AUG26 | -0.00030 | -0.02810 | +0.02500 | +0.01860 | +0.14130 | rotation towards puts, wing steepening |
| 31AUG26 | +0.00280 | -0.01620 | +0.08890 | +0.05290 | +0.04370 | wing steepening |
| 4SEP26 | -0.00240 | -0.00630 | +0.03490 | +0.02520 | +0.02940 | rotation towards puts, wing steepening |
| 11SEP26 | -0.01930 | -0.00360 | +0.05850 | +0.03520 | +0.11870 | rotation towards puts |
| 18SEP26 | -0.02030 | +0.00020 | +0.03980 | +0.02470 | +0.10780 | rotation towards puts |
| 25SEP26 | -0.02750 | +0.00980 | -0.00500 | -0.00040 | +0.11540 | rotation towards puts |
| 30OCT26 | -0.03830 | +0.03490 | -0.07360 | -0.08270 | +0.09570 | parallel shift lower, rotation towards puts |
| 27NOV26 | +0.03140 | -0.00890 | -0.19490 | -0.15260 | -0.06630 | parallel shift lower, rotation towards puts |
| 25DEC26 | +0.02470 | -0.01420 | -0.12390 | -0.10300 | -0.03230 | parallel shift lower |
| 26MAR27 | +0.01080 | -0.00920 | -0.06440 | -0.05320 | -0.00820 | parallel shift lower |
| 25JUN27 | -0.05340 | +0.01170 | +0.01990 | +0.01560 | +0.12590 | 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
- 28 Aug 2026, 15:29 UTC
- Comparison snapshot
- 27 Aug 2026, 15:29 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
- 27 Aug 2026, 15:29 UTC to 28 Aug 2026, 15:29 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
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