Bitcoin options add six-month convexity as front-end volatility rises
Bitcoin’s six-month BF25 rose 0.12 volatility points to 2.68 volatility points, the day’s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.
Prior comparison unavailable: the published 2026-09-05 edition is verified but ends at 5 Sept, 18:43 UTC; this window requires 5 Sept, 16:59 UTC.
A structured watchlist was not recorded or could not be verified in the prior edition; prior-watch outcomes remain unavailable.
Next daily cutoff: measurable checks
These checks are reconstructed from this edition’s stored endpoints; they were not recorded in the original report.
Hold the observed level: BTC 1W ATM IV ≥ 36.83 percent at . Current level 36.83; threshold is the current observed endpoint.
Full retrace: BTC 1W ATM IV ≤ 34.47 percent at . Current level 36.83; threshold is the previous observed endpoint.
Measurement basis and receipt
These are observed-level conditions for the next aligned cutoff, with no forecast or trade action. Spot uses exact index endpoints where available; ATM IV is quoted in percent and its change, RR25 and BF25 in volatility points. Derived from verified legacy artifact endpoints.
BTC:atmIv:1W:observed-current-level: rows[asset=BTC].report.tenors[tenor=1W].atmIv.previous; rows[asset=BTC].report.tenors[tenor=1W].atmIv.current; rows[asset=BTC].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-06T16:59:00+00:00 to 2026-09-07T16:59:00+00:00.
BTC:atmIv:1W:observed-previous-level: rows[asset=BTC].report.tenors[tenor=1W].atmIv.previous; rows[asset=BTC].report.tenors[tenor=1W].atmIv.current; rows[asset=BTC].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-06T16:59:00+00:00 to 2026-09-07T16:59:00+00:00.
02 · Options market read
What the volatility surface did.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at +2.36 volatility points, to 36.83%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
05 Sept 2026, 16:59 UTC to 06 Sept 2026, 16:59 UTC
News context unavailable.
News context unavailable because source coverage was incomplete.
04 · Detailed analysis
What changed across the BTC volatility surface.
Implied versus realised
At the 16:59 UTC cutoff, 1W ATM IV was 36.83%, broadly in line with seven-day realised volatility of 36.36%; 24-hour realised volatility was 18.76% and 30-day realised volatility was 37.53%.
Front end
Front-end ATM IV increased, averaging +1.28 volatility points to 37.24% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 40.13% (-0.07 volatility points); 1Y was unavailable.
Skew
RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68 volatility points across the five available headline tenors.
Convexity
BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20 volatility points across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +2.36 volatility points at 1W, to 36.83%.
Universe roll: added 10SEP26; removed 6SEP26. Comparisons use common expiries only.
RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20 volatility points across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
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.
0.6d
ATM IV change
7SEP26, +3.61 vol pts1.6d
ATM IV change
8SEP26, +3.50 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.
CurrentComparison snapshot
Suppressed outside the observable listed-expiry range: 1Y.
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
7SEP26Expiry effect
0.6 days
79,664.42
-436.82 USD
28.50%
+3.61 vol pts
+0.33 vol pts
-0.25 vol pts
8SEP26Expiry effect
1.6 days
79,653.01
-444.36 USD
30.60%
+3.50 vol pts
+0.05 vol pts
+0.05 vol pts
9SEP26
2.6 days
79,674.93
-431.03 USD
32.48%
+1.80 vol pts
-0.46 vol pts
+0.20 vol pts
11SEP26
4.6 days
79,682.01
-431.24 USD
35.71%
+2.48 vol pts
-0.09 vol pts
-0.03 vol pts
18SEP26
11.6 days
79,746.37
-419.57 USD
37.67%
+1.04 vol pts
-0.13 vol pts
-0.01 vol pts
25SEP26
18.6 days
79,790.78
-421.73 USD
37.20%
+0.98 vol pts
+0.14 vol pts
-0.12 vol pts
30OCT26
53.6 days
80,134.29
-414.63 USD
37.57%
+0.12 vol pts
+0.06 vol pts
+0.02 vol pts
27NOV26
81.6 days
80,450.41
-424.89 USD
38.73%
+0.04 vol pts
+0.13 vol pts
-0.07 vol pts
25DEC26
109.6 days
80,767.18
-433.60 USD
39.10%
-0.08 vol pts
-0.47 vol pts
+0.13 vol pts
26MAR27
200.6 days
81,696.89
-436.33 USD
40.27%
-0.08 vol pts
-0.02 vol pts
+0.12 vol pts
25JUN27
291.6 days
82,628.93
-436.92 USD
41.67%
+0.07 vol pts
+0.15 vol pts
-0.03 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.
