01 · Daily briefing
Macro · Crypto · OptionsThe day in markets.
ETH’s front-end implied volatility rose modestly into the cutoff, while longer-dated ATM IV eased and the term structure flattened. The largest standard-tenor movement was a routine 2W increase, and 3M RR25 moved toward relative call-side volatility. A BitMine treasury update was published within the window, but its timed reaction does not demonstrate that it caused the observed end-of-window surface configuration.
ETH front end rises modestly
Two-week ATM IV rose as longer-dated volatility eased and call-side skew strengthened.
Macro
No qualifying macro event was retained for ETH.
Crypto
BitMine reported an unchanged staked balance and treasury growth.
Editorial summaries are grounded in canonical events returned by the local news MCP. Links identify the underlying reporting; events are context, not assigned causes.
Completed-session cross-asset context
Crypto volatility against US equity risk.
Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.
ETH 30-day ATM IV was 48.81%, against VIX at 14.43: a 34.38-point spread and 3.38× ratio.
ETH 20-calendar-day realised volatility was 60.97%, versus SPX 20-session realised volatility of 10.58%. The spread ranked at the 46.8th percentile of 220 prior observations.
Return correlation with SPX was -0.007 over 30 aligned sessions and 0.442 over 60 sessions. VIX9D, VIX and VIX3M closed at 11.22, 14.43 and 17.48.
As of 28 Aug 2026, 20:00 UTC. Persisted common US session. ETH realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available.
02 · Options Market Read
What the volatility surface did.
2W ATM IV rose 0.74 volatility points to 47.90%, a routine move at the 46th percentile. At the cutoff, realised volatility measured 56.00% over 24 hours, 45.71% over seven days and 49.72% over 30 days. Front-end ATM IV averaged 48.10%, +0.57 points from the prior snapshot, while the long end averaged 55.03%, -0.22 points. The 1Y-minus-1W ATM slope flattened 0.53 points to 9.16 points. 3M RR25 moved 0.68 volatility points toward calls to 0.94%, leaving calls richer than puts. 1W BF25 fell 0.26 volatility points to 2.36%. The nearest eligible forward, 3SEP26, fell $20.95 (-0.84%) to $2,472.81. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.
Derived directly from structured Derivasys surface data03 · Catalyst check
30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 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.
41 canonical events scanned through the news MCP across 3 publishers. 4 fell inside the report window; 4 were ETH-tagged; 1 passed the final threshold; 1 event displayed.
03 · Detailed summary
What changed across the ETH volatility surface.
At the 20:58 UTC cutoff, 1W ATM IV was 46.87%, 1.16 volatility points above seven-day realised volatility of 45.71%; 24-hour realised volatility was 56.00% and 30-day realised volatility was 49.72%.
Front-end ATM IV increased, averaging +0.57 volatility points to 48.10% across 1W, 2W and 1M.
Long-dated ATM IV decreased, averaging -0.22 volatility points to 55.03% across 6M and 1Y.
RR25 moved towards calls, averaging +0.22 volatility points to 0.82% across the six headline tenors.
BF25 decreased, averaging -0.19 volatility points to 2.55% across the six headline tenors.
The largest standard-tenor ATM IV move was +0.74 volatility points at 2W, to 47.90%.
Universe roll: no additions; removed 31AUG26. Comparisons use common expiries only.
04 · Standard-tenor ranking
Largest surface events
Largest eligible smile rotation
4SEP26, +0.81 vol ptsLargest standard-tenor ATM IV move
2W, +0.74 vol ptsLargest standard-tenor RR25 move
3M, +0.68 vol ptsLargest standard-tenor BF25 move
1W, -0.26 vol ptsLargest eligible SVI sigma move
25DEC26, -0.1313 paramLargest eligible SVI rho move
25DEC26, -0.0341 param05 · ATM volatility
Standard-tenor ATM implied volatility.
| Tenor | Current (vol %) | Previous (vol %) | Change (vol pts) | Relative change |
|---|---|---|---|---|
| 1W | 46.87 | 46.33 | +0.54 vol pts | +1.17% |
| 2W | 47.90 | 47.16 | +0.74 vol pts | +1.57% |
| 1M | 49.52 | 49.10 | +0.42 vol pts | +0.86% |
| 3M | 51.51 | 52.04 | -0.53 vol pts | -1.02% |
| 6M | 54.02 | 54.47 | -0.45 vol pts | -0.83% |
| 9M | 55.35 | 55.49 | -0.14 vol pts | -0.25% |
| 1Y | 56.03 | 56.02 | +0.01 vol pts | +0.02% |
06 · Risk reversals
RR25 skew moved most at 3M.
RR25 moved towards calls, averaging +0.22 volatility points to 0.82% 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 | 1.28 | 1.06 | +0.22 vol pts |
| 2W | 1.16 | 1.28 | -0.12 vol pts |
| 1M | 0.01 | -0.31 | +0.32 vol pts |
| 3M | 0.94 | 0.26 | +0.68 vol pts |
| 6M | 0.42 | 0.24 | +0.18 vol pts |
| 9M | 0.78 | 0.72 | +0.06 vol pts |
| 1Y | 1.09 | 1.04 | +0.05 vol pts |
07 · Butterflies
BF25 convexity changed most at 1W.
