Daily ETH options market report · 24-hour comparison
Ether options turn more defensive as short-term put volatility rises
Ether’s options adjustment centred on short-dated skew, with Ether one-week relative put-side volatility increasing while Ether one-week ATM IV declined.
Ether one-week RR25 fell 1.81 volatility points to -2.00%, leaving one-week relative put-side volatility richer than one-week call-side volatility. Ether one-week ATM IV fell 1.17 volatility points to 43.30%, while Ether front-end ATM IV across the 1W, 2W and 1M tenors averaged 46.23%, a decline of 0.43 volatility points in Ether front-end ATM IV across the 1W, 2W and 1M tenors. Ether’s 1Y-minus-1W ATM IV slope rose to 12.53 volatility points.
Ether skew turns toward puts
Ether’s one-week relative put-side volatility rose as Ether front-end ATM IV edged lower.
Macro
No qualifying macro event was retained for Ether.
Crypto
Remixpoint disclosed sales of ETH and other altcoin holdings.
Links identify the underlying reporting. Events are presented as context, not assigned causes.
02 · Options market read
What the volatility surface did.
6 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -1.17 volatility points, to 43.30%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
01 Sept 2026, 16:30 UTC to 02 Sept 2026, 16:30 UTC
Relevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
Confidencelow causal confidence
News is presented as contextual association unless the structured evidence supports a stronger relationship.
04 · Detailed analysis
What changed across the ETH volatility surface.
Implied versus realised
At the 16:30 UTC cutoff, 1W ATM IV was 43.30%, 1.33 volatility points below seven-day realised volatility of 44.63%; 24-hour realised volatility was 50.83% and 30-day realised volatility was 50.11%.
Front end
Front-end ATM IV decreased, averaging -0.43 volatility points to 46.23% across 1W, 2W and 1M.
Long end
Long-dated ATM IV was broadly unchanged, averaging -0.06 volatility points to 54.71% across 6M and 1Y.
Skew
RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six available headline tenors.
Convexity
BF25 increased, averaging +0.19 volatility points to 2.73% across the six available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -1.17 volatility points at 1W, to 43.30%.
Universe roll: added 6SEP26; removed 2SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
11SEP26, -5.00 vol pts02
Largest standard-tenor RR25 move
1W, -1.81 vol pts03
Largest standard-tenor ATM IV move
1W, -1.17 vol pts04
Largest standard-tenor BF25 move
2W, +0.46 vol pts05
Largest eligible SVI sigma move
18SEP26, -0.1491 param06
Largest eligible SVI rho move
5SEP26, +0.0447 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
43.30
44.47
-1.17 vol pts
-2.63%
2W
46.46
46.56
-0.10 vol pts
-0.21%
1M
48.92
48.93
-0.01 vol pts
-0.02%
3M
51.05
51.17
-0.12 vol pts
-0.23%
6M
53.59
53.73
-0.14 vol pts
-0.26%
9M
55.04
55.08
-0.04 vol pts
-0.07%
1Y
55.83
55.80
+0.03 vol pts
+0.05%
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
-2.00
-0.19
-1.81 vol pts
2W
-1.18
0.34
-1.52 vol pts
1M
-0.84
-0.51
-0.33 vol pts
3M
-0.30
0.52
-0.82 vol pts
6M
-0.16
0.31
-0.47 vol pts
9M
0.13
0.52
-0.39 vol pts
1Y
0.30
0.65
-0.35 vol pts
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 increased, averaging +0.19 volatility points to 2.73% across the six available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
CurrentPrevious day
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
1W
2.66
2.33
+0.33 vol pts
2W
2.72
2.26
+0.46 vol pts
1M
2.66
2.45
+0.21 vol pts
3M
3.08
2.90
+0.18 vol pts
6M
2.84
2.79
+0.05 vol pts
9M
2.59
2.64
-0.05 vol pts
1Y
2.42
2.53
-0.11 vol pts
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.
1.6d
Smile rotation
4SEP26, -3.62 vol pts0.6d
ATM IV change
3SEP26, -1.39 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.
