01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
Ether rose 1.61 per cent over the 24-hour window and, unlike Bitcoin, drew a clearer response from short-dated options. One-week implied volatility gained 1.97 points to 45.25 per cent, although it still sat below seven-day realised volatility. Calls also became relatively richer and butterfly convexity increased. Sber’s collateral plans supplied relevant institutional context, but the observed market reaction was too small to support a causal claim.
Ether’s front end catches the spot advance
Ether’s forward and short-dated implied volatility rose together, while the one-year-minus-one-week slope flattened as most of the repricing remained concentrated near the front of the curve.
Macro
The weekend produced no fresh scheduled macro release that met the report’s relevance threshold; the latest completed US-session context therefore remains Friday’s close.
Crypto
Sber’s plan to accept Ether alongside Bitcoin and USDT as loan collateral was the most directly relevant institutional development, but it is presented as context rather than an explanation for the options 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.
1W ATM IV rose 1.97 volatility points to 45.25%, a routine move at the 33rd percentile. At the cutoff, realised volatility measured 23.09% over 24 hours, 51.16% over seven days and 48.82% over 30 days. Front-end ATM IV averaged 47.01%, +1.44 points from the prior snapshot, while the long end averaged 55.39%, +0.13 points. The 1Y-minus-1W ATM slope flattened 1.83 points to 10.92 points. 1W RR25 moved 1.56 volatility points toward calls to -0.08%, leaving puts richer than calls. 1W BF25 rose 0.34 volatility points to 2.66%. The nearest eligible forward, 2SEP26, rose $39.41 (+1.62%) to $2,476.23. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
29 Aug 2026, 14:11 UTC to 30 Aug 2026, 14:11 UTCRelevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
News is presented as contextual association unless the structured evidence supports a stronger relationship.
2 canonical events scanned through the news MCP across 2 publishers. 2 fell inside the report window; 1 were BTC-tagged; 1 passed the final threshold; 1 event displayed.
03 · Detailed summary
What changed across the ETH volatility surface.
At the 14:11 UTC cutoff, 1W ATM IV was 45.25%, 5.91 volatility points below seven-day realised volatility of 51.16%; 24-hour realised volatility was 23.09% and 30-day realised volatility was 48.82%.
Front-end ATM IV increased, averaging +1.44 volatility points to 47.01% across 1W, 2W and 1M.
Long-dated ATM IV increased, averaging +0.13 volatility points to 55.39% across 6M and 1Y.
RR25 moved towards calls, averaging +0.44 volatility points to -0.09% across the six headline tenors.
BF25 increased, averaging +0.18 volatility points to 2.84% across the six headline tenors.
The largest standard-tenor ATM IV move was +1.97 volatility points at 1W, to 45.25%.
Universe roll: added 3SEP26; removed 30AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
2SEP26, +8.94 vol ptsLargest standard-tenor ATM IV move
1W, +1.97 vol ptsLargest standard-tenor RR25 move
1W, +1.56 vol ptsLargest standard-tenor BF25 move
1W, +0.34 vol ptsLargest eligible SVI rho move
4SEP26, +0.1671 paramLargest eligible SVI sigma move
2SEP26, -0.1385 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 45.25 | 43.28 | +1.97 vol pts | +4.55% |
| 2W | 46.61 | 45.06 | +1.55 vol pts | +3.44% |
| 1M | 49.17 | 48.38 | +0.79 vol pts | +1.63% |
| 3M | 52.40 | 52.15 | +0.25 vol pts | +0.48% |
| 6M | 54.60 | 54.48 | +0.12 vol pts | +0.22% |
| 9M | 55.64 | 55.53 | +0.11 vol pts | +0.20% |
| 1Y | 56.17 | 56.03 | +0.14 vol pts | +0.25% |
06 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards calls, averaging +0.44 volatility points to -0.09% 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 | -0.08 | -1.64 | +1.56 vol pts |
| 2W | 0.18 | -0.60 | +0.78 vol pts |
| 1M | -1.02 | -1.26 | +0.24 vol pts |
| 3M | -0.19 | -0.40 | +0.21 vol pts |
| 6M | -0.12 | -0.12 | 0.00 vol pts |
| 9M | 0.38 | 0.45 | -0.07 vol pts |
| 1Y | 0.69 | 0.82 | -0.13 vol pts |
07 · Butterflies
BF25 convexity changed most at 1W.
