Prior comparison unavailable: the published 2026-09-12 edition is verified but ends at 12 Sept, 16:29 UTC; this window requires 12 Sept, 16:30 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 ≥ 52.42 percent at . Current level 52.42; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≤ 48.48 percent at . Current level 52.42; 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 2026-09-13T16:30:00+00:00 to 2026-09-14T16:30:00+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 2026-09-13T16:30:00+00:00 to 2026-09-14T16:30:00+00:00.
Chart notes
Combined surface read: ATM IV rose (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
12 Sept 2026, 16:30 UTC to 13 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 52.42%, 7.23 volatility points above seven-day realised volatility of 45.19%; 24-hour realised volatility was 28.20% 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 +3.94 volatility points at 1W, to 52.42%.
Universe roll: added 17SEP26; removed 13SEP26. 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
Smile rotation
14SEP26, -7.87 vol pts1.6d
ATM IV change
15SEP26, +5.78 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
14SEP26Expiry effect
0.6 days
2,501.84
-31.16 USD
36.48%
+4.12 vol pts
-1.69 vol pts
Unavailable
15SEP26Expiry effect
1.6 days
2,502.32
-31.37 USD
43.47%
+5.78 vol pts
-0.87 vol pts
Unavailable
16SEP26
2.6 days
2,502.77
-31.14 USD
48.00%
+5.31 vol pts
-0.89 vol pts
Unavailable
18SEP26
4.6 days
2,503.45
-31.31 USD
52.74%
+4.85 vol pts
-0.31 vol pts
Unavailable
25SEP26
11.6 days
2,506.04
-30.78 USD
52.16%
+2.59 vol pts
-0.42 vol pts
Unavailable
2OCT26
18.6 days
2,507.77
-30.67 USD
50.52%
+1.56 vol pts
-0.54 vol pts
Unavailable
30OCT26
46.6 days
2,513.81
-30.72 USD
51.45%
+0.79 vol pts
-0.27 vol pts
Unavailable
27NOV26
74.6 days
2,521.5
-29.77 USD
52.93%
+0.32 vol pts
-0.69 vol pts
Unavailable
25DEC26
102.6 days
2,528.6
-30.41 USD
52.97%
+0.14 vol pts
-0.12 vol pts
Unavailable
26MAR27
193.6 days
2,552.88
-30.30 USD
54.37%
-0.03 vol pts
0.00 vol pts
Unavailable
25JUN27
284.6 days
2,580.95
-30.71 USD
55.36%
+0.04 vol pts
-0.05 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.
14SEP26rotation towards puts · wing steepening15SEP26rotation towards puts · wing steepening16SEP26rotation towards puts · wing steepening18SEP26parallel shift higher · rotation towards puts · wing steepening25SEP26parallel shift higher · rotation towards puts · wing steepening2OCT26rotation towards puts · wing flattening30OCT26parallel shift higher27NOV26rotation towards puts25DEC26parallel shift higher26MAR27parallel shift lower25JUN27parallel shift higher
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
14SEP26
15SEP26
16SEP26
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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance.
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
2026-09-12 16:30:00 UTC → 2026-09-13 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.
Reader summary (BF-specific claims withheld)
Ether one-week ATM IV rose 3.94 volatility points to 52.42% during the observation window, while the 24-hour spot-index return was -1.17%. At the cutoff, one-week ATM IV sat 7.23 points above seven-day realised volatility, signalling a higher implied reading than the recent realised measure. DerivaSys data also show downside relative volatility becoming richer: Ether two-week RR25 fell 0.45 points to -1.40 volatility points, meaning puts were richer than calls on that measure.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 52.42% · Δ +3.94 vol pts
Skew: ETH 1W RR25 -1.48 vol pts · Δ -0.31 vol pts
Curve: ETH 6M minus 1W ATM IV spread +1.85 vol pts · spread Δ -3.95 vol pts
Vol
ETH 1W ATM IV 52.42% · Δ +3.94 vol ptspercentile rank 73.1% by absolute move · full history (n=26)
Skew
ETH 1W RR25 -1.48 vol pts · Δ -0.31 vol ptspercentile rank 11.5% by absolute move · full history (n=26)
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 73.1% by absolute move · full history (n=26)
ETH 1W RR25: percentile rank 11.5% by absolute move · full history (n=26)
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 25JUN27; the largest sigma change occurred at 2OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
14SEP26
-0.02900
-0.00210
-0.06180
-0.04130
+0.20180
rotation towards puts, wing steepening
15SEP26
+0.00310
-0.00460
-0.03760
-0.02260
0.00000
rotation towards puts, wing steepening
16SEP26
+0.00840
-0.00180
-0.00700
+0.00100
-0.04580
rotation towards puts, wing steepening
18SEP26
-0.00960
+0.00220
-0.00660
-0.00920
+0.04580
parallel shift higher, rotation towards puts, wing steepening
25SEP26
+0.00410
+0.00220
-0.00670
+0.00250
-0.03030
parallel shift higher, rotation towards puts, wing steepening
2OCT26
-0.02430
+0.00690
-0.02090
-0.02310
+0.10970
rotation towards puts, wing flattening
30OCT26
-0.00230
+0.00260
+0.00020
+0.00450
+0.00470
parallel shift higher
27NOV26
-0.00930
+0.01030
-0.02770
-0.00800
+0.01510
rotation towards puts
25DEC26
-0.01350
+0.01070
-0.02830
-0.02710
+0.03250
parallel shift higher
26MAR27
-0.00330
+0.00530
-0.00380
-0.00220
-0.00660
parallel shift lower
25JUN27
-0.06690
+0.06830
-0.07900
-0.17490
+0.07770
parallel shift higher
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 13 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.
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.
