Prior comparison unavailable: the published 2026-09-17 edition is verified but ends at 17 Sept, 16:39 UTC; this window requires 17 Sept, 16:30 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 ≥ 32.05 percent at . Current level 32.05; threshold is the current observed endpoint.
Full retrace: BTC 1W ATM IV ≤ 29.59 percent at . Current level 32.05; 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 2026-09-18T16:30:00+00:00 to 2026-09-19T16:30:00+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 2026-09-18T16:30:00+00:00 to 2026-09-19T16:30:00+00:00.
Chart notes
Combined surface read: ATM IV rose (BTC); RR25 moved toward calls (BTC).
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Smile rotation is the fitted IV change at +0.15 log-moneyness minus the change at −0.15, in volatility points. A positive reading indicates a relative shift toward the call side.
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 for retained events; entries without a retained link are marked.
02 · Options market read
What the volatility surface did.
No headline tenor had comparable observations at both endpoints; unavailable values remain suppressed in the tables and charts.
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 relevant events were retained for the comparison window.
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 is unavailable because comparable observations were not present at both snapshots.
Long end
Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots.
Skew
RR25 is unavailable because comparable observations were not present at both snapshots.
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.
RR25 is unavailable because comparable observations were not present at both snapshots. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
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.
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
19SEP26Expiry effect
0.6 days
81,010.71
+4359.23 USD
29.99%
+1.04 vol pts
+0.82 vol pts
Unavailable
20SEP26Expiry effect
1.6 days
81,023.04
+4353.01 USD
24.00%
-0.95 vol pts
+0.77 vol pts
Unavailable
21SEP26
2.6 days
81,035.18
+4356.85 USD
25.61%
+0.13 vol pts
+0.09 vol pts
Unavailable
25SEP26
6.6 days
81,063.52
+4339.52 USD
31.93%
+1.99 vol pts
+0.77 vol pts
Unavailable
2OCT26
13.6 days
81,147.29
+4355.45 USD
33.17%
+1.45 vol pts
+1.45 vol pts
Unavailable
9OCT26
20.6 days
81,209.12
+4348.07 USD
32.88%
+0.70 vol pts
+0.80 vol pts
Unavailable
30OCT26
41.6 days
81,461.41
+4370.91 USD
33.82%
+0.43 vol pts
+1.20 vol pts
Unavailable
27NOV26
69.6 days
81,752.41
+4371.63 USD
35.94%
+0.06 vol pts
+0.92 vol pts
Unavailable
25DEC26
97.6 days
82,106.27
+4422.46 USD
36.76%
+0.09 vol pts
+0.32 vol pts
Unavailable
26MAR27
188.6 days
83,098.8
+4434.11 USD
38.24%
+0.10 vol pts
+0.38 vol pts
Unavailable
25JUN27
279.6 days
84,127.18
+4492.37 USD
39.37%
-0.01 vol pts
+0.28 vol pts
Unavailable
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
Completed-session cross-asset context
Crypto volatility against US equity risk.
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.
Daily-close realised-volatility regime
BTC reported crypto realised volatility was 34.09%, versus SPX reported realised volatility of 9.85%. The spread ranked at percentile rank 37.7% 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.
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 17 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
The RV comparisons use one-minute index returns, annualised on a 365-day basis. No coverage policy was recorded in this edition; read the recorded window availability and coverage below.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-17 16:30:00 UTC → 2026-09-18 16:30:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Reader summary (BF-specific claims withheld)
Bitcoin two-week RR25 rose 1.34 volatility points to 0.69 volatility points, 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.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: BTC 1W ATM IV 32.05% · Δ +2.46 vol pts
Skew: BTC 1W RR25 0.62 vol pts · Δ +0.73 vol pts
Curve: BTC 6M minus 1W ATM IV spread +6.13 vol pts · spread Δ -2.35 vol pts
Vol
BTC 1W ATM IV 32.05% · Δ +2.46 vol ptspercentile rank 66.0% by absolute move · full history (n=147)
Skew
BTC 1W RR25 0.62 vol pts · Δ +0.73 vol ptspercentile rank 47.6% by absolute move · full history (n=147)
Wings
BTC Unavailable
IV versus RV
BTC Unavailable
Unavailable readings: BTC Wings; BTC IV versus RV. See the report’s data availability notes.
Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.
Historical move evidence
BTC 1W ATM IV: percentile rank 66.0% by absolute move · full history (n=147)
BTC 1W RR25: percentile rank 47.6% by absolute move · full history (n=147)
Technical appendix: measurement and history provenance
Original edition evidence follows unchanged. Its BF slots retain the original full fly25 or unverified basis; these receipts do not validate canonical BF25 history or ranks.
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.
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 18 Sept 2026, 16:30:00 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.
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.
