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Daily BTC options market report · 24-hour comparison

Bitcoin falls 2.56% with modest IV changes

BTC spot-index return was -2.56% over 24h; the largest stored ATM IV move was 1M, +0.36 vol points to 34.99%.

By Sean Gordon — Derivasys Research

Published · Snapshot

Snapshot · 7 Oct 2026, 16:30 UTC

  • BTCSpot-index 24h -2.56%1W ATM IV 31.76%1W RR25 -0.49 vol pts1W BF25 +1.59 vol pts1W IV − 7D RV +1.36 vol pts
  • BTC1W ATM IV 31.76%Spot-index 24h -2.56%
Full snapshot readings
  • BTCSpot-index 24h -2.56%1W ATM IV 31.76%1W RR25 -0.49 vol pts1W BF25 +1.59 vol pts1W IV − 7D RV +1.36 vol pts

01 · Daily briefing

Macro · Crypto · Options

The day in markets.

Bitcoin options: 24-hour spot return of -2.56% accompanies modest IV changes

Bitcoin recorded a -2.56% 24-hour spot-index return at the October 7 16:30 UTC cutoff against the October 6 16:30 UTC baseline. Across that same comparison, front-end ATM implied volatility averaged 33.17% across 1W, 2W and 1M, increasing 0.23 volatility points. Matching spot history is unavailable, preventing a historical rarity assessment of the decline.

Macro

No qualifying macro event was retained for this report window.

Crypto

Cointelegraph reported Bitcoin's price decline and, in a separate update, Bitcoin ETF net inflows on Tuesday despite falling prices. The ETF reporting covers a different period from the cutoff-to-cutoff comparison. The Defiant reported Ledger's launch of wrapped-Bitcoin loans through Morpho. These single-source reports provide market and borrowing context without establishing a cause for the measured spot return or options adjustments.

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

40.50 vol points

Measurement 07 Oct 2026, 16:30:00 UTC

At report cutoff · 0 min measurement lag

BVIV · Bitfinex market reference

38.41 vol points

Measurement 07 Oct 2026, 16:28:55 UTC

At report cutoff · 1 min measurement lag

Measurement age 65s · report-cutoff maximum unknown (not recorded) · source availability: streaming · comparison eligibility not recorded

BVIV minus DS30

-2.08 vol points

As of 07 Oct 2026, 16:30 UTC. Measurement freshness is shown separately for each index.

Index evidence and methodology

DS30 · Source measurement 07 Oct 2026, 16:30:00 UTC; observed receipt not recorded; ingested not recorded. Freshness: At report cutoff, evaluated 07 Oct 2026, 16:30:00 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 07 Oct 2026, 16:28:55 UTC; observed receipt 07 Oct 2026, 16:29:00 UTC; ingested 07 Oct 2026, 16:29:00 UTC. Freshness: At report cutoff, evaluated 07 Oct 2026, 16:30:00 UTC. Measurement age 65s · 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

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 1M at +0.36 volatility points, to 34.99%.

RV observation windows

The 24-hour, seven-day and 30-day RV windows are assessed independently using observed one-minute index returns, annualised on a 365-day basis. Recorded minimums: at least 98% coverage over 24 hours, 97% coverage over seven days, 99.5% coverage over 30 days, with no gap longer than 60 minutes. Returns spanning gaps are excluded, not interpolated; unavailable windows remain unreported. The exact 24-hour spot return requires prices at both endpoints.

Derived directly from structured Derivasys surface data

03 · Catalyst check

06 Oct 2026, 16:30 UTC to 07 Oct 2026, 16:30 UTC

Relevant context found; no confirmed catalyst

Relevant market events

3 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.

Implied versus realised

At the 16:30 UTC cutoff, 1W ATM IV was 31.76%, 1.36 volatility points above seven-day realised volatility of 30.40%; 24-hour realised volatility was 32.20% and 30-day realised volatility was 34.48%.

Front end

Front-end ATM IV increased, averaging +0.23 volatility points to 33.17% across 1W, 2W and 1M.

Long end

Six-month ATM IV was broadly unchanged at 37.44% (-0.09 volatility points); 1Y was unavailable.

Skew

RR25 was broadly unchanged, averaging +0.05 volatility points to -0.65 volatility points across the five available headline tenors.

Convexity

BF25 was broadly unchanged, averaging -0.05 volatility points to 2.00 volatility points across the five available headline tenors.

Largest standard-tenor move

The largest standard-tenor ATM IV move was +0.36 volatility points at 1M, to 34.99%.

