Bitcoin options turn call-rich as front-end skew jumps
Bitcoin options repriced most clearly through skew: one-week RR25 shifted from put-rich to call-rich territory. The accompanying rise in one-week ATM IV left implied volatility above both seven-day and 24-hour realised volatility.
Bitcoin one-week RR25 rose 1.52 volatility points to 1.31%, leaving call-side volatility richer than put-side volatility after the 16:30 UTC cutoff. One-week ATM IV simultaneously rose 2.86 points to 39.57%, while Bitcoin spot fell 0.24% over 24 hours. DerivaSys data put one-week implied volatility 6.10 points above seven-day realised volatility.
Bitcoin skew moves decisively toward calls
One-week skew and implied volatility rose as Bitcoin’s nearest forward edged lower.
Macro
No qualifying macro event was retained.
Crypto
Bitcoin recovered from session lows as oil prices pulled back; timing alone does not establish a link.
Links identify the underlying reporting. Events are presented as context, not assigned causes.
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 +2.86 volatility points, to 39.57%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
07 Sept 2026, 16:30 UTC to 08 Sept 2026, 16:30 UTC
Relevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
Confidencelow causal confidence
News is presented as contextual association unless the structured evidence supports a stronger relationship.
04 · Detailed analysis
What changed across the BTC volatility surface.
Implied versus realised
At the 16:30 UTC cutoff, 1W ATM IV was 39.57%, 6.10 volatility points above seven-day realised volatility of 33.47%; 24-hour realised volatility was 27.74% and 30-day realised volatility was 38.06%.
Front end
Front-end ATM IV increased, averaging +1.87 volatility points to 38.67% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 40.12% (+0.17 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the five available headline tenors.
Convexity
BF25 increased, averaging +0.13 volatility points to 2.25% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +2.86 volatility points at 1W, to 39.57%.
Universe roll: added 12SEP26; removed 8SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
11SEP26, +8.84 vol pts02
Largest standard-tenor ATM IV move
1W, +2.86 vol pts03
Largest standard-tenor RR25 move
1W, +1.52 vol pts04
Largest standard-tenor BF25 move
1M, +0.22 vol pts05
Largest eligible SVI sigma move
11SEP26, -0.1640 param06
Largest eligible SVI rho move
11SEP26, +0.0597 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
39.57
36.71
+2.86 vol pts
+7.79%
2W
38.50
36.72
+1.78 vol pts
+4.85%
1M
37.95
36.97
+0.98 vol pts
+2.65%
3M
39.36
38.80
+0.56 vol pts
+1.44%
6M
40.12
39.95
+0.17 vol pts
+0.43%
9M
41.29
41.17
+0.12 vol pts
+0.29%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
1.31
-0.21
+1.52 vol pts
2W
0.87
0.05
+0.82 vol pts
1M
0.59
0.11
+0.48 vol pts
3M
-0.30
-0.52
+0.22 vol pts
6M
-0.37
-0.50
+0.13 vol pts
9M
-0.29
-0.21
-0.08 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 1M.
BF25 increased, averaging +0.13 volatility points to 2.25% across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
1.87
1.67
+0.20 vol pts
2W
1.91
1.81
+0.10 vol pts
1M
2.37
2.15
+0.22 vol pts
3M
2.38
2.40
-0.02 vol pts
6M
2.71
2.56
+0.15 vol pts
9M
2.85
2.69
+0.16 vol pts
1Y
Unavailable
Unavailable
Unavailable
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.
1.6d
Smile rotation
10SEP26, +11.14 vol pts0.6d
Smile rotation
9SEP26, +5.25 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.
CurrentPrevious day
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
9SEP26Expiry effect
0.6 days
78,609.09
-207.24 USD
31.72%
-0.76 vol pts
+1.21 vol pts
-0.01 vol pts
10SEP26Expiry effect
1.6 days
78,632.18
-190.58 USD
36.19%
+2.75 vol pts
+2.51 vol pts
-0.19 vol pts
11SEP26
2.6 days
78,643.03
-185.98 USD
37.25%
+1.60 vol pts
+2.45 vol pts
+0.23 vol pts
18SEP26
9.6 days
78,685.63
-199.17 USD
39.42%
+2.32 vol pts
+1.19 vol pts
+0.21 vol pts
25SEP26
16.6 days
78,725.02
-203.76 USD
38.17%
+1.70 vol pts
+0.62 vol pts
+0.02 vol pts
30OCT26
51.6 days
79,051.38
-212.09 USD
37.84%
+0.56 vol pts
+0.40 vol pts
+0.30 vol pts
27NOV26
79.6 days
79,361.47
-216.32 USD
39.26%
+0.61 vol pts
+0.28 vol pts
+0.04 vol pts
25DEC26
107.6 days
79,672.08
-221.85 USD
39.46%
+0.48 vol pts
+0.21 vol pts
-0.07 vol pts
26MAR27
198.6 days
80,611.53
-232.01 USD
40.20%
+0.12 vol pts
+0.11 vol pts
+0.19 vol pts
25JUN27
289.6 days
81,615.28
-201.12 USD
41.46%
+0.11 vol pts
-0.12 vol pts
+0.14 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.
9SEP26rotation towards calls · wing steepening10SEP26rotation towards calls · wing steepening11SEP26rotation towards calls · wing steepening18SEP26rotation towards calls · wing steepening25SEP26rotation towards calls30OCT26parallel shift higher27NOV26parallel shift higher25DEC26parallel shift higher26MAR27parallel shift higher25JUN27parallel shift higher
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
9SEP26
10SEP26
11SEP26
18SEP26
25SEP26
30OCT26
27NOV26
25DEC26
26MAR27
25JUN27
-0.30kATM+0.30k
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
9SEP26
+0.01990
-0.02370
+0.02740
+0.00720
-0.13910
rotation towards calls, wing steepening
10SEP26
+0.02150
-0.03080
+0.04120
+0.00810
-0.05110
rotation towards calls, wing steepening
11SEP26
+0.03200
-0.02580
+0.05970
+0.03250
-0.16400
rotation towards calls, wing steepening
18SEP26
+0.01450
-0.00900
+0.04440
+0.02820
-0.07270
rotation towards calls, wing steepening
25SEP26
+0.00410
-0.00800
+0.05450
+0.02500
+0.00030
rotation towards calls
30OCT26
+0.01070
-0.00450
+0.02260
+0.02590
-0.05730
parallel shift higher
27NOV26
+0.01040
+0.00380
-0.04170
-0.02260
-0.04380
parallel shift higher
25DEC26
-0.01850
+0.01370
-0.03430
-0.05500
+0.04000
parallel shift higher
26MAR27
-0.01110
+0.01970
-0.03130
-0.03520
-0.01970
parallel shift higher
25JUN27
-0.01060
+0.01430
-0.01960
-0.01540
-0.00990
parallel shift higher
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.
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 20-calendar-day realised volatility was 50.32%, versus SPX 20-session realised volatility of 8.30%. The spread ranked at 87.7 percentile 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.
As of 04 Sept 2026, 20:00 UTC. DerivaSys 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
08 Sept 2026, 16:30 UTC
Comparison snapshot
07 Sept 2026, 16:30 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 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.
