Daily ETH options market report · 24-hour comparison
Ether options turn more defensive as near-term volatility climbs
Ether one-week ATM IV advanced to 52.42%, led by a 3.94-point rise in the one-week tenor. The front-end average gained 2.37 points while the long end was broadly unchanged, and RR25 moved toward puts.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at +3.94 volatility points, to 52.42%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
12 Sept 2026, 16:30 UTC to 13 Sept 2026, 16:30 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 16:30 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 increased, averaging +2.37 volatility points to 51.65% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.27% (-0.01 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -0.29 volatility points to -0.81% across the five available headline tenors.
Convexity
BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% across the five available headline tenors.
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.
05 · Standard-tenor ranking
Largest surface events
01
Largest standard-tenor ATM IV move
1W, +3.94 vol pts02
Largest eligible smile rotation
16SEP26, -2.91 vol pts03
Largest standard-tenor RR25 move
2W, -0.45 vol pts04
Largest standard-tenor BF25 move
2W, +0.15 vol pts05
Largest eligible SVI sigma move
2OCT26, +0.1097 param06
Largest eligible SVI rho move
25JUN27, -0.0790 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
52.42
48.48
+3.94 vol pts
+8.13%
2W
51.43
49.41
+2.02 vol pts
+4.09%
1M
51.11
49.97
+1.14 vol pts
+2.28%
3M
52.96
52.75
+0.21 vol pts
+0.40%
6M
54.27
54.28
-0.01 vol pts
-0.02%
9M
55.27
55.23
+0.04 vol pts
+0.07%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards puts, averaging -0.29 volatility points to -0.81% 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
-1.48
-1.17
-0.31 vol pts
2W
-1.40
-0.95
-0.45 vol pts
1M
-0.63
-0.30
-0.33 vol pts
3M
-0.41
-0.07
-0.34 vol pts
6M
-0.15
-0.15
0.00 vol pts
9M
0.02
0.06
-0.04 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% 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
3.18
3.15
+0.03 vol pts
2W
3.00
2.85
+0.15 vol pts
1M
3.29
3.36
-0.07 vol pts
3M
3.31
3.31
0.00 vol pts
6M
3.07
2.99
+0.08 vol pts
9M
2.60
2.66
-0.06 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
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.
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
14SEP26Expiry effect
0.6 days
2,501.84
-31.16 USD
36.48%
+4.12 vol pts
-1.69 vol pts
-0.25 vol pts
15SEP26Expiry effect
1.6 days
2,502.32
-31.37 USD
43.47%
+5.78 vol pts
-0.87 vol pts
+0.25 vol pts
16SEP26
2.6 days
2,502.77
-31.14 USD
48.00%
+5.31 vol pts
-0.89 vol pts
+0.51 vol pts
18SEP26
4.6 days
2,503.45
-31.31 USD
52.74%
+4.85 vol pts
-0.31 vol pts
+0.11 vol pts
25SEP26
11.6 days
2,506.04
-30.78 USD
52.16%
+2.59 vol pts
-0.42 vol pts
+0.28 vol pts
2OCT26
18.6 days
2,507.77
-30.67 USD
50.52%
+1.56 vol pts
-0.54 vol pts
-0.36 vol pts
30OCT26
46.6 days
2,513.81
-30.72 USD
51.45%
+0.79 vol pts
-0.27 vol pts
+0.09 vol pts
27NOV26
74.6 days
2,521.5
-29.77 USD
52.93%
+0.32 vol pts
-0.69 vol pts
+0.07 vol pts
25DEC26
102.6 days
2,528.6
-30.41 USD
52.97%
+0.14 vol pts
-0.12 vol pts
-0.02 vol pts
26MAR27
193.6 days
2,552.88
-30.30 USD
54.37%
-0.03 vol pts
0.00 vol pts
+0.08 vol pts
25JUN27
284.6 days
2,580.95
-30.71 USD
55.36%
+0.04 vol pts
-0.05 vol pts
-0.07 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.
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
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 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.
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 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.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
13 Sept 2026, 16:30 UTC
Comparison snapshot
12 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.