BF25 decreased, averaging -0.19 volatility points to 2.55% 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 | 2.36 | 2.62 | -0.26 vol pts |
| 2W | 2.36 | 2.60 | -0.24 vol pts |
| 1M | 2.49 | 2.63 | -0.14 vol pts |
| 3M | 2.78 | 2.88 | -0.10 vol pts |
| 6M | 2.86 | 3.00 | -0.14 vol pts |
| 9M | 2.62 | 2.84 | -0.22 vol pts |
| 1Y | 2.43 | 2.68 | -0.25 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.
ATM IV change
1SEP26, -5.23 vol ptsATM IV change
2SEP26, -1.02 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 |
|---|---|---|---|---|---|---|---|
| 1SEP26Expiry effect | 0.5 days | 2,471.75 | -21.14 USD | 41.87% | -5.23 vol pts | -1.07 vol pts | -0.61 vol pts |
| 2SEP26Expiry effect | 1.5 days | 2,472.43 | -20.93 USD | 45.37% | -1.02 vol pts | -0.53 vol pts | -0.55 vol pts |
| 3SEP26 | 2.5 days | 2,472.81 | -20.95 USD | 46.40% | +0.13 vol pts | -0.19 vol pts | -0.39 vol pts |
| 4SEP26 | 3.5 days | 2,472.69 | -21.46 USD | 47.22% | +0.60 vol pts | +0.22 vol pts | -0.34 vol pts |
| 11SEP26 | 10.5 days | 2,475.14 | -20.95 USD | 46.75% | +0.62 vol pts | 0.00 vol pts | -0.24 vol pts |
| 18SEP26 | 17.5 days | 2,477.04 | -21.25 USD | 48.56% | +0.31 vol pts | -0.09 vol pts | -0.23 vol pts |
| 25SEP26 | 24.5 days | 2,479.94 | -21.50 USD | 49.17% | +0.68 vol pts | +0.11 vol pts | -0.21 vol pts |
| 30OCT26 | 59.5 days | 2,485.72 | -21.60 USD | 50.28% | -0.51 vol pts | +0.49 vol pts | -0.01 vol pts |
| 27NOV26 | 87.5 days | 2,491.05 | -22.80 USD | 51.46% | -0.47 vol pts | +0.67 vol pts | -0.15 vol pts |
| 25DEC26 | 115.5 days | 2,495.53 | -23.47 USD | 51.78% | -1.07 vol pts | +0.74 vol pts | +0.14 vol pts |
| 26MAR27 | 206.5 days | 2,520.37 | -24.49 USD | 54.47% | -0.35 vol pts | +0.05 vol pts | -0.19 vol pts |
| 25JUN27 | 297.5 days | 2,548.74 | -24.82 USD | 55.57% | -0.10 vol pts | +0.05 vol pts | -0.23 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 25DEC26; the largest sigma change occurred at 25DEC26.
| Expiry | Δ a | Δ b | Δ rho | Δ m | Δ sigma | Smile classification |
|---|---|---|---|---|---|---|
| 1SEP26 | -0.00260 | -0.01440 | -0.02200 | -0.00390 | +0.11090 | rotation towards puts, wing steepening |
| 2SEP26 | +0.00150 | -0.01800 | +0.01340 | +0.01390 | +0.07940 | rotation towards puts, wing steepening |
| 3SEP26 | +0.00470 | -0.01730 | -0.00180 | -0.00290 | +0.05440 | wing steepening |
| 4SEP26 | +0.00520 | -0.01600 | -0.01520 | -0.01670 | +0.03820 | rotation towards calls, wing steepening |
| 11SEP26 | +0.01650 | -0.01970 | -0.01630 | -0.01070 | -0.01420 | parallel shift higher |
| 18SEP26 | +0.02010 | -0.02070 | -0.01250 | -0.00560 | -0.02420 | parallel shift higher |
| 25SEP26 | +0.02140 | -0.02130 | -0.01250 | -0.00580 | -0.02790 | parallel shift higher |
| 30OCT26 | +0.02490 | -0.01450 | -0.02140 | -0.01480 | -0.08150 | rotation towards calls |
| 27NOV26 | +0.01710 | -0.01470 | -0.02280 | -0.03200 | -0.04260 | rotation towards calls |
| 25DEC26 | +0.03040 | -0.01170 | -0.03410 | -0.02570 | -0.13130 | parallel shift lower, rotation towards calls |
| 26MAR27 | +0.02170 | -0.01970 | -0.01230 | -0.00210 | -0.04270 | parallel shift lower |
| 25JUN27 | +0.02130 | -0.02200 | -0.00940 | -0.00970 | -0.01990 | parallel shift lower |
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
- 31 Aug 2026, 20:58 UTC
- Comparison snapshot
- 30 Aug 2026, 20:58 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
- 30 Aug 2026, 20:58 UTC to 31 Aug 2026, 20:58 UTC
- Feeds queried
- 1
- Publishers queried
- 3
- Feed articles scanned
- 41
- Inside report window
- 4
- Passed source rules
- 4
- Passed final threshold
- 1
- Event clusters displayed
- 1
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