Universe roll: added 11OCT26; removed 7OCT26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

23OCT26, -1.26 vol pts
02

Largest standard-tenor RR25 move

2W, -0.41 vol pts
03

Largest standard-tenor ATM IV move

1M, +0.36 vol pts
04

Largest eligible SVI sigma move

25JUN27, +0.1332 param
05

Largest standard-tenor BF25 move

1W, -0.09 vol pts
06

Largest eligible SVI rho move

25JUN27, +0.0579 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W31.7631.77-0.01 vol pts-0.03%
2W32.7732.44+0.33 vol pts+1.02%
1M34.9934.63+0.36 vol pts+1.04%
3M36.8736.77+0.10 vol pts+0.27%
6M37.4437.53-0.09 vol pts-0.24%
9M38.2338.45-0.22 vol pts-0.57%
1YUnavailableUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 2W.

RR25 was broadly unchanged, averaging +0.05 volatility points to -0.65 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

-1.1 vol pts-0.9 vol pts-0.6 vol pts-0.4 vol pts-0.1 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W-0.49-0.70+0.21 vol pts
2W-0.74-0.33-0.41 vol pts
1M-0.68-0.89+0.21 vol pts
3M-0.67-0.92+0.25 vol pts
6M-0.66-0.65-0.01 vol pts
9M-0.55-0.35-0.20 vol pts
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 1W.

BF25 was broadly unchanged, averaging -0.05 volatility points to 2.00 volatility points across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

1.4 vol pts1.7 vol pts2.0 vol pts2.3 vol pts2.5 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W1.591.68-0.09 vol pts
2W1.841.89-0.05 vol pts
1M2.042.13-0.09 vol pts
3M2.212.24-0.03 vol pts
6M2.342.33+0.01 vol pts
9M2.332.31+0.02 vol pts
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.

0.6d

Smile rotation

8OCT26, -4.49 vol pts
1.6d

ATM IV change

9OCT26, +1.29 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.

31.0%33.0%35.1%37.2%39.3%1W2W1M3M6M9M

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

ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
8OCT26Expiry effect0.6 days83,532.14-2175.98 USD31.49%+2.50 vol pts-0.77 vol pts+0.43 vol pts
9OCT26Expiry effect1.6 days83,550.29-2157.77 USD31.78%+1.29 vol pts-0.21 vol pts+0.19 vol pts
10OCT262.6 days83,566.59-2177.43 USD31.03%+0.23 vol pts+0.26 vol pts+0.10 vol pts
16OCT268.6 days83,654-2173.48 USD32.44%+0.39 vol pts0.00 vol pts-0.10 vol pts
23OCT2615.6 days83,742.66-2163.47 USD32.83%+0.26 vol pts-0.53 vol pts-0.09 vol pts
30OCT2622.6 days83,851.13-2164.71 USD33.92%+0.26 vol pts+0.13 vol pts-0.13 vol pts
27NOV2650.6 days84,158.61-2208.37 USD36.29%+0.20 vol pts+0.29 vol pts-0.07 vol pts
25DEC2678.6 days84,483.1-2195.45 USD36.74%+0.14 vol pts+0.31 vol pts-0.05 vol pts
26MAR27169.6 days85,532.08-2247.79 USD37.27%-0.07 vol pts+0.03 vol pts+0.01 vol pts
25JUN27260.6 days86,688.46-2267.46 USD38.14%-0.23 vol pts-0.23 vol pts+0.01 vol pts
24SEP27351.6 days87,812.45-2318.75 USD38.67%-0.19 vol pts-0.11 vol pts+0.07 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.

8OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
9OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
10OCT26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
16OCT26parallel shift higher
-0.30k0.00k+0.30k
23OCT26rotation towards puts
-0.30k0.00k+0.30k
30OCT26limited movement
-0.30k0.00k+0.30k
27NOV26limited movement
-0.30k0.00k+0.30k
25DEC26limited movement
-0.30k0.00k+0.30k
26MAR27parallel shift lower
-0.30k0.00k+0.30k
25JUN27parallel shift lower
-0.30k0.00k+0.30k
24SEP27parallel 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 2.3 times VIX, while its 30-session return correlation with SPX was mixed at 0.61.

Implied-volatility premium

BTC 30-day ATM IV was 34.42%, against VIX at 15.01: a 19.41-point spread and 2.29× ratio.

