ETHSpot-index 24h -2.23%1W ATM IV 50.00%1W RR25 -0.30 vol pts1W BF25 +3.04 vol pts1W IV − 7D RV Unavailable
One-month convexity declined as the one-week relative volatility balance moved toward puts.
Previous report, watch levels and methodology
One-week surface context; the published headline retains its original evidence basis. Cutoffs 9 Sept, 16:30 UTC to 10 Sept, 16:30 UTC.
Previous publication · research context
2026-09-09: “Ether options gain convexity as short-dated volatility strengthens”
Previous publication cutoff 9 Sept, 16:30 UTC. Today’s market comparison starts at 9 Sept, 16:30 UTC. Snapshot clocks align for the measured comparison below.
ETH 1W ATM IV: prior change +2.12 → current change -2.31 volatility points; direction reversed.
ETH 1W RR25: prior change +1.00 → current change -2.96 volatility points; direction reversed.
ETH 1W BF25: prior change +0.10 → current change -0.10 volatility points; direction reversed.
A structured watchlist was not recorded or could not be verified in the prior edition; this compares measured changes only.
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 ≤ 50.00 percent at . Current level 50.00; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 52.31 percent at . Current level 50.00; 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 2026-09-10T16:30:00+00:00 to 2026-09-11T16:30:00+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 2026-09-10T16:30:00+00:00 to 2026-09-11T16:30:00+00:00.
Chart notes
Combined surface read: ATM IV fell (ETH); RR25 moved toward puts (ETH); BF25 wing premium decreased (ETH).
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 -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
No catalyst assigned.
No qualifying context was found in the monitored news sources for this reporting window.
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 volatility points across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.22 volatility points to 2.92 volatility points 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.
RR25 moved towards puts, averaging -1.53 volatility points to 0.04 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 decreased, averaging -0.22 volatility points to 2.92 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.
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.
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
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
Completed-session cross-asset context
Crypto volatility against US equity risk.
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 reported crypto realised volatility was 35.63%, versus SPX reported realised volatility of 8.62%. The spread ranked at percentile rank 8.4% 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.
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 09 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-09 16:30:00 UTC → 2026-09-10 16:30:00 UTC
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-month BF25 fell 0.69 volatility points to 2.53 volatility points during the window, a large adjustment at the 91.3 percentile of comparable full-history moves. Meanwhile, one-week RR25 dropped 2.96 points to minus 0.30%, placing relative put-side volatility above call-side volatility. One-week ATM IV finished at 50.00%, down 2.31 points, and Ether’s 24-hour spot-index return was minus 2.23%. DerivaSys data show convexity easing alongside a marked skew reversal.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 50.00% · Δ -2.31 vol pts
Skew: ETH 1W RR25 -0.30 vol pts · Δ -2.96 vol pts
Wings: ETH 1W BF25 3.04 vol pts · Δ -0.10 vol pts
Vol
ETH 1W ATM IV 50.00% · Δ -2.31 vol ptspercentile rank 39.1% by absolute move · full history (n=23)
Skew
ETH 1W RR25 -0.30 vol pts · Δ -2.96 vol ptspercentile rank 87.0% by absolute move · full history (n=23)
Wings
ETH 1W BF25 3.04 vol pts · Δ -0.10 vol ptspercentile rank 8.7% by absolute move · full history (n=23)
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.
Historical move evidence
ETH 1W ATM IV: percentile rank 39.1% by absolute move · full history (n=23)
ETH 1W RR25: percentile rank 87.0% by absolute move · full history (n=23)
ETH 1W BF25: percentile rank 8.7% by absolute move · full history (n=23)
Technical appendix: measurement and history provenance
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.
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 10 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 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.
