Bitcoin options lose two-week convexity premium as volatility cools
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.
Prior comparison unavailable: matching asset, cadence and adjacent observation endpoints were not verified.
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.
Measurable watch unavailable: no valid nonzero surface move has comparable endpoints.
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.
Combined surface read: ATM IV fell (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.
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.
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.
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.
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
23SEP26Expiry effect
0.6 days
86,638.36
+678.68 USD
32.71%
-6.58 vol pts
+1.83 vol pts
Unavailable
24SEP26Expiry effect
1.6 days
86,662.24
+685.34 USD
35.65%
-4.96 vol pts
+3.63 vol pts
Unavailable
25SEP26
2.6 days
86,678.24
+689.11 USD
37.54%
-1.80 vol pts
+0.48 vol pts
Unavailable
2OCT26
9.6 days
86,752.1
+658.18 USD
36.41%
-2.96 vol pts
+0.69 vol pts
Unavailable
9OCT26
16.6 days
86,810.96
+638.63 USD
36.70%
+0.46 vol pts
+0.04 vol pts
Unavailable
30OCT26
37.6 days
87,061.49
+617.57 USD
36.67%
+0.22 vol pts
-0.03 vol pts
Unavailable
27NOV26
65.6 days
87,416.06
+614.97 USD
38.25%
+0.04 vol pts
-0.26 vol pts
Unavailable
25DEC26
93.6 days
87,793.88
+618.03 USD
38.74%
-0.10 vol pts
-0.42 vol pts
Unavailable
26MAR27
184.6 days
88,836.24
+641.19 USD
39.37%
-0.19 vol pts
0.00 vol pts
Unavailable
25JUN27
275.6 days
89,924.18
+675.13 USD
39.90%
-0.33 vol pts
+0.30 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.
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
Completed-session cross-asset context
Crypto volatility against US equity risk.
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 reported crypto realised volatility was 48.77%, versus SPX reported realised volatility of 10.66%.
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.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. Any historical spread rank should not be interpreted as establishing matched-horizon comparability.
As of 21 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252).
RV observation windows and sampling
The intraday RV comparison is unavailable. Recorded reason: Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1420 (98.6111% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-21 18:37:00 UTC → 2026-09-22 18:18:00 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)
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.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: BTC 1W ATM IV 36.50% · Δ -2.86 vol pts
Skew: BTC 1W RR25 0.56 vol pts · Δ +1.27 vol pts
Curve: BTC 6M minus 1W ATM IV spread +2.86 vol pts · spread Δ +2.67 vol pts
Vol
BTC 1W ATM IV 36.50% · Δ -2.86 vol ptspercentile rank 75.5% by absolute move · full history (n=151)
Skew
BTC 1W RR25 0.56 vol pts · Δ +1.27 vol ptspercentile rank 74.2% by absolute move · full history (n=151)
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 75.5% by absolute move · full history (n=151)
BTC 1W RR25: percentile rank 74.2% by absolute move · full history (n=151)
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 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.
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 22 Sept 2026, 18:18:00 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. Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1420 (98.6111% coverage); returns spanning missing minutes are excluded 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.
