Daily BTC options market report · 24-hour comparison

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

Name: BTC options surface changes for 2026-09-23
Creator: Derivasys
License: https://www.derivasys.com/research-artifact-license/v1

Bitcoin one-week RR25 fell 3.05 volatility points to -1.89%, 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.

By Sean Gordon — Derivasys Research

Published 23 Sept 2026, 19:20 UTC

Bitcoin options turn defensive as one-week skew swings toward puts. ATM implied-volatility term structure from Derivasys data. — Source: Derivasys options data. Annualised volatility; unsupported tenors and unavailable realised volatility remain blank.

Chart download and source citation

Sean Gordon, “Bitcoin options turn defensive as one-week skew swings toward puts”, Derivasys, 2026-09-23. Source: https://www.derivasys.com/reports/2026-09-23.

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The day in markets.

Wednesday 23 September

Bitcoin skew shifts toward put protection

Bitcoin one-week RR25 moved sharply lower while front-end ATM IV also declined across standard tenors.

Macro

No qualifying macro context was retained.

Crypto

Bitcoin Magazine reported $999 million of Monday inflows into bitcoin ETFs, citing Farside Investors data.

Bitcoin Magazine: Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns

Links identify the underlying reporting. Events are presented as context, not assigned causes.

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

Current · 0 min old

BVIV · Bitfinex market reference

38.76 vol points

Current · 1 min old

BVIV minus DS30

-1.57 vol points

Available

As of 23 Sept 2026, 19:20 UTC. Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices Bitfinex BVIV reference price from the status channel BVIV minus independently selected latest eligible DS30 at or before the requested cutoff

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 -2.46 volatility points, to 34.13%.

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

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 decreased, averaging -1.97 volatility points to 34.55% across 1W, 2W and 1M.

Long end

Six-month ATM IV was broadly unchanged at 38.84% (-0.49 volatility points); 1Y was unavailable.

Skew

RR25 moved towards puts, averaging -1.34 volatility points to -1.28% across the five available headline tenors.

Convexity

BF25 was broadly unchanged, averaging +0.06 volatility points to 2.11% across the five available headline tenors.

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

Largest eligible smile rotation

26SEP26, -15.65 vol pts

Largest standard-tenor RR25 move

1W, -3.05 vol pts

Largest standard-tenor ATM IV move

1W, -2.46 vol pts

Largest eligible SVI sigma move

26SEP26, -0.1472 param

Largest standard-tenor BF25 move

2W, +0.13 vol pts

Largest eligible SVI rho move

26MAR27, -0.1085 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

Tenor	Current (vol %)	Previous (vol %)	Change (vol pts)	Relative change
1W	34.13	36.59	-2.46 vol pts	-6.72%
2W	34.57	36.52	-1.95 vol pts	-5.34%
1M	34.94	36.45	-1.51 vol pts	-4.14%
3M	37.61	38.61	-1.00 vol pts	-2.59%
6M	38.84	39.33	-0.49 vol pts	-1.25%
9M	39.54	39.89	-0.35 vol pts	-0.88%
1Y	Unavailable	Unavailable	Unavailable	Unavailable

07 · Risk reversals

RR25 skew moved most at 1W.

RR25 moved towards puts, averaging -1.34 volatility points to -1.28% across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

Tenor	Current (vol %)	Previous (vol %)	Change (vol pts)
1W	-1.89	1.16	-3.05 vol pts
2W	-1.41	0.54	-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
1Y	Unavailable	Unavailable	Unavailable

08 · Butterflies

BF25 convexity changed most at 2W.

BF25 was broadly unchanged, averaging +0.06 volatility points to 2.11% across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

Tenor	Current (vol %)	Previous (vol %)	Change (vol pts)
1W	2.15	2.04	+0.11 vol pts
2W	1.95	1.82	+0.13 vol pts
1M	1.99	1.91	+0.08 vol pts
3M	2.12	2.14	-0.02 vol pts
6M	2.34	2.36	-0.02 vol pts
9M	2.38	2.47	-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.

0.5d

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.

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
24SEP26Expiry effect	0.5 days	84,336.22	-2223.90 USD	29.64%	-5.63 vol pts	-2.87 vol pts	+0.21 vol pts
25SEP26Expiry effect	1.5 days	84,394.59	-2187.13 USD	37.95%	+0.64 vol pts	-3.08 vol pts	+0.72 vol pts
26SEP26	2.5 days	84,426.48	-2190.45 USD	35.79%	-0.41 vol pts	-4.35 vol pts	+0.59 vol pts
2OCT26	8.5 days	84,471.27	-2183.44 USD	34.54%	-2.15 vol pts	-2.97 vol pts	+0.15 vol pts
9OCT26	15.5 days	84,546.14	-2182.92 USD	34.57%	-1.90 vol pts	-1.68 vol pts	+0.18 vol pts
30OCT26	36.5 days	84,805.66	-2181.16 USD	35.01%	-1.44 vol pts	-0.86 vol pts	+0.08 vol pts
27NOV26	64.5 days	85,172.89	-2156.81 USD	37.07%	-1.02 vol pts	-0.74 vol pts	+0.10 vol pts
25DEC26	92.5 days	85,481.29	-2218.73 USD	37.63%	-1.02 vol pts	-0.47 vol pts	-0.03 vol pts
26MAR27	183.5 days	86,567.75	-2177.48 USD	38.85%	-0.49 vol pts	-0.22 vol pts	-0.02 vol pts
25JUN27	274.5 days	87,682.31	-2159.53 USD	39.55%	-0.35 vol pts	-0.35 vol pts	-0.09 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.

24SEP26rotation towards puts · wing steepening

25SEP26rotation towards puts · wing steepening

26SEP26rotation towards puts · wing steepening

2OCT26rotation towards puts · wing steepening

9OCT26rotation towards puts · wing steepening

30OCT26rotation towards puts

27NOV26rotation towards puts

25DEC26parallel shift lower · rotation towards puts

26MAR27parallel shift lower

25JUN27parallel 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.

24SEP26

25SEP26

26SEP26

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 26MAR27; the largest sigma change occurred at 26SEP26.

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

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

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 20-calendar-day realised volatility was 48.89%, versus SPX 20-session realised volatility of 10.59%. The spread ranked at 80.8 percentile of 239 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 0.393 over 30 aligned sessions and 0.330 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.13, 14.21 and 17.61.

As of 22 Sept 2026, 20:00 UTC. Preserved Derivasys market-context-v1 observations and common-session alignment.

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
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.

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