Daily ETH options market report · 24-hour comparison
Ether options turn defensive as one-week skew swings toward puts
Ether’s clearest surface change was the one-week RR25 decline to -1.16%, placing put volatility above call volatility on that measure. Front-end ATM IV also fell by 1.91 points on average.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -3.12 volatility points, to 48.48%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
11 Sept 2026, 16:29 UTC to 12 Sept 2026, 16:29 UTC
No relevant catalyst identified.
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 16:29 UTC cutoff, 1W ATM IV was 48.48%, 2.91 volatility points above seven-day realised volatility of 45.57%; 24-hour realised volatility was 37.20% and 30-day realised volatility was 54.07%.
Front end
Front-end ATM IV decreased, averaging -1.91 volatility points to 49.29% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.28% (+0.01 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -1.33 volatility points to -0.52% across the five available headline tenors.
Convexity
BF25 increased, averaging +0.10 volatility points to 3.13% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -3.12 volatility points at 1W, to 48.48%.
Universe roll: added 16SEP26; removed 12SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
18SEP26, -10.27 vol pts02
Largest standard-tenor RR25 move
1W, -3.76 vol pts03
Largest standard-tenor ATM IV move
1W, -3.12 vol pts04
Largest standard-tenor BF25 move
1M, +0.40 vol pts05
Largest eligible SVI sigma move
2OCT26, -0.1646 param06
Largest eligible SVI rho move
25DEC26, -0.0667 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
48.48
51.60
-3.12 vol pts
-6.05%
2W
49.41
50.99
-1.58 vol pts
-3.10%
1M
49.97
51.00
-1.03 vol pts
-2.02%
3M
52.75
52.91
-0.16 vol pts
-0.30%
6M
54.28
54.27
+0.01 vol pts
+0.02%
9M
55.23
55.30
-0.07 vol pts
-0.13%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.33 volatility points to -0.52% 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
-1.16
2.60
-3.76 vol pts
2W
-0.94
0.41
-1.35 vol pts
1M
-0.30
0.92
-1.22 vol pts
3M
-0.07
-0.06
-0.01 vol pts
6M
-0.15
0.15
-0.30 vol pts
9M
0.06
0.35
-0.29 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 1M.
BF25 increased, averaging +0.10 volatility points to 3.13% 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
3.14
3.12
+0.02 vol pts
2W
2.84
2.51
+0.33 vol pts
1M
3.36
2.96
+0.40 vol pts
3M
3.31
3.26
+0.05 vol pts
6M
2.99
3.27
-0.28 vol pts
9M
2.66
2.87
-0.21 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.
0.6d
ATM IV change
13SEP26, -15.10 vol pts1.6d
ATM IV change
14SEP26, -8.31 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
13SEP26Expiry effect
0.6 days
2,532.66
-34.83 USD
24.61%
-15.10 vol pts
-0.89 vol pts
-1.35 vol pts
14SEP26Expiry effect
1.6 days
2,533
-34.93 USD
32.36%
-8.31 vol pts
-0.71 vol pts
-0.63 vol pts
15SEP26
2.6 days
2,533.69
-34.60 USD
37.68%
-6.46 vol pts
-2.50 vol pts
-0.40 vol pts
18SEP26
5.6 days
2,534.76
-34.65 USD
47.88%
-3.78 vol pts
-4.09 vol pts
+0.25 vol pts
25SEP26
12.6 days
2,536.82
-34.80 USD
49.57%
-1.44 vol pts
-1.36 vol pts
+0.12 vol pts
2OCT26
19.6 days
2,538.44
-34.76 USD
48.96%
-1.80 vol pts
-1.80 vol pts
+0.80 vol pts
30OCT26
47.6 days
2,544.53
-34.64 USD
50.66%
-0.54 vol pts
-0.81 vol pts
+0.09 vol pts
27NOV26
75.6 days
2,551.91
-34.38 USD
52.61%
-0.09 vol pts
-0.12 vol pts
+0.18 vol pts
25DEC26
103.6 days
2,559.01
-34.79 USD
52.83%
-0.23 vol pts
+0.10 vol pts
-0.04 vol pts
26MAR27
194.6 days
2,583.18
-34.78 USD
54.40%
+0.02 vol pts
-0.33 vol pts
-0.29 vol pts
25JUN27
285.6 days
2,611.66
-35.39 USD
55.32%
-0.09 vol pts
-0.29 vol pts
-0.21 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.
13SEP26rotation towards puts · wing steepening14SEP26rotation towards puts · wing steepening15SEP26rotation towards puts · wing steepening18SEP26rotation towards puts · wing steepening25SEP26rotation towards puts · wing steepening2OCT26rotation towards puts · wing steepening30OCT26rotation towards puts27NOV26limited movement25DEC26parallel shift lower26MAR27limited movement25JUN27parallel 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
13SEP26
14SEP26
15SEP26
18SEP26
25SEP26
2OCT26
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 2OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
13SEP26
+0.04930
-0.07410
-0.02230
-0.01230
+0.01120
rotation towards puts, wing steepening
14SEP26
-0.01920
+0.00810
-0.02400
-0.00750
+0.08870
rotation towards puts, wing steepening
15SEP26
-0.00780
+0.00490
-0.04130
-0.01320
+0.02230
rotation towards puts, wing steepening
18SEP26
+0.00410
+0.01110
-0.06070
-0.00460
-0.06520
rotation towards puts, wing steepening
25SEP26
-0.00500
+0.01080
-0.05940
-0.03060
-0.02280
rotation towards puts, wing steepening
2OCT26
+0.02080
+0.01110
-0.05980
-0.00090
-0.16460
rotation towards puts, wing steepening
30OCT26
-0.00110
+0.00440
-0.02500
+0.00010
-0.01500
rotation towards puts
27NOV26
-0.00400
+0.01150
-0.05330
-0.03410
-0.01920
limited movement
25DEC26
-0.01660
+0.01470
-0.06670
-0.06040
+0.03570
parallel shift lower
26MAR27
-0.01030
-0.01460
+0.03090
+0.01710
+0.07520
limited movement
25JUN27
-0.03450
+0.01520
-0.02730
-0.06850
+0.09150
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 -0.00.
Implied-volatility premium
ETH 30-day ATM IV was 50.25%, against VIX at 15.84: a 34.41-point spread and 3.17× ratio.
Realised-volatility regime
ETH 20-calendar-day realised volatility was 34.33%, versus SPX 20-session realised volatility of 8.99%. The spread ranked at 7.4 percentile of 229 prior observations.
Equity co-movement
Return correlation with SPX was -0.003 over 30 aligned sessions and 0.257 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.47, 15.84 and 18.60.
As of 11 Sept 2026, 20:00 UTC. DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
12 Sept 2026, 16:29 UTC
Comparison snapshot
11 Sept 2026, 16:29 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.
