01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
BTC’s front end firmed into the 20:58 UTC cutoff, while the long end was largely unchanged and the curve flattened. The largest standard-tenor move was a routine 1W ATM IV increase, but 2W RR25 moved notably toward relative call-side volatility. Collected news supplied contemporaneous macro and crypto developments, yet the available reaction evidence does not establish a direct explanation for the closing repricing.
BTC front end firms into cutoff
One-week ATM IV increased while two-week skew shifted toward relative call-side volatility.
Macro
Rate expectations and Iran developments were reported during the window.
Crypto
A digest also covered Solana supply and Bitcoin security developments.
Editorial summaries are grounded in canonical events returned by the local news MCP. Links identify the underlying reporting; events are context, not assigned causes.
Completed-session cross-asset context
Crypto volatility against US equity risk.
Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.
BTC 30-day ATM IV was 36.73%, against VIX at 14.43: a 22.30-point spread and 2.55× ratio.
BTC 20-calendar-day realised volatility was 45.92%, versus SPX 20-session realised volatility of 10.58%. The spread ranked at the 74.9th percentile of 223 prior observations.
Return correlation with SPX was 0.104 over 30 aligned sessions and 0.376 over 60 sessions. VIX9D, VIX and VIX3M closed at 11.22, 14.43 and 17.48.
As of 28 Aug 2026, 20:00 UTC. Persisted common US session. BTC realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available.
02 · Options Market Read
What the volatility surface did.
1W ATM IV rose 1.11 volatility points to 34.67%, a routine move at the 43rd percentile. At the cutoff, realised volatility measured 42.01% over 24 hours, 38.01% over seven days and 36.11% over 30 days. Front-end ATM IV averaged 35.01%, +0.72 points from the prior snapshot, while the long end averaged 41.16%, +0.05 points. The 1Y-minus-1W ATM slope flattened 1.06 points to 7.61 points. 2W RR25 moved 1.06 volatility points toward calls to 0.71%, leaving calls richer than puts. 1M BF25 rose 0.16 volatility points to 2.25%. The nearest eligible forward, 3SEP26, rose $194.48 (+0.25%) to $78,871.76. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 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.
41 canonical events scanned through the news MCP across 3 publishers. 4 fell inside the report window; 3 were BTC-tagged; 3 passed the final threshold; 2 events displayed.
03 · Detailed summary
What changed across the BTC volatility surface.
At the 20:58 UTC cutoff, 1W ATM IV was 34.67%, 3.34 volatility points below seven-day realised volatility of 38.01%; 24-hour realised volatility was 42.01% and 30-day realised volatility was 36.11%.
Front-end ATM IV increased, averaging +0.72 volatility points to 35.01% across 1W, 2W and 1M.
Long-dated ATM IV was broadly unchanged, averaging +0.06 volatility points to 41.16% across 6M and 1Y.
RR25 moved towards calls, averaging +0.69 volatility points to 0.22% across the six headline tenors.
BF25 was broadly unchanged, averaging +0.02 volatility points to 2.26% across the six headline tenors.
The largest standard-tenor ATM IV move was +1.11 volatility points at 1W, to 34.67%.
Universe roll: no additions; removed 31AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, +3.54 vol ptsLargest standard-tenor ATM IV move
1W, +1.11 vol ptsLargest standard-tenor RR25 move
2W, +1.06 vol ptsLargest standard-tenor BF25 move
1M, +0.16 vol ptsLargest eligible SVI sigma move
25DEC26, -0.1415 paramLargest eligible SVI rho move
30OCT26, +0.1334 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 34.67 | 33.56 | +1.11 vol pts | +3.31% |
| 2W | 34.96 | 34.33 | +0.63 vol pts | +1.84% |
| 1M | 35.39 | 34.98 | +0.41 vol pts | +1.17% |
| 3M | 38.02 | 37.69 | +0.33 vol pts | +0.88% |
| 6M | 40.05 | 39.99 | +0.06 vol pts | +0.15% |
| 9M | 41.43 | 41.38 | +0.05 vol pts | +0.12% |
| 1Y | 42.28 | 42.23 | +0.05 vol pts | +0.12% |
06 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.69 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 | 1.13 | 0.17 | +0.96 vol pts |
| 2W | 0.71 | -0.35 | +1.06 vol pts |
| 1M | -0.13 | -1.19 | +1.06 vol pts |
| 3M | -0.35 | -0.83 | +0.48 vol pts |
| 6M | -0.20 | -0.68 | +0.48 vol pts |
| 9M | 0.01 | -0.23 | +0.24 vol pts |
| 1Y | 0.14 | 0.01 | +0.13 vol pts |
07 · Butterflies
BF25 convexity changed most at 1M.
