Daily ETH options market report · 24-hour comparison
Ether options turn more defensive as short-term put volatility rises
Ether one-week RR25 fell 1.81 volatility points to -2.00 volatility points, 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.
Prior comparison unavailable: the published 2026-09-01 edition is verified but ends at 1 Sept, 22:27 UTC; this window requires 1 Sept, 16:30 UTC.
A structured watchlist was not recorded or could not be verified in the prior edition; prior-watch outcomes remain unavailable.
Next daily cutoff: measurable checks
These checks are reconstructed from this edition’s stored endpoints; they were not recorded in the original report.
Hold the observed level: ETH 1W ATM IV ≤ 43.30 percent at . Current level 43.30; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 44.47 percent at . Current level 43.30; threshold is the previous observed endpoint.
Measurement basis and receipt
These are observed-level conditions for the next aligned cutoff, with no forecast or trade action. Spot uses exact index endpoints where available; ATM IV is quoted in percent and its change, RR25 and BF25 in volatility points. Derived from verified legacy artifact endpoints.
ETH:atmIv:1W:observed-current-level: rows[asset=ETH].report.tenors[tenor=1W].atmIv.previous; rows[asset=ETH].report.tenors[tenor=1W].atmIv.current; rows[asset=ETH].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-02T16:30:00+00:00 to 2026-09-03T16:30:00+00:00.
ETH:atmIv:1W:observed-previous-level: rows[asset=ETH].report.tenors[tenor=1W].atmIv.previous; rows[asset=ETH].report.tenors[tenor=1W].atmIv.current; rows[asset=ETH].report.tenors[tenor=1W].atmIv.change; evaluation window 2026-09-02T16:30:00+00:00 to 2026-09-03T16:30:00+00:00.
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Smile rotation is the fitted IV change at +0.15 log-moneyness minus the change at −0.15, in volatility points. A positive reading indicates a relative shift toward the call side.
Ether one-week RR25 fell 1.81 volatility points to -2.00 volatility points, 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 for retained events; entries without a retained link are marked.
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 relevant event was retained for the comparison window.
News collection was incomplete; the retained events do not establish full coverage.
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 volatility points across the six available headline tenors.
Convexity
BF25 increased, averaging +0.19 volatility points to 2.73 volatility points 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.
RR25 moved towards puts, averaging -0.88 volatility points to -0.70 volatility points across the six available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 increased, averaging +0.19 volatility points to 2.73 volatility points across the six available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
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.
CurrentComparison snapshot
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
Completed-session cross-asset context
Crypto volatility against US equity risk.
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 reported crypto realised volatility was 61.62%, versus SPX reported realised volatility of 7.37%. The spread ranked at percentile rank 56.8% 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.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. The displayed spread rank does not establish matched-horizon comparability.
As of 01 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Original report summary
Ether one-week RR25 fell 1.81 volatility points to -2.00 volatility points, 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.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 43.30% · Δ -1.17 vol pts
Skew: ETH 1W RR25 -2.00 vol pts · Δ -1.81 vol pts
Wings: ETH 1W BF25 2.66 vol pts · Δ +0.33 vol pts
Vol
ETH 1W ATM IV 43.30% · Δ -1.17 vol pts
Skew
ETH 1W RR25 -2.00 vol pts · Δ -1.81 vol pts
Wings
ETH 1W BF25 2.66 vol pts · Δ +0.33 vol pts
IV versus RV
ETH Unavailable
Unavailable readings: ETH IV versus RV. See the report’s data availability notes.
Δ compares the report’s stored surface endpoints. IV versus RV is a level comparison, not a daily change.
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.
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
ETH · Unavailable · Surface cutoff 02 Sept 2026, 16:30:00 UTC · 7D coverage not recorded / not recorded required · largest 7D gap not recorded / not recorded maximum · maximum gap not recorded. RV suppressed — valid 7D coverage was not recorded. Full 7D coverage policy was not recorded.
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.