BF25 increased, averaging +0.18 volatility points to 2.84% 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 | 2.66 | 2.32 | +0.34 vol pts |
| 2W | 2.88 | 2.68 | +0.20 vol pts |
| 1M | 2.66 | 2.54 | +0.12 vol pts |
| 3M | 2.95 | 2.86 | +0.09 vol pts |
| 6M | 3.24 | 2.94 | +0.30 vol pts |
| 9M | 2.92 | 2.77 | +0.15 vol pts |
| 1Y | 2.65 | 2.60 | +0.05 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
31AUG26, +13.71 vol ptsSmile rotation
1SEP26, +10.10 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 |
|---|---|---|---|---|---|---|---|
| 31AUG26Expiry effect | 0.7 days | 2,475.04 | +38.84 USD | 39.62% | +6.77 vol pts | +2.77 vol pts | +0.69 vol pts |
| 1SEP26Expiry effect | 1.7 days | 2,475.94 | +39.25 USD | 42.81% | +5.38 vol pts | +2.43 vol pts | +0.31 vol pts |
| 2SEP26 | 2.7 days | 2,476.23 | +39.41 USD | 43.73% | +4.40 vol pts | +2.39 vol pts | +0.63 vol pts |
| 4SEP26 | 4.7 days | 2,476.91 | +39.48 USD | 44.75% | +2.06 vol pts | +2.12 vol pts | +0.48 vol pts |
| 11SEP26 | 11.7 days | 2,478.98 | +39.96 USD | 45.67% | +1.21 vol pts | +0.55 vol pts | +0.03 vol pts |
| 18SEP26 | 18.7 days | 2,481.03 | +39.99 USD | 47.82% | +1.05 vol pts | +0.93 vol pts | +0.37 vol pts |
| 25SEP26 | 25.7 days | 2,484.2 | +40.28 USD | 48.58% | +0.73 vol pts | +0.21 vol pts | +0.11 vol pts |
| 30OCT26 | 60.7 days | 2,490.12 | +40.83 USD | 50.95% | +0.41 vol pts | -0.12 vol pts | -0.02 vol pts |
| 27NOV26 | 88.7 days | 2,496.28 | +41.16 USD | 52.34% | +0.21 vol pts | +0.27 vol pts | +0.09 vol pts |
| 25DEC26 | 116.7 days | 2,501.53 | +41.49 USD | 52.96% | +0.41 vol pts | -0.12 vol pts | +0.06 vol pts |
| 26MAR27 | 207.7 days | 2,527.61 | +41.92 USD | 54.96% | +0.04 vol pts | +0.02 vol pts | +0.34 vol pts |
| 25JUN27 | 298.7 days | 2,556.09 | +42.64 USD | 55.82% | +0.11 vol pts | -0.09 vol pts | +0.13 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 4SEP26; the largest sigma change occurred at 2SEP26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 31AUG26 | -0.00140 | +0.01850 | +0.12940 | +0.08800 | -0.10150 | rotation towards calls, wing steepening |
| 1SEP26 | +0.00280 | +0.00020 | +0.11230 | +0.07000 | -0.02390 | rotation towards calls, wing steepening |
| 2SEP26 | +0.02110 | -0.00040 | +0.13420 | +0.09330 | -0.13850 | rotation towards calls, wing steepening |
| 4SEP26 | +0.01380 | -0.00190 | +0.16710 | +0.11650 | -0.08790 | rotation towards calls, wing steepening |
| 11SEP26 | -0.02630 | +0.00900 | +0.10660 | +0.05710 | +0.09150 | rotation towards calls |
| 18SEP26 | -0.00990 | +0.00850 | +0.10920 | +0.06700 | +0.00700 | rotation towards calls, wing steepening |
| 25SEP26 | -0.02540 | +0.01220 | +0.09290 | +0.06260 | +0.06670 | parallel shift higher |
| 30OCT26 | -0.03270 | +0.01270 | +0.09130 | +0.05460 | +0.10970 | parallel shift higher |
| 27NOV26 | -0.02010 | +0.00650 | +0.11610 | +0.07660 | +0.05910 | parallel shift higher |
| 25DEC26 | -0.02240 | +0.00600 | +0.11770 | +0.08770 | +0.07650 | parallel shift higher |
| 26MAR27 | -0.01430 | -0.00520 | +0.12630 | +0.11700 | +0.03320 | parallel shift higher |
| 25JUN27 | -0.06580 | +0.04470 | +0.00270 | -0.05170 | +0.11480 | parallel shift higher |
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
- 30 Aug 2026, 14:11 UTC
- Comparison snapshot
- 29 Aug 2026, 14:11 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
- 29 Aug 2026, 14:11 UTC to 30 Aug 2026, 14:11 UTC
- Feeds queried
- 1
- Publishers queried
- 2
- Feed articles scanned
- 2
- Inside report window
- 2
- Passed source rules
- 1
- Passed final threshold
- 1
- Event clusters displayed
- 1
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