01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Ether fell 2.54 per cent over the 24-hour window, underperforming Bitcoin as markets continued to digest Kevin Warsh’s warning that stubborn inflation could require higher US rates. Two-week implied volatility fell 2.73 points to 45.15 per cent and one-week risk reversal swung towards puts. One-week implied volatility remains well below seven-day realised volatility, while a brief Kraken funding delay was resolved during the session without evidence that it drove the broader repricing.
Ether falls as the front end cheapens
Ether’s spot decline was accompanied by lower implied volatility across the curve and a defensive turn in short-dated skew, while long-dated volatility was comparatively stable.
Macro
Kevin Warsh’s Jackson Hole message left open the possibility of US rate increases if inflation fails to cool, keeping the wider policy setting restrictive for crypto and other risk assets.
Crypto
Kraken reported and then resolved a short-lived delay affecting Ethereum funding. It was operationally relevant to ETH users, but the available evidence does not establish a connection to the broader spot or volatility move.
Editorial summaries are grounded in canonical events returned by the local news MCP. Links identify the underlying reporting; events are context, not assigned causes.
02 · Options Market Read
What the volatility surface did.
2W ATM IV fell 2.73 volatility points to 45.15%, a routine move at the 64th percentile. At the cutoff, realised volatility measured 35.21% over 24 hours, 54.26% over seven days and 49.13% over 30 days. Front-end ATM IV averaged 45.77%, -2.13 points from the prior snapshot, while the long end averaged 55.33%, -0.20 points. The 1Y-minus-1W ATM slope steepened 2.00 points to 12.67 points. 1W RR25 moved 2.02 volatility points toward puts to -1.13%, leaving puts richer than calls. 1M BF25 fell 0.25 volatility points to 2.56%. The nearest eligible forward, 1SEP26, fell $61.27 (-2.45%) to $2,443.80. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
28 Aug 2026, 15:33 UTC to 29 Aug 2026, 15:33 UTCNo sufficiently relevant context identified
No sufficiently relevant context identified
No article met the threshold for inclusion, so the report does not assign a news catalyst.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
310 feed articles scanned across 13 feeds and 13 publishers. 38 fell inside the report window; 3 passed source relevance rules; 0 passed the final threshold; 0 events displayed.
03 · Detailed summary
What changed across the ETH volatility surface.
At the 15:33 UTC cutoff, 1W ATM IV was 43.44%, 10.82 volatility points below seven-day realised volatility of 54.26%; 24-hour realised volatility was 35.21% and 30-day realised volatility was 49.13%.
Front-end ATM IV decreased, averaging -2.13 volatility points to 45.77% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.21 volatility points to 55.33% across 6M and 1Y.
RR25 moved towards puts, averaging -1.05 volatility points to -0.32% across the six headline tenors.
BF25 decreased, averaging -0.14 volatility points to 2.65% across the six headline tenors.
The largest standard-tenor ATM IV move was -2.73 volatility points at 2W, to 45.15%.
Universe roll: added 2SEP26; removed 29AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, -6.93 vol ptsLargest standard-tenor ATM IV move
2W, -2.73 vol ptsLargest standard-tenor RR25 move
1W, -2.02 vol ptsLargest standard-tenor BF25 move
1M, -0.25 vol ptsLargest eligible SVI sigma move
4SEP26, +0.0725 paramLargest eligible SVI rho move
11SEP26, -0.0612 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 43.44 | 45.47 | -2.03 vol pts | -4.46% |
| 2W | 45.15 | 47.88 | -2.73 vol pts | -5.70% |
| 1M | 48.73 | 50.35 | -1.62 vol pts | -3.22% |
| 3M | 52.27 | 52.99 | -0.72 vol pts | -1.36% |
| 6M | 54.55 | 54.93 | -0.38 vol pts | -0.69% |
| 9M | 55.60 | 55.75 | -0.15 vol pts | -0.27% |
| 1Y | 56.11 | 56.14 | -0.03 vol pts | -0.05% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.05 volatility points to -0.32% across the six 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 | -1.13 | 0.89 | -2.02 vol pts |
| 2W | -0.25 | 1.14 | -1.39 vol pts |
| 1M | -0.88 | 0.53 | -1.41 vol pts |
| 3M | -0.31 | 0.50 | -0.81 vol pts |
| 6M | -0.08 | 0.30 | -0.38 vol pts |
| 9M | 0.40 | 0.75 | -0.35 vol pts |
| 1Y | 0.75 | 1.06 | -0.31 vol pts |
07 · Butterflies
BF25 convexity changed most at 1M.
BF25 decreased, averaging -0.14 volatility points to 2.65% across the six headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) |
|---|---|---|---|
| 1W | 2.29 | 2.49 | -0.20 vol pts |
| 2W | 2.69 | 2.78 | -0.09 vol pts |
| 1M | 2.56 | 2.81 | -0.25 vol pts |
| 3M | 2.85 | 3.10 | -0.25 vol pts |
| 6M | 2.92 | 2.96 | -0.04 vol pts |
| 9M | 2.74 | 2.75 | -0.01 vol pts |
| 1Y | 2.59 | 2.60 | -0.01 vol pts |
08 · 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.
Smile rotation
30AUG26, -17.70 vol ptsSmile rotation
31AUG26, -9.74 vol pts09 · Volatility term structure
Today against the previous 24-hour snapshot.
