Daily ETH options market report · 24-hour comparison
Ether options shift toward calls as near-expiry pricing rotates
Ether’s nearest-expiry smile rotation was the largest surface dislocation, accompanied by a 2.83-point rise in Ether one-week RR25 to 1.36 volatility points. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.
ETHSpot-index 24h +1.10%1W ATM IV 43.37%1W RR25 +1.36 vol pts1W BF25 +2.42 vol pts1W IV − 7D RV Unavailable
Market context · daily observation window
Market context
ETH spot-index return unavailable; 1W ATM IV rose 1.78 volatility points to 43.37% over the daily window. RR25 moved toward calls (+2.83 points); BF25 wing premium increased (+0.03 points); partial native coverage (3/4 measurements).
Previous report, watch levels and methodology
One-week surface context; the published headline retains its original evidence basis. Cutoffs 4 Sept, 18:43 UTC to 5 Sept, 18:43 UTC.
Previous publication · research context
2026-09-04: “Ether options compress as short-dated put volatility becomes richer”
Previous publication cutoff 4 Sept, 16:48 UTC. Today’s market comparison starts at 4 Sept, 18:43 UTC. Snapshot clocks differ; numerical follow-through and prior-watch outcomes are unavailable.
Prior comparison unavailable: the published 2026-09-04 edition is verified but ends at 4 Sept, 16:48 UTC; this window requires 4 Sept, 18:43 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 ≥ 43.37 percent at . Current level 43.37; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≤ 41.59 percent at . Current level 43.37; 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 2026-09-05T18:43:00+00:00 to 2026-09-06T18:43:00+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 2026-09-05T18:43:00+00:00 to 2026-09-06T18:43:00+00:00.
02 · Options market read
What the volatility surface did.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at +1.78 volatility points, to 43.37%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
04 Sept 2026, 18:43 UTC to 05 Sept 2026, 18:43 UTC
News context unavailable.
News context unavailable because source coverage was incomplete.
04 · Detailed analysis
What changed across the ETH volatility surface.
Implied versus realised
At the 18:43 UTC cutoff, 1W ATM IV was 43.37%, 3.46 volatility points below seven-day realised volatility of 46.83%; 24-hour realised volatility was 20.80% and 30-day realised volatility was 51.21%.
Front end
Front-end ATM IV increased, averaging +0.87 volatility points to 46.76% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.17% (-0.02 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +1.25 volatility points to 1.45 volatility points across the five available headline tenors.
Convexity
BF25 was broadly unchanged, averaging +0.06 volatility points to 2.79 volatility points across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +1.78 volatility points at 1W, to 43.37%.
Universe roll: added 9SEP26; removed 5SEP26. Comparisons use common expiries only.
RR25 moved towards calls, averaging +1.25 volatility points to 1.45 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 was broadly unchanged, averaging +0.06 volatility points to 2.79 volatility points across the five 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.
0.6d
Smile rotation
6SEP26, +37.37 vol pts1.6d
Smile rotation
7SEP26, +12.03 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
Suppressed outside the observable listed-expiry range: 1Y.
