Bitcoin options soften while short-dated skew shifts toward calls
One-week Bitcoin RR25 moved toward calls to -0.15%, while the one-week ATM IV level declined to 36.60%. The skew remains negative, so put-side volatility remains relatively elevated despite the shift.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -1.50 volatility points, to 36.60%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
13 Sept 2026, 16:30 UTC to 14 Sept 2026, 16:30 UTC
No relevant catalyst identified.
No qualifying context was found in the monitored news sources for this reporting window.
04 · Detailed analysis
What changed across the BTC volatility surface.
Implied versus realised
At the 16:30 UTC cutoff, 1W ATM IV was 36.60%, 4.19 volatility points above seven-day realised volatility of 32.41%; 24-hour realised volatility was 34.77% and 30-day realised volatility was 39.72%.
Front end
Front-end ATM IV decreased, averaging -0.95 volatility points to 36.05% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 39.32% (+0.02 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.19 volatility points to -0.56% across the five available headline tenors.
Convexity
BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -1.50 volatility points at 1W, to 36.60%.
Universe roll: no additions; removed 14SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
18SEP26, +4.05 vol pts02
Largest standard-tenor ATM IV move
1W, -1.50 vol pts03
Largest standard-tenor RR25 move
1W, +0.62 vol pts04
Largest standard-tenor BF25 move
2W, -0.18 vol pts05
Largest eligible SVI sigma move
18SEP26, -0.1488 param06
Largest eligible SVI rho move
25JUN27, -0.0799 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
36.60
38.10
-1.50 vol pts
-3.94%
2W
35.66
36.54
-0.88 vol pts
-2.41%
1M
35.89
36.36
-0.47 vol pts
-1.29%
3M
38.13
38.23
-0.10 vol pts
-0.26%
6M
39.32
39.30
+0.02 vol pts
+0.05%
9M
40.36
40.41
-0.05 vol pts
-0.12%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.19 volatility points to -0.56% 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
-0.15
-0.77
+0.62 vol pts
2W
-0.47
-0.67
+0.20 vol pts
1M
-0.72
-0.88
+0.16 vol pts
3M
-0.80
-0.65
-0.15 vol pts
6M
-0.65
-0.76
+0.11 vol pts
9M
-0.61
-0.64
+0.03 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% 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
2.15
2.11
+0.04 vol pts
2W
1.97
2.15
-0.18 vol pts
1M
2.10
2.28
-0.18 vol pts
3M
2.28
2.33
-0.05 vol pts
6M
2.51
2.56
-0.05 vol pts
9M
2.63
2.70
-0.07 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
16SEP26, +11.99 vol pts0.6d
Smile rotation
15SEP26, +4.61 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
15SEP26Expiry effect
0.6 days
78,654.21
+1428.64 USD
28.11%
-3.96 vol pts
+0.82 vol pts
-0.58 vol pts
16SEP26Expiry effect
1.6 days
78,660.09
+1409.42 USD
33.54%
-0.41 vol pts
+2.90 vol pts
-0.54 vol pts
17SEP26
2.6 days
78,658.46
+1407.72 USD
39.43%
+0.80 vol pts
+0.93 vol pts
-0.15 vol pts
18SEP26
3.6 days
78,682.66
+1420.08 USD
38.77%
-1.00 vol pts
+1.33 vol pts
+0.25 vol pts
25SEP26
10.6 days
78,725.76
+1414.47 USD
35.76%
-0.98 vol pts
+0.19 vol pts
-0.03 vol pts
2OCT26
17.6 days
78,791.77
+1404.72 USD
35.60%
-0.70 vol pts
+0.32 vol pts
-0.28 vol pts
30OCT26
45.6 days
79,070.1
+1427.04 USD
36.03%
-0.37 vol pts
+0.08 vol pts
-0.14 vol pts
27NOV26
73.6 days
79,375
+1441.31 USD
37.82%
-0.17 vol pts
-0.16 vol pts
-0.02 vol pts
25DEC26
101.6 days
79,703
+1431.36 USD
38.27%
-0.09 vol pts
-0.14 vol pts
-0.06 vol pts
26MAR27
192.6 days
80,606.99
+1418.72 USD
39.39%
+0.02 vol pts
+0.13 vol pts
-0.05 vol pts
25JUN27
283.6 days
81,611.63
+1438.09 USD
40.45%
-0.06 vol pts
+0.02 vol pts
-0.08 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.
15SEP26rotation towards calls · wing steepening16SEP26rotation towards calls · wing steepening17SEP26rotation towards calls · wing steepening18SEP26rotation towards calls · wing steepening25SEP26rotation towards calls · wing steepening2OCT26rotation towards calls30OCT26parallel shift lower27NOV26parallel shift lower25DEC26parallel shift lower26MAR27limited movement25JUN27parallel shift lower
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
15SEP26
16SEP26
17SEP26
18SEP26
25SEP26
2OCT26
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 25JUN27; the largest sigma change occurred at 18SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
15SEP26
+0.01630
-0.03210
+0.05680
+0.01960
-0.05730
rotation towards calls, wing steepening
16SEP26
+0.00270
-0.01650
+0.11050
+0.03380
+0.03620
rotation towards calls, wing steepening
17SEP26
+0.01000
-0.01600
+0.02760
+0.01070
-0.01500
rotation towards calls, wing steepening
18SEP26
+0.02920
-0.01800
+0.03870
+0.02540
-0.14880
rotation towards calls, wing steepening
25SEP26
+0.01940
-0.01780
+0.02720
+0.01950
-0.07720
rotation towards calls, wing steepening
2OCT26
+0.00230
-0.00870
-0.03650
-0.03270
+0.02040
rotation towards calls
30OCT26
+0.01010
-0.00990
-0.03320
-0.01720
-0.02230
parallel shift lower
27NOV26
+0.01680
-0.00150
-0.04920
-0.01450
-0.05700
parallel shift lower
25DEC26
-0.01230
+0.00900
-0.02220
-0.02910
+0.02540
parallel shift lower
26MAR27
-0.04630
+0.03210
-0.04990
-0.08330
+0.07430
limited movement
25JUN27
-0.03870
+0.02270
-0.07990
-0.10750
+0.05910
parallel shift lower
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 2.2 times VIX, while its 30-session return correlation with SPX was low at 0.17.
Implied-volatility premium
BTC 30-day ATM IV was 35.17%, against VIX at 15.84: a 19.33-point spread and 2.22× ratio.
Realised-volatility regime
BTC 20-calendar-day realised volatility was 33.31%, versus SPX 20-session realised volatility of 8.99%. The spread ranked at 36.6 percentile of 232 prior observations.
Equity co-movement
Return correlation with SPX was 0.167 over 30 aligned sessions and 0.296 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.47, 15.84 and 18.60.
As of 11 Sept 2026, 20:00 UTC. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
14 Sept 2026, 16:30 UTC
Comparison snapshot
13 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.
