ETHSpot-index 24h -1.26%1W ATM IV 48.48%1W RR25 -1.16 vol pts1W BF25 Unavailable1W IV − 7D RV Unavailable
The one-week skew change was notable, while no qualifying news catalyst was retained.
Previous report, watch levels and methodology
One-week surface context; the published headline retains its original evidence basis. Cutoffs 11 Sept, 16:29 UTC to 12 Sept, 16:29 UTC.
Previous publication · research context
2026-09-11: “Ether options turn call-rich as short-dated skew reprices sharply”
Previous publication cutoff 11 Sept, 16:29 UTC. Today’s market comparison starts at 11 Sept, 16:29 UTC. Snapshot clocks align for the measured comparison below.
ETH 1W ATM IV: prior change +1.60 → current change -3.12 volatility points; direction reversed.
ETH 1W RR25: prior change +2.90 → current change -3.76 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 ≤ 48.48 percent at . Current level 48.48; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 51.60 percent at . Current level 48.48; 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 2026-09-12T16:29:00+00:00 to 2026-09-13T16:29:00+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 2026-09-12T16:29:00+00:00 to 2026-09-13T16:29:00+00:00.
Chart notes
Combined surface read: ATM IV fell (ETH); RR25 moved toward puts (ETH).
02 · Options market read
What the volatility surface did.
No headline tenor had comparable observations at both endpoints; unavailable values remain suppressed in the tables and charts.
Derived directly from structured Derivasys surface data
03 · Catalyst check
11 Sept 2026, 16:29 UTC to 12 Sept 2026, 16:29 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 16:29 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 is unavailable because comparable observations were not present at both snapshots.
Long end
Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots.
Skew
RR25 is unavailable because comparable observations were not present at both snapshots.
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.
RR25 is unavailable because comparable observations were not present at both snapshots. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
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.
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
13SEP26Expiry effect
0.6 days
2,532.66
-34.83 USD
24.61%
-15.10 vol pts
-0.89 vol pts
Unavailable
14SEP26Expiry effect
1.6 days
2,533
-34.93 USD
32.36%
-8.31 vol pts
-0.71 vol pts
Unavailable
15SEP26
2.6 days
2,533.69
-34.60 USD
37.68%
-6.46 vol pts
-2.50 vol pts
Unavailable
18SEP26
5.6 days
2,534.76
-34.65 USD
47.88%
-3.78 vol pts
-4.09 vol pts
Unavailable
25SEP26
12.6 days
2,536.82
-34.80 USD
49.57%
-1.44 vol pts
-1.36 vol pts
Unavailable
2OCT26
19.6 days
2,538.44
-34.76 USD
48.96%
-1.80 vol pts
-1.80 vol pts
Unavailable
30OCT26
47.6 days
2,544.53
-34.64 USD
50.66%
-0.54 vol pts
-0.81 vol pts
Unavailable
27NOV26
75.6 days
2,551.91
-34.38 USD
52.61%
-0.09 vol pts
-0.12 vol pts
Unavailable
25DEC26
103.6 days
2,559.01
-34.79 USD
52.83%
-0.23 vol pts
+0.10 vol pts
Unavailable
26MAR27
194.6 days
2,583.18
-34.78 USD
54.40%
+0.02 vol pts
-0.33 vol pts
Unavailable
25JUN27
285.6 days
2,611.66
-35.39 USD
55.32%
-0.09 vol pts
-0.29 vol pts
Unavailable
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
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 -0.00.
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.
Daily-close realised-volatility regime
ETH reported crypto realised volatility was 34.33%, versus SPX reported realised volatility of 8.99%. The spread ranked at percentile rank 7.4% 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.
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 11 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252).
RV observation windows and sampling
The RV comparisons use one-minute index returns, annualised on a 365-day basis. No coverage policy was recorded in this edition; read the recorded window availability and coverage below.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-11 16:29:00 UTC → 2026-09-12 16:29:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Reader summary (BF-specific claims withheld)
Ether one-week RR25 dropped 3.76 volatility points to -1.16 volatility points, a notable shift toward relative put-side volatility at the 16:29 UTC cutoff. Ether’s 24-hour spot-index return was -1.26%, while one-week ATM IV of 48.48% sat 2.91 points above seven-day realised volatility, according to DerivaSys data.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 48.48% · Δ -3.12 vol pts
Skew: ETH 1W RR25 -1.16 vol pts · Δ -3.76 vol pts
Curve: ETH 6M minus 1W ATM IV spread +5.80 vol pts · spread Δ +3.13 vol pts
Vol
ETH 1W ATM IV 48.48% · Δ -3.12 vol ptspercentile rank 64.0% by absolute move · full history (n=25)
Skew
ETH 1W RR25 -1.16 vol pts · Δ -3.76 vol ptspercentile rank 88.0% by absolute move · full history (n=25)
Wings
ETH Unavailable
IV versus RV
ETH Unavailable
Unavailable readings: ETH Wings; 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 64.0% by absolute move · full history (n=25)
ETH 1W RR25: percentile rank 88.0% by absolute move · full history (n=25)
Technical appendix: measurement and history provenance
Original edition evidence follows unchanged. Its BF slots retain the original full fly25 or unverified basis; these receipts do not validate canonical BF25 history or ranks.
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.
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 12 Sept 2026, 16:29:00 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.
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.