CurrentPrevious day
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
3SEP26Expiry effect
0.6 days
2,396.8
-36.40 USD
40.67%
-1.39 vol pts
+0.05 vol pts
-0.57 vol pts
4SEP26Expiry effect
1.6 days
2,397.16
-36.45 USD
41.38%
-1.94 vol pts
-0.76 vol pts
-0.38 vol pts
5SEP26
2.6 days
2,397.5
-36.55 USD
44.22%
-0.39 vol pts
-0.67 vol pts
+0.21 vol pts
11SEP26
8.6 days
2,399.27
-36.60 USD
44.00%
-0.43 vol pts
-2.01 vol pts
+0.39 vol pts
18SEP26
15.6 days
2,400.99
-36.83 USD
46.86%
-0.43 vol pts
-1.49 vol pts
+0.49 vol pts
25SEP26
22.6 days
2,403.79
-36.85 USD
48.28%
0.00 vol pts
-0.05 vol pts
+0.09 vol pts
30OCT26
57.6 days
2,410.45
-36.04 USD
49.86%
-0.24 vol pts
-0.99 vol pts
+0.39 vol pts
27NOV26
85.6 days
2,416.11
-36.05 USD
50.93%
-0.14 vol pts
-0.84 vol pts
+0.22 vol pts
25DEC26
113.6 days
2,421.04
-35.65 USD
51.44%
-0.14 vol pts
-0.68 vol pts
+0.04 vol pts
26MAR27
204.6 days
2,445.21
-36.06 USD
53.98%
-0.16 vol pts
-0.44 vol pts
+0.04 vol pts
25JUN27
295.6 days
2,471.93
-37.39 USD
55.28%
-0.03 vol pts
-0.38 vol pts
-0.06 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.
3SEP26rotation towards puts · wing steepening4SEP26rotation towards puts · wing steepening5SEP26rotation towards puts · wing steepening11SEP26rotation towards puts · wing steepening18SEP26rotation towards puts · wing steepening25SEP26parallel shift higher30OCT26rotation towards puts27NOV26rotation towards puts25DEC26rotation towards puts26MAR27limited movement25JUN27limited movement
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.
IV lowerIV higher
3SEP26
4SEP26
5SEP26
11SEP26
18SEP26
25SEP26
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 5SEP26; the largest sigma change occurred at 18SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
3SEP26
+0.01890
-0.03210
-0.00250
-0.00450
+0.02930
rotation towards puts, wing steepening
4SEP26
+0.02160
-0.02620
-0.01940
-0.00700
-0.04220
rotation towards puts, wing steepening
5SEP26
+0.01690
-0.00660
+0.04470
+0.04020
-0.08410
rotation towards puts, wing steepening
11SEP26
+0.01700
-0.00050
+0.00840
+0.03710
-0.10420
rotation towards puts, wing steepening
18SEP26
+0.02480
-0.00090
+0.00900
+0.04680
-0.14910
rotation towards puts, wing steepening
25SEP26
+0.00480
-0.00090
+0.00850
+0.01020
-0.02910
parallel shift higher
30OCT26
+0.01720
-0.00070
+0.00630
+0.05160
-0.09890
rotation towards puts
27NOV26
+0.00600
+0.00050
+0.00230
+0.03370
-0.04110
rotation towards puts
25DEC26
-0.00200
-0.00010
+0.01670
+0.03420
+0.00190
rotation towards puts
26MAR27
-0.01910
+0.01680
-0.02270
-0.02000
+0.02940
limited movement
25JUN27
-0.03900
+0.03090
-0.03910
-0.07230
+0.07460
limited movement
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.
ETH 30-day implied volatility was 3.0 times VIX, while its 30-session return correlation with SPX was low at 0.03.
Implied-volatility premium
ETH 30-day ATM IV was 49.23%, against VIX at 16.34: a 32.89-point spread and 3.01× ratio.
Realised-volatility regime
ETH 20-calendar-day realised volatility was 61.62%, versus SPX 20-session realised volatility of 7.37%. The spread ranked at 56.8 percentile of 222 prior observations.
Equity co-movement
Return correlation with SPX was 0.033 over 30 aligned sessions and 0.328 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.33, 16.34 and 18.33.
As of 01 Sept 2026, 20:00 UTC. Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
02 Sept 2026, 16:30 UTC
Comparison snapshot
01 Sept 2026, 16:30 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
Catalyst policy
Only sufficiently relevant, reliably sourced events are shown; otherwise no catalyst is assigned.