The ATM chart above is the standard-tenor term structure. The listed-expiry table below preserves the exchange maturity detail underneath those interpolated tenors.
| Expiry | Time left | Forward now (USD) | Forward change (USD) | ATM IV now | ATM IV change | RR25 change | BF25 change |
|---|---|---|---|---|---|---|---|
| 30AUG26Expiry effect | 0.7 days | 2,442.97 | -61.12 USD | 29.60% | -7.36 vol pts | -3.18 vol pts | -0.96 vol pts |
| 31AUG26Expiry effect | 1.7 days | 2,443.33 | -61.12 USD | 34.47% | -2.87 vol pts | -2.04 vol pts | -0.58 vol pts |
| 1SEP26 | 2.7 days | 2,443.8 | -61.27 USD | 38.68% | -2.84 vol pts | -1.85 vol pts | -0.35 vol pts |
| 4SEP26 | 5.7 days | 2,444.76 | -61.31 USD | 42.85% | -2.39 vol pts | -2.46 vol pts | -0.38 vol pts |
| 11SEP26 | 12.7 days | 2,446.3 | -61.41 USD | 44.55% | -3.20 vol pts | -1.41 vol pts | -0.11 vol pts |
| 18SEP26 | 19.7 days | 2,448.15 | -62.09 USD | 46.79% | -2.91 vol pts | -1.45 vol pts | +0.01 vol pts |
| 25SEP26 | 26.7 days | 2,451.19 | -62.32 USD | 48.20% | -1.89 vol pts | -1.68 vol pts | -0.30 vol pts |
| 30OCT26 | 61.7 days | 2,456.13 | -63.00 USD | 50.84% | -1.10 vol pts | -0.46 vol pts | -0.10 vol pts |
| 27NOV26 | 89.7 days | 2,462.39 | -61.69 USD | 52.24% | -0.74 vol pts | -0.82 vol pts | -0.26 vol pts |
| 25DEC26 | 117.7 days | 2,467.22 | -61.31 USD | 52.74% | -0.79 vol pts | -0.33 vol pts | -0.11 vol pts |
| 26MAR27 | 208.7 days | 2,492.86 | -60.74 USD | 54.96% | -0.31 vol pts | -0.39 vol pts | -0.01 vol pts |
| 25JUN27 | 299.7 days | 2,520.49 | -61.67 USD | 55.78% | -0.11 vol pts | -0.33 vol pts | -0.01 vol pts |
10 · 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.
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.
11 · SVI diagnostics
Daily movement in a, b, rho, m and sigma.
Among ranking-eligible expiries, the largest absolute rho change occurred at 11SEP26; the largest sigma change occurred at 4SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 30AUG26 | -0.00190 | -0.03720 | -0.11190 | -0.07280 | +0.29580 | rotation towards puts, wing steepening |
| 31AUG26 | -0.00680 | -0.01440 | -0.10920 | -0.07430 | +0.13130 | rotation towards puts, wing steepening |
| 1SEP26 | +0.00240 | -0.01050 | -0.02470 | -0.00890 | +0.03360 | rotation towards puts, wing steepening |
| 4SEP26 | -0.01220 | -0.00010 | -0.03820 | -0.02170 | +0.07250 | rotation towards puts, wing steepening |
| 11SEP26 | -0.00030 | +0.00580 | -0.06120 | -0.02560 | -0.02000 | rotation towards puts, wing steepening |
| 18SEP26 | +0.00630 | +0.00370 | -0.05130 | -0.00720 | -0.05340 | rotation towards puts, wing steepening |
| 25SEP26 | -0.00920 | -0.00120 | -0.03010 | -0.00860 | +0.04950 | rotation towards puts |
| 30OCT26 | +0.00060 | -0.00140 | -0.02890 | -0.01080 | -0.00740 | parallel shift lower |
| 27NOV26 | -0.00400 | -0.00600 | -0.01130 | +0.00500 | +0.03150 | rotation towards puts |
| 25DEC26 | +0.00250 | -0.00610 | -0.01120 | +0.00210 | -0.00640 | parallel shift lower |
| 26MAR27 | +0.01270 | -0.01450 | +0.00550 | +0.03530 | -0.02540 | parallel shift lower |
| 25JUN27 | -0.00420 | +0.01140 | -0.03630 | -0.02630 | -0.00480 | limited movement |
12 · Current surface characteristics
Where normalized model Greek intensity is highest.
These are comparable Black-forward Greeks for a one-ETH ATM-forward call at each listed expiry—not portfolio exposure, open interest or a prediction of dealer positioning.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
- Current snapshot
- 29 Aug 2026, 15:33 UTC
- Comparison snapshot
- 28 Aug 2026, 15:33 UTC
- Source
- Derivasys proprietary historical SVI surface and canonical ETH index databases
- Realised volatility
- Annualised root-mean-square of one-minute canonical ETH-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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.
- 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-ETH ATM-forward call, zero rate, fitted SVI IV
- News window
- 28 Aug 2026, 15:33 UTC to 29 Aug 2026, 15:33 UTC
- Feeds queried
- 13
- Publishers queried
- 13
- Feed articles scanned
- 310
- Inside report window
- 38
- Passed source rules
- 3
- Passed final threshold
- 0
- Event clusters displayed
- 0
Continue through Derivasys