Daily-close realised-volatility regime

BTC 20-calendar-day realised volatility was 39.02%, versus SPX 20-session realised volatility of 10.39%. The spread ranked at percentile rank 53.4% of 249 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 0.609 over 30 aligned sessions and 0.339 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.03, 15.01 and 17.64.

As of 06 Oct 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.

Evidence and methodology

MCP market_context_latest schemaVersion=1, methodologyVersion=market-context-v1, qualityStatus=valid, provider=yahoo_finance with Derivasys crypto metrics. Alignment tolerance 600 seconds. Crypto ATM IV: 30 calendar-day fixed tenor, ACT/365 convention. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365). SPX RV: 20 US trading-session log returns, sqrt(252). Spreads retain volatility_points; ratios retain ratio; correlations retain correlation_coefficient; percentiles retain percentile_rank. Sources: Derivasys 30-day fixed-tenor surface, Derivasys canonical crypto index, ^GSPC, ^VIX, ^VIX9D, ^VIX3M. Empirical percentiles use prior valid persisted observations only.

Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-10-06 16:30:00 UTC → 2026-10-07 16:30:00 UTC

Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.

Original report summary

Bitcoin's 24-hour spot-index return was -2.56% from October 6 at 16:30 UTC to October 7 at 16:30 UTC. Options repricing remained limited: 1M ATM implied volatility increased 0.36 volatility points to 34.99%. Separate reporting on Bitcoin ETF inflows and Ledger's wrapped-Bitcoin borrowing launch adds context without establishing a cause for the measured changes.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: BTC 1W ATM IV 31.76% · Δ -0.01 vol pts

Skew: BTC 1W RR25 -0.49 vol pts · Δ +0.21 vol pts

Relative value: BTC 1W IV 31.76% / 7D RV 30.40% · spread +1.36 vol pts

Vol

BTC 1W ATM IV 31.76% · Δ -0.01 vol ptspercentile rank 0.0% by absolute move · full history (n=166)

Skew

BTC 1W RR25 -0.49 vol pts · Δ +0.21 vol ptspercentile rank 13.9% by absolute move · full history (n=166)

Wings

BTC 1W BF25 1.59 vol pts · Δ -0.09 vol ptspercentile rank 32.5% by absolute move · full history (n=166)

IV versus RV

BTC 1W IV 31.76% / 7D RV 30.40% · spread +1.36 vol pts

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 0.0% by absolute move · full history (n=166)

BTC 1W RR25: percentile rank 13.9% by absolute move · full history (n=166)

BTC 1W BF25: percentile rank 32.5% by absolute move · full history (n=166)

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 25JUN27; the largest sigma change occurred at 25JUN27.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
8OCT26+0.04420-0.03450-0.03140-0.00840-0.33390rotation towards puts, wing steepening
9OCT26+0.02310-0.01910-0.00260+0.00280-0.13210rotation towards puts, wing steepening
10OCT26+0.02270-0.01750+0.00440+0.00640-0.10980rotation towards calls, wing steepening
16OCT26+0.01090-0.01370+0.00470+0.00270-0.02150parallel shift higher
23OCT26+0.00420-0.00750-0.00220+0.00510-0.00220rotation towards puts
30OCT26+0.00630-0.01100-0.02460-0.01520-0.00370limited movement
27NOV26+0.01470-0.00400-0.05320-0.04020-0.03910limited movement
25DEC26-0.00410+0.00220-0.00430-0.01660+0.01190limited movement
26MAR27-0.03620+0.01800+0.01850-0.00660+0.07210parallel shift lower
25JUN27-0.06870+0.02660+0.05790+0.03740+0.13320parallel shift lower
24SEP27-0.03480+0.01730+0.01630+0.01980+0.03690parallel 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 Vega24SEP27, 337.715973 USD / vol pt
Highest Gamma8OCT26, 0.000361 1 / USD
Highest Theta Decay8OCT26, -341.731031 USD / day
Highest Vanna24SEP27, 0.001923 delta / vol pt
Highest Volga24SEP27, -0.314542 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
BTC30.40%Available100% / 97% required0 min / 60 min 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 · Available · Surface cutoff 07 Oct 2026, 16:30:00 UTC · 7D coverage 100% / 97% required · largest 7D gap 0 min / 60 min maximum · maximum gap 60 min.

24h: complete; 1440/1440 observed returns; 100% coverage; 98% minimum; 0 min largest gap.

7d: complete; 10080/10080 observed returns; 100% coverage; 97% minimum; 0 min largest gap.

30d: complete; 43200/43200 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
07 Oct 2026, 16:30 UTC
Comparison snapshot
06 Oct 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.

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