Bitcoin options lose two-week convexity premium as volatility cools
Bitcoin two-week BF25 fell 0.79 volatility points to 1.70% over the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.
Bitcoin two-week BF25 fell 0.79 volatility points to 1.70% over the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.
Bitcoin news mixed during options reset
CoinDesk reported a Bitcoin recovery from Asian-session lows, while Bitcoin Magazine reported a Binance inquiry.
Macro
Bitcoin Magazine reported a federal inquiry into alleged Binance sanctions violations involving Iran.
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 36.50%.
The intraday RV comparison is unavailable because the one-minute index-return series failed its completeness check. This affects the 24-hour, seven-day and 30-day comparison block.
Derived directly from structured Derivasys surface data
03 · Catalyst check
21 Sept 2026, 18:37 UTC to 22 Sept 2026, 18:18 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.
Front end
Front-end ATM IV decreased, averaging -1.14 volatility points to 36.60% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 39.36% (-0.19 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.21 volatility points to -0.23% across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.42 volatility points to 2.02% 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 36.50%.
Universe roll: added 26SEP26; removed 22SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest standard-tenor ATM IV move
1W, -2.86 vol pts02
Largest eligible smile rotation
2OCT26, +2.02 vol pts03
Largest standard-tenor RR25 move
1W, +1.27 vol pts04
Largest standard-tenor BF25 move
2W, -0.79 vol pts05
Largest eligible SVI sigma move
25DEC26, +0.2451 param06
Largest eligible SVI rho move
25DEC26, +0.1046 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
36.50
39.36
-2.86 vol pts
-7.27%
2W
36.63
37.47
-0.84 vol pts
-2.24%
1M
36.68
36.40
+0.28 vol pts
+0.77%
3M
38.71
38.78
-0.07 vol pts
-0.18%
6M
39.36
39.55
-0.19 vol pts
-0.48%
9M
39.89
40.21
-0.32 vol pts
-0.80%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.21 volatility points to -0.23% 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
0.56
-0.71
+1.27 vol pts
2W
0.06
-0.17
+0.23 vol pts
1M
-0.47
-0.44
-0.03 vol pts
3M
-0.78
-0.38
-0.40 vol pts
6M
-0.53
-0.52
-0.01 vol pts
9M
-0.11
-0.40
+0.29 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.42 volatility points to 2.02% 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
1.96
2.43
-0.47 vol pts
2W
1.70
2.49
-0.79 vol pts
1M
1.91
2.34
-0.43 vol pts
3M
2.14
2.40
-0.26 vol pts
6M
2.37
2.52
-0.15 vol pts
9M
2.47
2.54
-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
24SEP26, +14.42 vol pts0.6d
Smile rotation
23SEP26, +10.96 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
23SEP26Expiry effect
0.6 days
86,638.36
+678.68 USD
32.71%
-6.58 vol pts
+1.83 vol pts
-1.01 vol pts
24SEP26Expiry effect
1.6 days
86,662.24
+685.34 USD
35.65%
-4.96 vol pts
+3.63 vol pts
-0.75 vol pts
25SEP26
2.6 days
86,678.24
+689.11 USD
37.54%
-1.80 vol pts
+0.48 vol pts
-0.08 vol pts
2OCT26
9.6 days
86,752.1
+658.18 USD
36.41%
-2.96 vol pts
+0.69 vol pts
-0.57 vol pts
9OCT26
16.6 days
86,810.96
+638.63 USD
36.70%
+0.46 vol pts
+0.04 vol pts
-0.88 vol pts
30OCT26
37.6 days
87,061.49
+617.57 USD
36.67%
+0.22 vol pts
-0.03 vol pts
-0.29 vol pts
27NOV26
65.6 days
87,416.06
+614.97 USD
38.25%
+0.04 vol pts
-0.26 vol pts
-0.50 vol pts
25DEC26
93.6 days
87,793.88
+618.03 USD
38.74%
-0.10 vol pts
-0.42 vol pts
-0.24 vol pts
26MAR27
184.6 days
88,836.24
+641.19 USD
39.37%
-0.19 vol pts
0.00 vol pts
-0.16 vol pts
25JUN27
275.6 days
89,924.18
+675.13 USD
39.90%
-0.33 vol pts
+0.30 vol pts
-0.06 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.
23SEP26rotation towards calls · wing steepening24SEP26rotation towards calls · wing steepening25SEP26rotation towards calls · wing steepening2OCT26rotation towards calls9OCT26rotation towards calls · wing flattening30OCT26limited movement27NOV26limited movement25DEC26parallel shift lower26MAR27parallel shift lower25JUN27parallel 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
23SEP26
24SEP26
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 25DEC26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
23SEP26
+0.03980
-0.06360
+0.05720
+0.01020
-0.14050
rotation towards calls, wing steepening
24SEP26
+0.03240
-0.04730
+0.11500
+0.03490
-0.09920
rotation towards calls, wing steepening
25SEP26
+0.02910
-0.02790
+0.02390
+0.01400
-0.11350
rotation towards calls, wing steepening
2OCT26
-0.00070
-0.01630
+0.01550
-0.00740
+0.06200
rotation towards calls
9OCT26
-0.03300
-0.01170
-0.01540
-0.06770
+0.23760
rotation towards calls, wing flattening
30OCT26
-0.01550
+0.00800
-0.09380
-0.09220
+0.07390
limited movement
27NOV26
-0.00460
-0.02610
-0.00050
-0.03800
+0.10790
limited movement
25DEC26
-0.08250
+0.01410
+0.10460
+0.04230
+0.24510
parallel shift lower
26MAR27
-0.06720
+0.01340
+0.07540
+0.04700
+0.16450
parallel shift lower
25JUN27
-0.08570
+0.02760
+0.07990
+0.04610
+0.16080
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 2.5 times VIX, while its 30-session return correlation with SPX was mixed at 0.39.
Implied-volatility premium
BTC 30-day ATM IV was 36.65%, against VIX at 14.87: a 21.78-point spread and 2.46× ratio.
Daily-close realised-volatility regime
BTC 20-calendar-day realised volatility was 48.77%, versus SPX 20-session realised volatility of 10.66%. The spread ranked at 80.7 percentile of 238 prior observations.
This separate RV estimate uses 20 daily close-to-close log returns, sampled at 16:00 New York time, ending at the completed-session timestamp shown below. It requires a valid close for each day, rather than every intervening minute. Crypto RV is annualised with √365; SPX uses 20 trading-session returns and √252. It does not replace the intraday IV–RV comparison.
Equity co-movement
Return correlation with SPX was 0.392 over 30 aligned sessions and 0.330 over 60 sessions. VIX9D, VIX and VIX3M closed at 13.14, 14.87 and 18.08.
As of 21 Sept 2026, 20:00 UTC. Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
22 Sept 2026, 18:18 UTC
Comparison snapshot
21 Sept 2026, 18:37 UTC
Source
Derivasys proprietary historical SVI surface database
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.
