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Daily BTC options market report · 24-hour comparison

Bitcoin options turn defensive as one-week skew swings toward puts

BTC 1W ATM IV fell 2.46 volatility points; Skew moved toward puts (-3.05 vol points); partial native coverage (3/4 measurements).

By Sean Gordon — Derivasys Research

Generated

Snapshot data and comparison

Snapshot · 23 Sept 2026, 19:20 UTC

Generated timestamp:

  • BTCSpot-index 24h Unavailable1W ATM IV 34.13%1W RR25 -1.89 vol pts1W BF25 Unavailable1W IV − 7D RV Unavailable
Previous report, watch levels and methodology

One-week surface context; the published headline retains its original evidence basis. Cutoffs 22 Sept, 19:20 UTC to 23 Sept, 19:20 UTC.

Measured change since prior report

Prior comparison unavailable: the exact adjacent published edition could not be 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.

  • Hold the observed level: BTC 1W ATM IV ≤ 34.13 percent at . Current level 34.13; threshold is the current observed endpoint.
  • Full retrace: BTC 1W ATM IV ≥ 36.59 percent at . Current level 34.13; 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.

Original legacy edition JSON · SHA-256 99232cefc39eacb7af9b7bd86fabaf68cbd3a7bd17c28f9d7d9828a43b643e6b

Consumed endpoint proof: 5f190b5f0759c297ea4ce535573124835b1a69d00cc5e3fef4b48a5e1f9b1fea

  • 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 2026-09-23T19:20:00+00:00 to 2026-09-24T19:20:00+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 2026-09-23T19:20:00+00:00 to 2026-09-24T19:20:00+00:00.
Chart notes

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.

Links identify the underlying reporting for retained events; entries without a retained link are marked.

BTC volatility context · Derivasys DS30 and Bitfinex BVIV

Model-derived and market-implied volatility.

Derivasys DS30 is model-derived volatility; Bitfinex BVIV is a market-implied reference. Values and their difference are shown in volatility points.

DS30 · Derivasys model-derived

40.33 vol points

Measurement 23 Sept 2026, 19:20:00 UTC

At report cutoff · 0 min measurement lag

BVIV · Bitfinex market reference

38.76 vol points

Measurement 23 Sept 2026, 19:18:59 UTC

At report cutoff · 1 min measurement lag

Measurement age 61s · report-cutoff maximum unknown (not recorded) · source availability: streaming · comparison eligibility not recorded

BVIV minus DS30

-1.57 vol points

As of 23 Sept 2026, 19:20 UTC. Measurement freshness is shown separately for each index.

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

22 Sept 2026, 19:20 UTC to 23 Sept 2026, 19:20 UTC

Relevant context found; no confirmed catalyst

Relevant market event

1 relevant event was 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 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 34.13%.

Universe roll: added 27SEP26; removed 23SEP26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

26SEP26, -15.65 vol pts
02

Largest standard-tenor RR25 move

1W, -3.05 vol pts
03

Largest standard-tenor ATM IV move

1W, -2.46 vol pts
04

Largest eligible SVI sigma move

26SEP26, -0.1472 param
05

Largest eligible SVI rho move

26MAR27, -0.1085 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W34.1336.59-2.46 vol pts-6.72%
2W34.5736.52-1.95 vol pts-5.34%
1M34.9436.45-1.51 vol pts-4.14%
3M37.6138.61-1.00 vol pts-2.59%
6M38.8439.33-0.49 vol pts-1.25%
9M39.5439.89-0.35 vol pts-0.88%
1YUnavailableUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 1W.

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.

-2.3 vol pts-1.3 vol pts-0.4 vol pts0.6 vol pts1.5 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W-1.891.16-3.05 vol pts
2W-1.410.54-1.95 vol pts
1M-1.33-0.31-1.02 vol pts
3M-1.22-0.74-0.48 vol pts
6M-0.56-0.34-0.22 vol pts
9M-0.38-0.03-0.35 vol pts
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity by standard tenor.

BF25 measures the average 25-delta wing premium over ATM IV.

Chart unavailable because fewer than two fixed tenors have reliable observations at both snapshots.

TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1WUnavailableUnavailableUnavailable
2WUnavailableUnavailableUnavailable
1MUnavailableUnavailableUnavailable
3MUnavailableUnavailableUnavailable
6MUnavailableUnavailableUnavailable
9MUnavailableUnavailableUnavailable
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

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.

0.5d

Smile rotation

24SEP26, -16.18 vol pts
1.5d

Smile rotation

25SEP26, -5.28 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.

33.4%35.2%37.0%38.8%40.6%1W2W1M3M6M9M

Suppressed outside the observable listed-expiry range: 1Y.

ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
24SEP26Expiry effect0.5 days84,336.22-2223.90 USD29.64%-5.63 vol pts-2.87 vol ptsUnavailable
25SEP26Expiry effect1.5 days84,394.59-2187.13 USD37.95%+0.64 vol pts-3.08 vol ptsUnavailable
26SEP262.5 days84,426.48-2190.45 USD35.79%-0.41 vol pts-4.35 vol ptsUnavailable
2OCT268.5 days84,471.27-2183.44 USD34.54%-2.15 vol pts-2.97 vol ptsUnavailable
9OCT2615.5 days84,546.14-2182.92 USD34.57%-1.90 vol pts-1.68 vol ptsUnavailable
30OCT2636.5 days84,805.66-2181.16 USD35.01%-1.44 vol pts-0.86 vol ptsUnavailable
27NOV2664.5 days85,172.89-2156.81 USD37.07%-1.02 vol pts-0.74 vol ptsUnavailable
25DEC2692.5 days85,481.29-2218.73 USD37.63%-1.02 vol pts-0.47 vol ptsUnavailable
26MAR27183.5 days86,567.75-2177.48 USD38.85%-0.49 vol pts-0.22 vol ptsUnavailable
25JUN27274.5 days87,682.31-2159.53 USD39.55%-0.35 vol pts-0.35 vol ptsUnavailable

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.

