Prior comparison unavailable: the published 2026-09-14 edition is verified but ends at 14 Sept, 16:30 UTC; this window requires 14 Sept, 21:01 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 ≤ 55.04 percent at . Current level 55.04; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 57.12 percent at . Current level 55.04; 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 2026-09-15T21:01:00+00:00 to 2026-09-16T21:01:00+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 2026-09-15T21:01:00+00:00 to 2026-09-16T21:01:00+00:00.
Chart notes
Combined surface read: ATM IV fell (ETH); RR25 moved toward puts (ETH).
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Smile rotation is the fitted IV change at +0.15 log-moneyness minus the change at −0.15, in volatility points. A positive reading indicates a relative shift toward the call side.
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 for retained events; entries without a retained link are marked.
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
14 Sept 2026, 21:01 UTC to 15 Sept 2026, 21:01 UTC
Relevant context found; no confirmed catalyst
Relevant market event
1 relevant event was retained for the comparison window.
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 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 -2.08 volatility points at 1W, to 55.04%.
Universe roll: added 19SEP26; removed 15SEP26. 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.
0.5d
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.
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
16SEP26Expiry effect
0.5 days
2,403.24
-164.38 USD
49.54%
-10.64 vol pts
-7.40 vol pts
Unavailable
17SEP26Expiry effect
1.5 days
2,403.59
-164.42 USD
60.39%
-3.40 vol pts
-5.07 vol pts
Unavailable
18SEP26
2.5 days
2,403.8
-164.90 USD
58.59%
-2.40 vol pts
-6.23 vol pts
Unavailable
25SEP26
9.5 days
2,406
-164.99 USD
54.92%
-0.89 vol pts
-4.35 vol pts
Unavailable
2OCT26
16.5 days
2,406.9
-165.46 USD
52.42%
-0.99 vol pts
-2.77 vol pts
Unavailable
30OCT26
44.5 days
2,412.66
-166.50 USD
52.67%
+0.05 vol pts
-1.73 vol pts
Unavailable
27NOV26
72.5 days
2,419.7
-167.39 USD
53.74%
+0.46 vol pts
-0.54 vol pts
Unavailable
25DEC26
100.5 days
2,427.56
-167.68 USD
53.98%
+0.37 vol pts
-0.36 vol pts
Unavailable
26MAR27
191.5 days
2,451.33
-168.35 USD
54.88%
+0.02 vol pts
-0.29 vol pts
Unavailable
25JUN27
282.5 days
2,478.04
-169.55 USD
55.59%
-0.11 vol pts
-0.39 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.
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
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
2026-09-14 21:01:00 UTC → 2026-09-15 21:01:00 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 fell 4.48 volatility points to -1.59 volatility points, 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.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 55.04% · Δ -2.08 vol pts
Skew: ETH 1W RR25 -1.59 vol pts · Δ -4.48 vol pts
Curve: ETH 6M minus 1W ATM IV spread -0.21 vol pts · spread Δ +2.13 vol pts
Vol
ETH 1W ATM IV 55.04% · Δ -2.08 vol ptspercentile rank 39.3% by absolute move · full history (n=28)
Skew
ETH 1W RR25 -1.59 vol pts · Δ -4.48 vol ptspercentile rank 92.9% by absolute move · full history (n=28)
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 39.3% by absolute move · full history (n=28)
ETH 1W RR25: percentile rank 92.9% by absolute move · full history (n=28)
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 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.
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 15 Sept 2026, 21:01:00 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.
