Daily ETH options market report · 24-hour comparison
Ether options turn defensive as front-end skew swings toward puts
Ether’s defining options move was a sharp front-end shift toward relative put-side volatility. Ether one-week RR25 dropped 4.48 volatility points to -1.59%, a large move at the 92.9 percentile of comparable observations; Ether one-week ATM IV fell 2.08 volatility points to 55.04%.
Ether one-week RR25 fell 4.48 volatility points to -1.59%, shifting the front-end smile from call-rich to put-rich relative volatility at the cutoff. Ether one-week ATM IV simultaneously fell 2.08 volatility points to 55.04%, so the move was a skew repricing rather than a broad rise in implied volatility. Ether’s 24-hour spot-index return was -6.17%, while Ether one-week ATM IV remained 4.33 volatility points above seven-day realised volatility. Derivasys data also show richer two-week convexity.
Ether skew shifts toward puts
Ether front-end relative put-side volatility increased while one-week ATM IV eased over the window.
Macro
US government bond yields reached a 19-year peak as oil prices rose.
Crypto
No qualifying crypto-specific context was retained.
Links identify the underlying reporting. Events are presented as context, not assigned causes.
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 -2.08 volatility points, to 55.04%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
14 Sept 2026, 21:01 UTC to 15 Sept 2026, 21:01 UTC
Relevant context found; no confirmed catalyst
Relevant market event
1 event was retained after relevance scoring and event-level deduplication.
Confidencelow causal confidence
News is presented as contextual association unless the structured evidence supports a stronger relationship.
04 · Detailed analysis
What changed across the ETH volatility surface.
Implied versus realised
At the 21:01 UTC cutoff, 1W ATM IV was 55.04%, 4.33 volatility points above seven-day realised volatility of 50.71%; 24-hour realised volatility was 61.11% and 30-day realised volatility was 55.99%.
Front end
Front-end ATM IV decreased, averaging -1.22 volatility points to 53.55% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.83% (+0.05 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -2.12 volatility points to -0.87% across the five available headline tenors.
Convexity
BF25 increased, averaging +0.43 volatility points to 3.65% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -2.08 volatility points at 1W, to 55.04%.
Universe roll: added 19SEP26; removed 15SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
18SEP26, -16.94 vol pts02
Largest standard-tenor RR25 move
1W, -4.48 vol pts03
Largest standard-tenor ATM IV move
1W, -2.08 vol pts04
Largest standard-tenor BF25 move
2W, +0.81 vol pts05
Largest eligible SVI sigma move
2OCT26, -0.2551 param06
Largest eligible SVI rho move
18SEP26, -0.0812 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
55.04
57.12
-2.08 vol pts
-3.64%
2W
53.02
54.31
-1.29 vol pts
-2.38%
1M
52.60
52.88
-0.28 vol pts
-0.53%
3M
53.92
53.51
+0.41 vol pts
+0.77%
6M
54.83
54.78
+0.05 vol pts
+0.09%
9M
55.54
55.63
-0.09 vol pts
-0.16%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -2.12 volatility points to -0.87% 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
-1.59
2.89
-4.48 vol pts
2W
-1.73
1.64
-3.37 vol pts
1M
-0.98
1.05
-2.03 vol pts
3M
-0.20
0.21
-0.41 vol pts
6M
0.17
0.46
-0.29 vol pts
9M
0.39
0.77
-0.38 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 increased, averaging +0.43 volatility points to 3.65% 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
3.83
3.59
+0.24 vol pts
2W
3.91
3.10
+0.81 vol pts
1M
3.84
3.09
+0.75 vol pts
3M
3.52
3.25
+0.27 vol pts
6M
3.13
3.06
+0.07 vol pts
9M
2.83
2.79
+0.04 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.
0.5d
Smile rotation
16SEP26, -28.28 vol pts1.5d
Smile rotation
17SEP26, -13.53 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
16SEP26Expiry effect
0.5 days
2,403.24
-164.38 USD
49.54%
-10.64 vol pts
-7.40 vol pts
-1.64 vol pts
17SEP26Expiry effect
1.5 days
2,403.59
-164.42 USD
60.39%
-3.40 vol pts
-5.07 vol pts
-0.81 vol pts
18SEP26
2.5 days
2,403.8
-164.90 USD
58.59%
-2.40 vol pts
-6.23 vol pts
-0.33 vol pts
25SEP26
9.5 days
2,406
-164.99 USD
54.92%
-0.89 vol pts
-4.35 vol pts
+0.31 vol pts
2OCT26
16.5 days
2,406.9
-165.46 USD
52.42%
-0.99 vol pts
-2.77 vol pts
+1.01 vol pts
30OCT26
44.5 days
2,412.66
-166.50 USD
52.67%
+0.05 vol pts
-1.73 vol pts
+0.63 vol pts
27NOV26
72.5 days
2,419.7
-167.39 USD
53.74%
+0.46 vol pts
-0.54 vol pts
+0.24 vol pts
25DEC26
100.5 days
2,427.56
-167.68 USD
53.98%
+0.37 vol pts
-0.36 vol pts
+0.30 vol pts
26MAR27
191.5 days
2,451.33
-168.35 USD
54.88%
+0.02 vol pts
-0.29 vol pts
+0.07 vol pts
25JUN27
282.5 days
2,478.04
-169.55 USD
55.59%
-0.11 vol pts
-0.39 vol pts
+0.05 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.
16SEP26rotation towards puts · wing steepening17SEP26rotation towards puts · wing steepening18SEP26rotation towards puts · wing steepening25SEP26rotation towards puts · wing steepening2OCT26rotation towards puts · wing steepening30OCT26rotation towards puts27NOV26rotation towards puts25DEC26parallel shift higher26MAR27limited movement25JUN27limited movement
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
16SEP26
17SEP26
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 18SEP26; the largest sigma change occurred at 2OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
16SEP26
-0.00200
-0.02120
-0.16400
-0.07450
+0.09520
rotation towards puts, wing steepening
17SEP26
+0.00820
-0.01680
-0.02890
+0.00200
-0.00160
rotation towards puts, wing steepening
18SEP26
+0.00770
-0.00840
-0.08120
-0.01910
-0.02070
rotation towards puts, wing steepening
25SEP26
+0.04580
-0.02800
+0.01770
+0.07180
-0.16120
rotation towards puts, wing steepening
2OCT26
+0.05780
-0.01690
+0.01820
+0.07470
-0.25510
rotation towards puts, wing steepening
30OCT26
+0.03820
-0.01210
-0.00300
+0.05220
-0.16100
rotation towards puts
27NOV26
+0.01970
-0.00640
-0.02760
+0.00420
-0.07530
rotation towards puts
25DEC26
+0.03120
-0.01230
-0.00620
+0.03030
-0.10210
parallel shift higher
26MAR27
+0.03210
-0.02460
+0.02600
+0.06590
-0.06250
limited movement
25JUN27
+0.02820
-0.01920
+0.00440
+0.05570
-0.05060
limited movement
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.
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.
