Prior comparison unavailable: the published 2026-09-15 edition is verified but ends at 15 Sept, 21:01 UTC; this window requires 15 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 ≤ 53.07 percent at . Current level 53.07; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 59.12 percent at . Current level 53.07; 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 2026-09-16T16:30:00+00:00 to 2026-09-17T16:30:00+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 2026-09-16T16:30:00+00:00 to 2026-09-17T16:30:00+00:00.
Chart notes
Combined surface read: ATM IV fell (ETH); RR25 moved toward calls (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 front-end volatility compresses
Ether one-week ATM IV fell materially while the one-week implied-versus-realised volatility premium remained positive.
Macro
NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.
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
15 Sept 2026, 16:30 UTC to 16 Sept 2026, 16:30 UTC
Relevant context found; no confirmed catalyst
Relevant market events
2 relevant events were 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 16:30 UTC cutoff, 1W ATM IV was 53.07%, 2.31 volatility points above seven-day realised volatility of 50.76%; 24-hour realised volatility was 59.58% and 30-day realised volatility was 56.27%.
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 -6.05 volatility points at 1W, to 53.07%.
Universe roll: added 20SEP26; removed 16SEP26. 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
17SEP26, +6.14 vol pts1.6d
ATM IV change
18SEP26, -4.85 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
17SEP26Expiry effect
0.6 days
2,394.13
-29.88 USD
74.26%
+6.14 vol pts
-1.74 vol pts
Unavailable
18SEP26Expiry effect
1.6 days
2,394.7
-29.25 USD
60.26%
-4.85 vol pts
-0.69 vol pts
Unavailable
19SEP26
2.6 days
2,394.89
-29.63 USD
55.04%
-7.64 vol pts
-0.23 vol pts
Unavailable
25SEP26
8.6 days
2,397.24
-28.92 USD
53.49%
-4.53 vol pts
+1.32 vol pts
Unavailable
2OCT26
15.6 days
2,397.96
-29.24 USD
51.13%
-3.29 vol pts
-0.62 vol pts
Unavailable
30OCT26
43.6 days
2,403.43
-29.79 USD
52.19%
-1.54 vol pts
+0.65 vol pts
Unavailable
27NOV26
71.6 days
2,410.7
-29.44 USD
53.43%
-0.68 vol pts
+0.29 vol pts
Unavailable
25DEC26
99.6 days
2,418.64
-29.30 USD
53.73%
-0.53 vol pts
+0.59 vol pts
Unavailable
26MAR27
190.6 days
2,442.95
-28.73 USD
54.93%
-0.27 vol pts
+0.59 vol pts
Unavailable
25JUN27
281.6 days
2,469.57
-29.28 USD
55.39%
-0.39 vol pts
+0.06 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.
17SEP26rotation towards puts · wing steepening18SEP26rotation towards puts · wing steepening19SEP26rotation towards calls · wing steepening25SEP26parallel shift lower · rotation towards calls · wing steepening2OCT26rotation towards puts · wing steepening30OCT26parallel shift lower · rotation towards calls27NOV26parallel shift lower25DEC26rotation towards calls26MAR27parallel shift lower25JUN27parallel 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
17SEP26
18SEP26
19SEP26
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 3.1 times VIX, while its 30-session return correlation with SPX was low at 0.12.
Implied-volatility premium
ETH 30-day ATM IV was 52.73%, against VIX at 17.20: a 35.53-point spread and 3.07× ratio.
Daily-close realised-volatility regime
ETH reported crypto realised volatility was 41.21%, versus SPX reported realised volatility of 9.06%. The spread ranked at percentile rank 16.9% of 231 prior observations.
Equity co-movement
Return correlation with SPX was 0.124 over 30 aligned sessions and 0.266 over 60 sessions. VIX9D, VIX and VIX3M closed at 17.21, 17.20 and 19.36.
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 15 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
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
2026-09-15 16:30:00 UTC → 2026-09-16 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 fell 6.05 volatility points to 53.07% over the 24-hour observation window, an 86.2 percentile move in available Derivasys history. Ether’s 24-hour spot-index return was -1.07%, while one-week ATM IV stood 2.31 volatility points above seven-day realised volatility of 50.76%. Front-end ATM IV averaged 52.16%, showing the compression was concentrated in shorter maturities.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 53.07% · Δ -6.05 vol pts
Skew: ETH 1W RR25 -0.56 vol pts · Δ +0.73 vol pts
Curve: ETH 6M minus 1W ATM IV spread +1.80 vol pts · spread Δ +5.77 vol pts
Vol
ETH 1W ATM IV 53.07% · Δ -6.05 vol ptspercentile rank 86.2% by absolute move · full history (n=29)
Skew
ETH 1W RR25 -0.56 vol pts · Δ +0.73 vol ptspercentile rank 32.0% by absolute move · 30-day window (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 86.2% by absolute move · full history (n=29)
ETH 1W RR25: percentile rank 32.0% by absolute move · 30-day window (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 19SEP26; the largest sigma change occurred at 25DEC26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
17SEP26
-0.01440
-0.01180
+0.00040
+0.00280
+0.12700
rotation towards puts, wing steepening
18SEP26
-0.01470
-0.01180
+0.06530
+0.03450
+0.11880
rotation towards puts, wing steepening
19SEP26
+0.00970
-0.01550
+0.08180
+0.04430
-0.02230
rotation towards calls, wing steepening
25SEP26
-0.00940
-0.00090
+0.00040
-0.01590
+0.04450
parallel shift lower, rotation towards calls, wing steepening
2OCT26
+0.00940
-0.00590
+0.05510
+0.04140
-0.04940
rotation towards puts, wing steepening
30OCT26
+0.00830
-0.00990
+0.06800
+0.03850
-0.03090
parallel shift lower, rotation towards calls
27NOV26
-0.02210
+0.01170
-0.02420
-0.03860
+0.06320
parallel shift lower
25DEC26
-0.03560
+0.02070
-0.05760
-0.08420
+0.10230
rotation towards calls
26MAR27
+0.00190
-0.01110
+0.04630
+0.01940
+0.00320
parallel shift lower
25JUN27
-0.00320
-0.01470
+0.04320
+0.04180
+0.02190
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 16 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.