7SEP26rotation towards calls · wing steepening8SEP26wing steepening9SEP26rotation towards puts · wing steepening11SEP26parallel shift higher · wing steepening18SEP26parallel shift higher25SEP26parallel shift higher30OCT26parallel shift higher27NOV26limited movement25DEC26limited movement26MAR27parallel shift lower25JUN27limited movement
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.
IV lowerIV higher
7SEP26
8SEP26
9SEP26
11SEP26
18SEP26
25SEP26
30OCT26
27NOV26
25DEC26
26MAR27
25JUN27
-0.30kATM+0.30k
Completed-session cross-asset context
Crypto volatility against US equity risk.
BTC 30-day implied volatility was 2.5 times VIX, while its 30-session return correlation with SPX was low at 0.16.
Implied-volatility premium
BTC 30-day ATM IV was 36.20%, against VIX at 14.53: a 21.67-point spread and 2.49× ratio.
Realised-volatility regime
BTC reported crypto realised volatility was 50.32%, versus SPX reported realised volatility of 8.30%. The spread ranked at percentile rank 87.7% of 228 prior observations.
Equity co-movement
Return correlation with SPX was 0.158 over 30 aligned sessions and 0.352 over 60 sessions. VIX9D, VIX and VIX3M closed at 11.97, 14.53 and 17.61.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. The displayed spread rank does not establish matched-horizon comparability.
As of 04 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252).
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-05 16:59:00 UTC → 2026-09-06 16:59:00 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
Bitcoin’s six-month BF25 rose 0.12 volatility points to 2.68 volatility points, the day’s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: BTC 1W ATM IV 36.83% · Δ +2.36 vol pts
Skew: BTC 1W RR25 1.20 vol pts · Δ -0.08 vol pts
Wings: BTC 1W BF25 1.82 vol pts · Δ -0.04 vol pts
Vol
BTC 1W ATM IV 36.83% · Δ +2.36 vol ptspercentile rank 67.4% by absolute move · full history (n=135)
BTC 1W BF25: percentile rank 14.8% by absolute move · full history (n=135)
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 25DEC26; the largest sigma change occurred at 27NOV26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
7SEP26
+0.00850
-0.02350
+0.02660
+0.00950
+0.02950
rotation towards calls, wing steepening
8SEP26
-0.00440
+0.00080
-0.02410
-0.00950
+0.04180
wing steepening
9SEP26
-0.00310
+0.00730
+0.04740
+0.02810
-0.00730
rotation towards puts, wing steepening
11SEP26
-0.01550
+0.01000
+0.02770
+0.00420
+0.08970
parallel shift higher, wing steepening
18SEP26
-0.02130
+0.01710
-0.00700
-0.02450
+0.08910
parallel shift higher
25SEP26
-0.02540
+0.02150
-0.02970
-0.04940
+0.11290
parallel shift higher
30OCT26
-0.01370
+0.01220
+0.02580
-0.00460
+0.05100
parallel shift higher
27NOV26
-0.07880
+0.05450
+0.01760
-0.07090
+0.19880
limited movement
25DEC26
-0.06230
+0.02290
+0.09940
+0.07880
+0.12590
limited movement
26MAR27
-0.06480
+0.02500
+0.08250
+0.06180
+0.11170
parallel shift lower
25JUN27
-0.05940
+0.02800
-0.01480
-0.04520
+0.09400
limited movement
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.
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 06 Sept 2026, 16:59:00 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.
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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.
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.