Expiry
Time left
Forward now (USD)
Forward change (USD)
ATM IV now
ATM IV change
RR25 change
BF25 change
6SEP26Expiry effect
0.6 days
2,476.67
+24.66 USD
32.78%
+6.96 vol pts
+5.87 vol pts
-0.05 vol pts
7SEP26Expiry effect
1.6 days
2,476.65
+24.36 USD
33.16%
+3.30 vol pts
+2.52 vol pts
-0.08 vol pts
8SEP26
2.6 days
2,476.91
+24.37 USD
34.08%
+1.31 vol pts
+2.64 vol pts
-0.32 vol pts
11SEP26
5.6 days
2,477.36
+24.19 USD
40.99%
+0.14 vol pts
+2.62 vol pts
-0.38 vol pts
18SEP26
12.6 days
2,479.5
+24.27 USD
47.15%
+0.63 vol pts
+1.26 vol pts
+0.34 vol pts
25SEP26
19.6 days
2,481.73
+24.39 USD
48.22%
+0.10 vol pts
+2.02 vol pts
+0.18 vol pts
30OCT26
54.6 days
2,486.87
+23.38 USD
50.49%
-0.20 vol pts
+0.92 vol pts
-0.12 vol pts
27NOV26
82.6 days
2,494.15
+24.16 USD
52.05%
+0.10 vol pts
+0.36 vol pts
-0.18 vol pts
25DEC26
110.6 days
2,500.44
+24.66 USD
52.12%
-0.25 vol pts
+0.52 vol pts
+0.22 vol pts
26MAR27
201.6 days
2,525.87
+25.86 USD
54.47%
-0.01 vol pts
+0.35 vol pts
+0.01 vol pts
25JUN27
292.6 days
2,554.43
+26.65 USD
55.55%
-0.01 vol pts
+0.42 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.
6SEP26rotation towards calls · wing steepening7SEP26rotation towards calls · wing steepening8SEP26rotation towards calls · wing steepening11SEP26rotation towards calls18SEP26rotation towards calls · wing steepening25SEP26rotation towards calls30OCT26rotation towards calls27NOV26limited movement25DEC26parallel shift lower26MAR27limited 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
6SEP26
7SEP26
8SEP26
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 3.4 times VIX, while its 30-session return correlation with SPX was low at 0.03.
Implied-volatility premium
ETH 30-day ATM IV was 49.28%, against VIX at 14.53: a 34.75-point spread and 3.39× ratio.
Realised-volatility regime
ETH reported crypto realised volatility was 65.32%, versus SPX reported realised volatility of 8.30%. The spread ranked at percentile rank 60.4% of 225 prior observations.
Equity co-movement
Return correlation with SPX was 0.029 over 30 aligned sessions and 0.329 over 60 sessions. VIX9D, VIX and VIX3M closed at 11.97, 14.53 and 17.61.
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 04 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’s nearest-expiry smile rotation was the largest surface dislocation, accompanied by a 2.83-point rise in Ether one-week RR25 to 1.36 volatility points. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 43.37% · Δ +1.78 vol pts
Skew: ETH 1W RR25 1.36 vol pts · Δ +2.83 vol pts
Wings: ETH 1W BF25 2.42 vol pts · Δ +0.03 vol pts
Vol
ETH 1W ATM IV 43.37% · Δ +1.78 vol pts
Skew
ETH 1W RR25 1.36 vol pts · Δ +2.83 vol pts
Wings
ETH 1W BF25 2.42 vol pts · Δ +0.03 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 8SEP26; the largest sigma change occurred at 8SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
6SEP26
+0.03160
-0.04070
+0.17010
+0.08660
-0.03960
rotation towards calls, wing steepening
7SEP26
-0.00770
-0.00320
+0.15400
+0.07580
+0.08280
rotation towards calls, wing steepening
8SEP26
-0.01740
+0.00150
+0.12360
+0.04770
+0.12080
rotation towards calls, wing steepening
11SEP26
-0.01700
-0.00250
+0.06060
+0.00210
+0.11560
rotation towards calls
18SEP26
-0.00380
+0.01270
-0.01540
-0.01520
-0.02030
rotation towards calls, wing steepening
25SEP26
-0.00130
+0.00690
+0.01140
-0.01460
-0.02750
rotation towards calls
30OCT26
-0.01160
+0.02020
-0.11090
-0.10290
+0.01070
rotation towards calls
27NOV26
-0.00810
+0.00290
-0.01410
-0.03410
+0.03250
limited movement
25DEC26
+0.00870
+0.00290
-0.01320
-0.00570
-0.06190
parallel shift lower
26MAR27
+0.00050
+0.00510
-0.01120
-0.01940
-0.01820
limited movement
25JUN27
+0.00010
+0.01460
-0.03560
-0.05580
-0.02880
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 05 Sept 2026, 18:43:00 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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.
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.
