Bitcoin options turn call-rich as two-week skew reverses
Bitcoin’s most material options change was the two-week shift toward call-side volatility. The positive two-week RR25 level signals calls were richer than puts, while one-week implied volatility remained below realised volatility.
Bitcoin two-week RR25 rose 1.34 volatility points to 0.69%, reversing from a Bitcoin two-week RR25 reading of -0.65% and leaving calls richer than puts at the cutoff. Bitcoin’s two-week RR25 move was notable at the 82.3 percentile of comparable history. Bitcoin’s 24-hour spot-index return was 5.73%, while Bitcoin one-week ATM IV of 32.05% stood 3.54 volatility points below Bitcoin seven-day realised volatility of 35.59%, according to Derivasys data.
Japan rate decision and sanctions frame Bitcoin day
Japan raised rates, while US sanctions targeted Iran’s BitBank over alleged Bitcoin transfers.
Macro
The Bank of Japan raised interest rates by 25 basis points, with Bitcoin reported above $77,000.
Crypto
US sanctions against Iran’s BitBank supplied separate crypto-market context during the window.
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 +2.46 volatility points, to 32.05%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
17 Sept 2026, 16:30 UTC to 18 Sept 2026, 16:30 UTC
Relevant context found; no confirmed catalyst
Relevant market events
2 events were 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 32.05%, 3.54 volatility points below seven-day realised volatility of 35.59%; 24-hour realised volatility was 40.80% and 30-day realised volatility was 40.76%.
Front end
Front-end ATM IV increased, averaging +1.52 volatility points to 32.89% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 38.18% (+0.11 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.78 volatility points to -0.30% across the five available headline tenors.
Convexity
BF25 increased, averaging +0.13 volatility points to 2.01% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +2.46 volatility points at 1W, to 32.05%.
Universe roll: added 22SEP26; removed 18SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
2OCT26, +3.65 vol pts02
Largest standard-tenor ATM IV move
1W, +2.46 vol pts03
Largest standard-tenor RR25 move
2W, +1.34 vol pts04
Largest standard-tenor BF25 move
1W, +0.19 vol pts05
Largest eligible SVI sigma move
21SEP26, -0.1762 param06
Largest eligible SVI rho move
26MAR27, -0.0509 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
32.05
29.59
+2.46 vol pts
+8.31%
2W
33.15
31.63
+1.52 vol pts
+4.81%
1M
33.46
32.87
+0.59 vol pts
+1.79%
3M
36.61
36.50
+0.11 vol pts
+0.30%
6M
38.18
38.07
+0.11 vol pts
+0.29%
9M
39.31
39.31
0.00 vol pts
0.00%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.78 volatility points to -0.30% 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
0.62
-0.11
+0.73 vol pts
2W
0.69
-0.65
+1.34 vol pts
1M
-0.73
-1.73
+1.00 vol pts
3M
-1.13
-1.57
+0.44 vol pts
6M
-0.96
-1.33
+0.37 vol pts
9M
-0.86
-1.14
+0.28 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.13 volatility points to 2.01% 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
1.78
1.59
+0.19 vol pts
2W
1.67
1.49
+0.18 vol pts
1M
1.83
1.77
+0.06 vol pts
3M
2.23
2.13
+0.10 vol pts
6M
2.54
2.41
+0.13 vol pts
9M
2.60
2.50
+0.10 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.
