Bitcoin options turn defensive as two-week skew swings toward puts
Bitcoin two-week RR25 moved 1.28 volatility points toward puts to -0.26% at the cutoff, leaving put-side volatility richer than call-side volatility. The skew move was notable relative to comparable history, while front-end ATM IV eased.
Bitcoin two-week RR25 fell 1.28 volatility points to -0.26% at the 16:30 UTC cutoff, moving from call-rich to put-rich pricing and marking a notable 80.5 percentile move in comparable history. Bitcoin two-week ATM IV simultaneously fell 0.85 points to 33.70%, while Bitcoin’s 24-hour spot-index return was -0.83%. Derivasys data show one-week ATM IV at 33.98%, 3.14 points below seven-day realised volatility of 37.12%.
Bitcoin skew shifts toward puts
Bitcoin two-week RR25 crossed below zero as short-dated implied volatility softened at the cutoff.
Macro
No qualifying macro context was retained.
Crypto
The Block reported Friday net inflows into Bitcoin ETFs and an end to Ether funds’ four-week inflow streak.
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 2W at -0.85 volatility points, to 33.70%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
19 Sept 2026, 16:30 UTC to 20 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 33.98%, 3.14 volatility points below seven-day realised volatility of 37.12%; 24-hour realised volatility was 25.73% and 30-day realised volatility was 37.29%.
Front end
Front-end ATM IV decreased, averaging -0.37 volatility points to 33.90% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 38.50% (+0.24 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -0.67 volatility points to -0.85% across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.11 volatility points to 1.94% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -0.85 volatility points at 2W, to 33.70%.
Universe roll: added 24SEP26; removed 20SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
23SEP26, -6.01 vol pts02
Largest standard-tenor RR25 move
2W, -1.28 vol pts03
Largest standard-tenor ATM IV move
2W, -0.85 vol pts04
Largest eligible SVI sigma move
9OCT26, +0.2197 param05
Largest standard-tenor BF25 move
2W, -0.14 vol pts06
Largest eligible SVI rho move
30OCT26, +0.0987 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
33.98
34.28
-0.30 vol pts
-0.88%
2W
33.70
34.55
-0.85 vol pts
-2.46%
1M
34.03
34.00
+0.03 vol pts
+0.09%
3M
37.04
36.74
+0.30 vol pts
+0.82%
6M
38.50
38.26
+0.24 vol pts
+0.63%
9M
39.59
39.53
+0.06 vol pts
+0.15%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -0.67 volatility points to -0.85% 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
-0.11
0.97
-1.08 vol pts
2W
-0.26
1.02
-1.28 vol pts
1M
-1.27
-0.42
-0.85 vol pts
3M
-1.60
-1.39
-0.21 vol pts
6M
-0.99
-1.07
+0.08 vol pts
9M
-0.78
-0.77
-0.01 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.11 volatility points to 1.94% 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
1.81
1.91
-0.10 vol pts
2W
1.68
1.82
-0.14 vol pts
1M
1.77
1.88
-0.11 vol pts
3M
2.04
2.13
-0.09 vol pts
6M
2.41
2.51
-0.10 vol pts
9M
2.48
2.57
-0.09 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
21SEP26, -8.18 vol pts1.6d
Smile rotation
22SEP26, -4.21 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
21SEP26Expiry effect
0.6 days
81,176.35
-649.71 USD
30.91%
+6.98 vol pts
-1.35 vol pts
+0.91 vol pts
22SEP26Expiry effect
1.6 days
81,197.34
-640.64 USD
31.64%
+2.65 vol pts
-1.04 vol pts
-0.08 vol pts
23SEP26
2.6 days
81,212.63
-639.28 USD
32.70%
+1.71 vol pts
-1.70 vol pts
+0.04 vol pts
25SEP26
4.6 days
81,244.18
-623.73 USD
34.15%
+0.15 vol pts
-1.29 vol pts
-0.07 vol pts
2OCT26
11.6 days
81,320.03
-635.31 USD
33.84%
-0.95 vol pts
-1.05 vol pts
-0.05 vol pts
9OCT26
18.6 days
81,392.66
-630.70 USD
33.53%
-0.35 vol pts
-1.24 vol pts
-0.34 vol pts
30OCT26
39.6 days
81,655.54
-624.56 USD
34.23%
+0.17 vol pts
-0.62 vol pts
-0.02 vol pts
27NOV26
67.6 days
81,951.56
-651.10 USD
36.25%
+0.27 vol pts
-0.33 vol pts
-0.03 vol pts
25DEC26
95.6 days
82,318.38
-618.12 USD
37.15%
+0.28 vol pts
-0.19 vol pts
-0.13 vol pts
26MAR27
186.6 days
83,320.95
-602.80 USD
38.54%
+0.23 vol pts
+0.09 vol pts
-0.11 vol pts
25JUN27
277.6 days
84,333.11
-621.22 USD
39.63%
+0.05 vol pts
-0.02 vol pts
-0.10 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.
21SEP26rotation towards puts · wing steepening22SEP26rotation towards puts · wing steepening23SEP26rotation towards puts · wing steepening25SEP26rotation towards puts · wing steepening2OCT26rotation towards puts · wing steepening9OCT26rotation towards puts · wing flattening30OCT26rotation towards puts27NOV26parallel 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
21SEP26
22SEP26
23SEP26
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 30OCT26; the largest sigma change occurred at 9OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
21SEP26
+0.00940
-0.01420
-0.09090
-0.01970
-0.10060
rotation towards puts, wing steepening
22SEP26
+0.00320
-0.01040
-0.04920
-0.01270
+0.00220
rotation towards puts, wing steepening
23SEP26
-0.00250
+0.00150
-0.04110
-0.00860
+0.01490
rotation towards puts, wing steepening
25SEP26
-0.01740
+0.01280
+0.03220
+0.02120
+0.07620
rotation towards puts, wing steepening
2OCT26
-0.02460
+0.01750
+0.01400
+0.00600
+0.08320
rotation towards puts, wing steepening
9OCT26
-0.05000
+0.01930
+0.01960
-0.03060
+0.21970
rotation towards puts, wing flattening
30OCT26
-0.01930
-0.00230
+0.09870
+0.06500
+0.08810
rotation towards puts
27NOV26
-0.04480
+0.02260
+0.02330
-0.03550
+0.13370
parallel shift higher
25DEC26
-0.02760
+0.01270
-0.03660
-0.06560
+0.07710
parallel shift higher
26MAR27
-0.00100
+0.00220
-0.05950
-0.07450
+0.01480
parallel shift higher
25JUN27
-0.00020
-0.00480
-0.00620
-0.01090
+0.01830
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 2.3 times VIX, while its 30-session return correlation with SPX was low at 0.27.
Implied-volatility premium
BTC 30-day ATM IV was 34.22%, against VIX at 14.81: a 19.41-point spread and 2.31× ratio.
Realised-volatility regime
BTC 20-calendar-day realised volatility was 42.30%, versus SPX 20-session realised volatility of 9.38%. The spread ranked at 67.9 percentile of 237 prior observations.
Equity co-movement
Return correlation with SPX was 0.265 over 30 aligned sessions and 0.270 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.27, 14.81 and 18.24.
As of 18 Sept 2026, 20:00 UTC. Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
20 Sept 2026, 16:30 UTC
Comparison snapshot
19 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.