24SEP26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
25SEP26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
26SEP26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
2OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
9OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
30OCT26rotation towards puts
-0.30k0.00k+0.30k
27NOV26rotation towards puts
-0.30k0.00k+0.30k
25DEC26parallel shift lower · rotation towards puts
-0.30k0.00k+0.30k
26MAR27parallel shift lower
-0.30k0.00k+0.30k
25JUN27parallel shift lower
-0.30k0.00k+0.30k

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.

Completed-session cross-asset context

Crypto volatility against US equity risk.

BTC 30-day implied volatility was 2.6 times VIX, while its 30-session return correlation with SPX was mixed at 0.39.

Implied-volatility premium

BTC 30-day ATM IV was 36.48%, against VIX at 14.21: a 22.27-point spread and 2.57× ratio.

Daily-close realised-volatility regime

BTC reported crypto realised volatility was 48.89%, versus SPX reported realised volatility of 10.59%.

Equity co-movement

Return correlation with SPX was 0.393 over 30 aligned sessions and 0.330 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.13, 14.21 and 17.61.

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 22 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.

Evidence and methodology

Preserved Derivasys market-context-v1 observations and common-session alignment.

Index evidence and methodology

DS30 · Source measurement 23 Sept 2026, 19:20:00 UTC; observed receipt not recorded; ingested not recorded. Freshness: At report cutoff, evaluated 23 Sept 2026, 19:20:00 UTC. Measurement age 0s · report-cutoff maximum unknown (not recorded) · comparison eligibility not recorded. Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices

BVIV · Source measurement 23 Sept 2026, 19:18:59 UTC; observed receipt 23 Sept 2026, 19:19:00 UTC; ingested 23 Sept 2026, 19:19:00 UTC. Freshness: At report cutoff, evaluated 23 Sept 2026, 19:20:00 UTC. Measurement age 61s · report-cutoff maximum unknown (not recorded) · source availability: streaming · comparison eligibility not recorded. Bitfinex BVIV reference price from the status channel

BVIV minus independently selected latest eligible DS30 at or before the requested cutoff

Source index JSON
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 1415 (98.2639% 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
2026-09-22 19:20:00 UTC → 2026-09-23 19:20:00 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 one-week RR25 fell 3.05 volatility points to -1.89 volatility points, shifting relative volatility toward puts from a call-rich reading at the prior cutoff. Bitcoin one-week ATM IV fell 2.46 volatility points to 34.13%, while Bitcoin front-end ATM IV across one week to one month averaged 34.55%, down 1.97 points. The Bitcoin 26SEP26 forward price fell 2.53% to $84,426.48. One-minute realised-volatility comparisons were unavailable.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: BTC 1W ATM IV 34.13% · Δ -2.46 vol pts

Skew: BTC 1W RR25 -1.89 vol pts · Δ -3.05 vol pts

Curve: BTC 6M minus 1W ATM IV spread +4.71 vol pts · spread Δ +1.97 vol pts

Vol

BTC 1W ATM IV 34.13% · Δ -2.46 vol ptspercentile rank 66.4% by absolute move · full history (n=152)

Skew

BTC 1W RR25 -1.89 vol pts · Δ -3.05 vol ptspercentile rank 93.4% by absolute move · full history (n=152)

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 66.4% by absolute move · full history (n=152)

BTC 1W RR25: percentile rank 93.4% by absolute move · full history (n=152)

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.

Download original published edition and evidence receipts (JSON). Artifact SHA-256: 99232cefc39eacb7af9b7bd86fabaf68cbd3a7bd17c28f9d7d9828a43b643e6b.

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 26SEP26.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
24SEP26+0.03310-0.04850-0.09410-0.01310-0.24970rotation towards puts, wing steepening
25SEP26+0.03660-0.05110+0.05160+0.01990-0.23690rotation towards puts, wing steepening
26SEP26+0.02450-0.01690-0.10700-0.01620-0.14720rotation towards puts, wing steepening
2OCT26+0.01250+0.00070-0.05050+0.01150-0.08550rotation towards puts, wing steepening
9OCT26+0.01570+0.00250-0.04940+0.01140-0.10210rotation towards puts, wing steepening
30OCT26+0.02310-0.01910+0.03980+0.07370-0.08010rotation towards puts
27NOV26+0.01500+0.00710-0.05450-0.00100-0.08520rotation towards puts
25DEC26+0.01390+0.00780-0.09190-0.07830-0.05760parallel shift lower, rotation towards puts
26MAR27-0.00350+0.01570-0.10850-0.11880-0.02280parallel shift lower
25JUN27+0.01670-0.00080-0.08360-0.08080-0.03680parallel 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.

Highest Vega25JUN27, 298.938606 USD / vol pt
Highest Gamma24SEP26, 0.00042 1 / USD
Highest Theta Decay24SEP26, -359.246186 USD / day
Highest Vanna25JUN27, 0.001705 delta / vol pt
Highest Volga25JUN27, -22.23115 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
BTCUnavailableUnavailablenot recorded / not recorded requirednot recorded / not recorded maximum

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 23 Sept 2026, 19:20:00 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 1415 (98.2639% coverage); returns spanning missing minutes are excluded Full 7D coverage policy was not recorded.

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
23 Sept 2026, 19:20 UTC
Comparison snapshot
22 Sept 2026, 19:20 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
Original wing convention
BF25 = (iv25Call + iv25Put) / 2 − ivAtm. Verified captured inputs supply the reader values; unavailable inputs remain unavailable.
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.

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