BF25 was broadly unchanged, averaging +0.02 volatility points to 2.26% 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 | 1.81 | 1.89 | -0.08 vol pts |
| 2W | 1.89 | 1.91 | -0.02 vol pts |
| 1M | 2.25 | 2.09 | +0.16 vol pts |
| 3M | 2.21 | 2.21 | 0.00 vol pts |
| 6M | 2.54 | 2.52 | +0.02 vol pts |
| 9M | 2.75 | 2.73 | +0.02 vol pts |
| 1Y | 2.88 | 2.85 | +0.03 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
1SEP26, -14.29 vol ptsSmile rotation
2SEP26, +3.70 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 |
|---|---|---|---|---|---|---|---|
| 1SEP26Expiry effect | 0.5 days | 78,852.15 | +200.29 USD | 33.90% | -1.47 vol pts | -2.15 vol pts | -0.47 vol pts |
| 2SEP26Expiry effect | 1.5 days | 78,859.95 | +194.93 USD | 33.79% | +0.44 vol pts | +0.47 vol pts | -0.19 vol pts |
| 3SEP26 | 2.5 days | 78,871.76 | +194.48 USD | 35.32% | +2.28 vol pts | +0.59 vol pts | -0.21 vol pts |
| 4SEP26 | 3.5 days | 78,883.8 | +198.19 USD | 35.75% | +2.39 vol pts | +1.00 vol pts | +0.06 vol pts |
| 11SEP26 | 10.5 days | 78,934.88 | +206.49 USD | 34.32% | +0.62 vol pts | +1.11 vol pts | -0.09 vol pts |
| 18SEP26 | 17.5 days | 79,002.89 | +220.94 USD | 35.33% | +0.32 vol pts | +1.12 vol pts | -0.04 vol pts |
| 25SEP26 | 24.5 days | 79,045.39 | +222.25 USD | 35.08% | +0.42 vol pts | +1.32 vol pts | +0.16 vol pts |
| 30OCT26 | 59.5 days | 79,452.31 | +239.89 USD | 36.07% | +0.21 vol pts | +0.43 vol pts | +0.05 vol pts |
| 27NOV26 | 87.5 days | 79,768.12 | +229.14 USD | 37.88% | +0.31 vol pts | +0.44 vol pts | -0.02 vol pts |
| 25DEC26 | 115.5 days | 80,096.2 | +213.06 USD | 38.74% | +0.18 vol pts | +0.84 vol pts | +0.06 vol pts |
| 26MAR27 | 206.5 days | 80,997.29 | +210.38 USD | 40.32% | +0.03 vol pts | +0.40 vol pts | 0.00 vol pts |
| 25JUN27 | 297.5 days | 82,001.71 | +191.10 USD | 41.71% | +0.04 vol pts | +0.20 vol pts | +0.02 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 30OCT26; the largest sigma change occurred at 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 1SEP26 | +0.01190 | -0.02580 | -0.13250 | -0.07840 | +0.04840 | rotation towards puts, wing steepening |
| 2SEP26 | +0.00790 | -0.01430 | +0.07360 | +0.04040 | +0.00240 | rotation towards calls, wing steepening |
| 3SEP26 | -0.00230 | -0.00870 | +0.02970 | +0.01250 | +0.06130 | rotation towards calls, wing steepening |
| 4SEP26 | +0.00530 | -0.00910 | +0.02620 | +0.00760 | -0.00990 | rotation towards calls, wing steepening |
| 11SEP26 | +0.00450 | -0.00940 | +0.02060 | +0.00010 | +0.00390 | rotation towards calls |
| 18SEP26 | +0.01060 | -0.01490 | +0.04830 | +0.02060 | -0.02580 | rotation towards calls |
| 25SEP26 | +0.01870 | -0.01520 | +0.04770 | +0.02640 | -0.08220 | rotation towards calls |
| 30OCT26 | -0.01100 | -0.00520 | +0.13340 | +0.06790 | +0.05040 | rotation towards calls |
| 27NOV26 | +0.01250 | -0.02540 | +0.07170 | +0.06030 | -0.00050 | rotation towards calls |
| 25DEC26 | +0.05470 | -0.01570 | -0.06300 | -0.04370 | -0.14150 | rotation towards calls |
| 26MAR27 | +0.02740 | -0.00950 | -0.02640 | -0.03030 | -0.05900 | limited movement |
| 25JUN27 | +0.04700 | -0.01770 | -0.02330 | -0.02230 | -0.08340 | limited movement |
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
- 31 Aug 2026, 20:58 UTC
- Comparison snapshot
- 30 Aug 2026, 20:58 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
- 30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 UTC
- Feeds queried
- 1
- Publishers queried
- 3
- Feed articles scanned
- 41
- Inside report window
- 4
- Passed source rules
- 3
- Passed final threshold
- 3
- Event clusters displayed
- 2
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