Daily ETH options market report · 24-hour comparison
Ether options lower convexity as short-dated put volatility strengthens
The one-month BF25 decline to 2.53% was the largest surface adjustment selected for the report. Separately, the one-week RR25 shift to minus 0.30% made puts relatively richer than calls, while front-end ATM IV moved lower.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -2.31 volatility points, to 50.00%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
09 Sept 2026, 16:30 UTC to 10 Sept 2026, 16:30 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 16:30 UTC cutoff, 1W ATM IV was 50.00%, 7.71 volatility points above seven-day realised volatility of 42.29%; 24-hour realised volatility was 41.08% and 30-day realised volatility was 52.43%.
Front end
Front-end ATM IV decreased, averaging -1.89 volatility points to 50.63% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.43% (-0.32 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.22 volatility points to 2.92% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -2.31 volatility points at 1W, to 50.00%.
Universe roll: added 14SEP26, 2OCT26; removed 10SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
13SEP26, -8.13 vol pts02
Largest standard-tenor RR25 move
1W, -2.96 vol pts03
Largest standard-tenor ATM IV move
1W, -2.31 vol pts04
Largest standard-tenor BF25 move
1M, -0.69 vol pts05
Largest eligible SVI sigma move
30OCT26, +0.1846 param06
Largest eligible SVI rho move
25DEC26, +0.1151 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
50.00
52.31
-2.31 vol pts
-4.42%
2W
50.63
52.85
-2.22 vol pts
-4.20%
1M
51.27
52.42
-1.15 vol pts
-2.19%
3M
52.92
53.31
-0.39 vol pts
-0.73%
6M
54.43
54.75
-0.32 vol pts
-0.58%
9M
55.30
55.59
-0.29 vol pts
-0.52%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the five 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
-0.30
2.66
-2.96 vol pts
2W
-0.47
2.30
-2.77 vol pts
1M
0.59
1.56
-0.97 vol pts
3M
0.35
0.94
-0.59 vol pts
6M
0.04
0.40
-0.36 vol pts
9M
0.27
0.49
-0.22 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 1M.
BF25 decreased, averaging -0.22 volatility points to 2.92% across the five 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
3.04
3.14
-0.10 vol pts
2W
2.69
2.90
-0.21 vol pts
1M
2.53
3.22
-0.69 vol pts
3M
3.19
3.34
-0.15 vol pts
6M
3.14
3.10
+0.04 vol pts
9M
2.77
2.89
-0.12 vol pts
1Y
Unavailable
Unavailable
Unavailable
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
12SEP26, -11.59 vol pts0.6d
ATM IV change
11SEP26, -6.18 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
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
11SEP26Expiry effect
0.6 days
2,438.11
-51.98 USD
40.70%
-6.18 vol pts
-0.86 vol pts
-0.82 vol pts
12SEP26Expiry effect
1.6 days
2,438.41
-52.05 USD
50.62%
-1.93 vol pts
-3.51 vol pts
+0.03 vol pts
13SEP26
2.6 days
2,438.87
-51.92 USD
44.22%
-4.33 vol pts
-2.59 vol pts
-0.23 vol pts
18SEP26
7.6 days
2,439.74
-52.67 USD
50.61%
-2.45 vol pts
-3.01 vol pts
-0.17 vol pts
25SEP26
14.6 days
2,441.82
-52.89 USD
50.63%
-2.18 vol pts
-2.70 vol pts
-0.18 vol pts
30OCT26
49.6 days
2,448.5
-52.82 USD
51.55%
-0.70 vol pts
-0.51 vol pts
-0.41 vol pts
27NOV26
77.6 days
2,455.56
-53.12 USD
52.80%
-0.55 vol pts
-0.80 vol pts
-0.18 vol pts
25DEC26
105.6 days
2,462.09
-53.76 USD
53.01%
-0.26 vol pts
-0.37 vol pts
-0.13 vol pts
26MAR27
196.6 days
2,485.85
-54.95 USD
54.57%
-0.34 vol pts
-0.36 vol pts
+0.06 vol pts
25JUN27
287.6 days
2,512.88
-55.56 USD
55.39%
-0.30 vol pts
-0.20 vol pts
-0.12 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.
11SEP26rotation towards puts · wing steepening12SEP26rotation towards puts · wing steepening13SEP26rotation towards puts · wing steepening18SEP26rotation towards puts · wing steepening25SEP26rotation towards puts30OCT26parallel shift lower27NOV26rotation towards puts25DEC26parallel shift lower26MAR27parallel shift lower25JUN27parallel shift lower
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
11SEP26
12SEP26
13SEP26
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 25DEC26; the largest sigma change occurred at 30OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
11SEP26
+0.01370
-0.02910
-0.03190
-0.01770
+0.04370
rotation towards puts, wing steepening
12SEP26
+0.02520
-0.01620
+0.00670
+0.02740
-0.11130
rotation towards puts, wing steepening
13SEP26
+0.01800
-0.01410
-0.01100
+0.01370
-0.06840
rotation towards puts, wing steepening
18SEP26
+0.02630
-0.02680
+0.05170
+0.06840
-0.08240
rotation towards puts, wing steepening
25SEP26
+0.02380
-0.02340
+0.03150
+0.06630
-0.06670
rotation towards puts
30OCT26
-0.05270
+0.02130
+0.04850
+0.00420
+0.18460
parallel shift lower
27NOV26
-0.03520
+0.00530
+0.10650
+0.06710
+0.12940
rotation towards puts
25DEC26
-0.03110
+0.00280
+0.11510
+0.07320
+0.11520
parallel shift lower
26MAR27
-0.03960
+0.01580
+0.04290
+0.02320
+0.09290
parallel shift lower
25JUN27
-0.07300
+0.03770
-0.01120
-0.07870
+0.16050
parallel shift lower
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 3.2 times VIX, while its 30-session return correlation with SPX was low at 0.05.
Implied-volatility premium
ETH 30-day ATM IV was 52.17%, against VIX at 16.46: a 35.71-point spread and 3.17× ratio.
Realised-volatility regime
ETH 20-calendar-day realised volatility was 35.63%, versus SPX 20-session realised volatility of 8.62%. The spread ranked at 8.4 percentile of 227 prior observations.
Equity co-movement
Return correlation with SPX was 0.050 over 30 aligned sessions and 0.321 over 60 sessions. VIX9D, VIX and VIX3M closed at 15.59, 16.46 and 18.87.
As of 09 Sept 2026, 20:00 UTC. DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
10 Sept 2026, 16:30 UTC
Comparison snapshot
09 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 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.