0.6d
Smile rotation
19SEP26, +4.17 vol pts1.6d
Smile rotation
20SEP26, +3.90 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
19SEP26Expiry effect
0.6 days
81,010.71
+4359.23 USD
29.99%
+1.04 vol pts
+0.82 vol pts
-0.16 vol pts
20SEP26Expiry effect
1.6 days
81,023.04
+4353.01 USD
24.00%
-0.95 vol pts
+0.77 vol pts
+0.09 vol pts
21SEP26
2.6 days
81,035.18
+4356.85 USD
25.61%
+0.13 vol pts
+0.09 vol pts
+0.25 vol pts
25SEP26
6.6 days
81,063.52
+4339.52 USD
31.93%
+1.99 vol pts
+0.77 vol pts
+0.15 vol pts
2OCT26
13.6 days
81,147.29
+4355.45 USD
33.17%
+1.45 vol pts
+1.45 vol pts
+0.19 vol pts
9OCT26
20.6 days
81,209.12
+4348.07 USD
32.88%
+0.70 vol pts
+0.80 vol pts
-0.02 vol pts
30OCT26
41.6 days
81,461.41
+4370.91 USD
33.82%
+0.43 vol pts
+1.20 vol pts
+0.08 vol pts
27NOV26
69.6 days
81,752.41
+4371.63 USD
35.94%
+0.06 vol pts
+0.92 vol pts
0.00 vol pts
25DEC26
97.6 days
82,106.27
+4422.46 USD
36.76%
+0.09 vol pts
+0.32 vol pts
+0.14 vol pts
26MAR27
188.6 days
83,098.8
+4434.11 USD
38.24%
+0.10 vol pts
+0.38 vol pts
+0.14 vol pts
25JUN27
279.6 days
84,127.18
+4492.37 USD
39.37%
-0.01 vol pts
+0.28 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.
19SEP26rotation towards calls · wing steepening20SEP26rotation towards calls · wing steepening21SEP26wing steepening25SEP26rotation towards calls · wing steepening2OCT26rotation towards calls · wing steepening9OCT26rotation towards calls30OCT26rotation towards calls27NOV26rotation towards calls25DEC26parallel shift higher26MAR27limited movement25JUN27limited 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
19SEP26
20SEP26
21SEP26
25SEP26
2OCT26
9OCT26
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 26MAR27; the largest sigma change occurred at 21SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
19SEP26
+0.02040
-0.03210
+0.03380
+0.01120
-0.10250
rotation towards calls, wing steepening
20SEP26
+0.01850
-0.02210
+0.04640
+0.01410
-0.12870
rotation towards calls, wing steepening
21SEP26
+0.02620
-0.01520
-0.02370
-0.01880
-0.17620
wing steepening
25SEP26
+0.00430
-0.00100
-0.04550
-0.02890
-0.02700
rotation towards calls, wing steepening
2OCT26
-0.01280
+0.01580
-0.01740
-0.03360
+0.01710
rotation towards calls, wing steepening
9OCT26
-0.01900
+0.01010
+0.02780
-0.00770
+0.07370
rotation towards calls
30OCT26
-0.01330
+0.01340
+0.01880
-0.01780
+0.01950
rotation towards calls
27NOV26
-0.00920
+0.00430
+0.03600
+0.00120
+0.01890
rotation towards calls
25DEC26
-0.02890
+0.02220
+0.01750
-0.00580
+0.03570
parallel shift higher
26MAR27
+0.00880
+0.00870
-0.05090
-0.06320
-0.04960
limited movement
25JUN27
+0.02380
-0.01030
+0.03260
+0.03740
-0.05070
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.
BTC 30-day implied volatility was 2.1 times VIX, while its 30-session return correlation with SPX was low at 0.26.
Implied-volatility premium
BTC 30-day ATM IV was 31.99%, against VIX at 15.44: a 16.55-point spread and 2.07× ratio.
Realised-volatility regime
BTC 20-calendar-day realised volatility was 34.09%, versus SPX 20-session realised volatility of 9.85%. The spread ranked at 37.7 percentile of 236 prior observations.
Equity co-movement
Return correlation with SPX was 0.262 over 30 aligned sessions and 0.275 over 60 sessions. VIX9D, VIX and VIX3M closed at 13.39, 15.44 and 18.55.
As of 17 Sept 2026, 20:00 UTC. Persisted Derivasys market context; crypto RV uses sqrt(365), SPX RV uses sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
18 Sept 2026, 16:30 UTC
Comparison snapshot
17 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.
