Daily ETH options market report · 24-hour comparison
Ether options reset lower as one-week volatility trails realised swings
Ether one-week ATM IV fell 8.62 volatility points to 44.54%, leaving it 9.40 volatility points below seven-day realised volatility of 53.94% at the cutoff. Ether two-week BF25 also fell 1.34 volatility points to 2.55%, compressing the surface’s convexity measure.
Ether one-week ATM IV fell 8.62 volatility points to 44.54% during the 24-hour observation window, the sharpest standard-tenor move in the Ether surface. Ether spot-index return gained 3.03% over the same 24 hours. At the cutoff, Ether one-week ATM IV was 9.40 volatility points below seven-day realised volatility of 53.94%; separately, Ether two-week BF25 fell 1.34 volatility points to 2.55%, marking substantial convexity compression.
Ether volatility and convexity reset
Ether one-week ATM IV declined sharply, while two-week BF25 recorded exceptional compression.
Macro
The Federal Reserve issued its FOMC statement during the observation window.
No qualifying Ether-specific news context was retained in the reporting window.
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 -8.62 volatility points, to 44.54%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
16 Sept 2026, 16:39 UTC to 17 Sept 2026, 16:39 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 16:39 UTC cutoff, 1W ATM IV was 44.54%, 9.40 volatility points below seven-day realised volatility of 53.94%; 24-hour realised volatility was 63.42% and 30-day realised volatility was 57.25%.
Front end
Front-end ATM IV decreased, averaging -5.55 volatility points to 46.67% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.47% (-0.45 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.18 volatility points to -0.07% across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.68 volatility points to 2.78% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -8.62 volatility points at 1W, to 44.54%.
Universe roll: added 21SEP26, 9OCT26; removed 17SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest standard-tenor ATM IV move
1W, -8.62 vol pts02
Largest eligible smile rotation
20SEP26, +2.04 vol pts03
Largest standard-tenor BF25 move
2W, -1.34 vol pts04
Largest standard-tenor RR25 move
2W, +0.36 vol pts05
Largest eligible SVI sigma move
2OCT26, +0.1628 param06
Largest eligible SVI rho move
25SEP26, +0.0802 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
44.54
53.16
-8.62 vol pts
-16.22%
2W
46.46
51.53
-5.07 vol pts
-9.84%
1M
49.02
51.98
-2.96 vol pts
-5.69%
3M
52.95
53.96
-1.01 vol pts
-1.87%
6M
54.47
54.92
-0.45 vol pts
-0.82%
9M
55.23
55.37
-0.14 vol pts
-0.25%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 2W.
RR25 moved towards calls, averaging +0.18 volatility points to -0.07% 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
-0.23
-0.46
+0.23 vol pts
2W
-0.69
-1.05
+0.36 vol pts
1M
-0.28
-0.44
+0.16 vol pts
3M
0.06
0.08
-0.02 vol pts
6M
0.77
0.58
+0.19 vol pts
9M
1.00
0.42
+0.58 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 2W.
BF25 decreased, averaging -0.68 volatility points to 2.78% 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
2.29
3.26
-0.97 vol pts
2W
2.55
3.89
-1.34 vol pts
1M
2.58
3.64
-1.06 vol pts
3M
3.22
3.34
-0.12 vol pts
6M
3.27
3.20
+0.07 vol pts
9M
2.70
2.86
-0.16 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
ATM IV change
18SEP26, -20.91 vol pts1.6d
ATM IV change
19SEP26, -14.80 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
18SEP26Expiry effect
0.6 days
2,459.58
+67.69 USD
38.86%
-20.91 vol pts
+1.94 vol pts
-2.14 vol pts
19SEP26Expiry effect
1.6 days
2,459.86
+67.43 USD
40.32%
-14.80 vol pts
+0.18 vol pts
-2.48 vol pts
20SEP26
2.6 days
2,460.16
+67.81 USD
36.74%
-14.44 vol pts
+0.62 vol pts
-1.80 vol pts
25SEP26
7.6 days
2,462.23
+67.77 USD
45.20%
-8.36 vol pts
+0.13 vol pts
-0.91 vol pts
2OCT26
14.6 days
2,463.18
+68.01 USD
46.53%
-4.65 vol pts
+0.46 vol pts
-1.46 vol pts
30OCT26
42.6 days
2,468.26
+67.57 USD
49.78%
-2.47 vol pts
+0.22 vol pts
-0.64 vol pts
27NOV26
70.6 days
2,476.42
+68.45 USD
52.52%
-1.04 vol pts
-0.08 vol pts
-0.22 vol pts
25DEC26
98.6 days
2,485.18
+69.22 USD
53.07%
-1.02 vol pts
+0.01 vol pts
-0.11 vol pts
26MAR27
189.6 days
2,509.75
+69.50 USD
54.54%
-0.42 vol pts
+0.19 vol pts
+0.05 vol pts
25JUN27
280.6 days
2,536.12
+69.30 USD
55.27%
-0.13 vol pts
+0.60 vol pts
-0.16 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.
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
18SEP26
19SEP26
20SEP26
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 25SEP26; the largest sigma change occurred at 2OCT26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
18SEP26
-0.01060
-0.02920
+0.05700
+0.03700
+0.21420
rotation towards calls, wing steepening
19SEP26
-0.02440
-0.02350
+0.01830
+0.00740
+0.25280
parallel shift lower, rotation towards calls, wing steepening
20SEP26
-0.00700
-0.02540
+0.03120
+0.01260
+0.14330
parallel shift lower, rotation towards calls, wing steepening
25SEP26
-0.00450
-0.01330
+0.08020
+0.05200
+0.06460
parallel shift lower, rotation towards calls, wing steepening
2OCT26
-0.02130
-0.01510
+0.05320
+0.02120
+0.16280
parallel shift lower, rotation towards calls, wing flattening
30OCT26
-0.01520
-0.00480
-0.00340
-0.01740
+0.08140
parallel shift lower
27NOV26
+0.01110
-0.01830
+0.05080
+0.04200
-0.01260
parallel shift lower
25DEC26
+0.00540
-0.00770
+0.00280
+0.00450
-0.01780
parallel shift lower
26MAR27
+0.02550
-0.02550
+0.06740
+0.07030
-0.06100
parallel shift lower
25JUN27
-0.01300
+0.02420
-0.06160
-0.11770
-0.00590
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.
ETH 30-day implied volatility was 2.9 times VIX, while its 30-session return correlation with SPX was low at 0.18.
Implied-volatility premium
ETH 30-day ATM IV was 50.91%, against VIX at 17.71: a 33.20-point spread and 2.87× ratio.
Realised-volatility regime
ETH 20-calendar-day realised volatility was 40.84%, versus SPX 20-session realised volatility of 8.89%. The spread ranked at 16.4 percentile of 232 prior observations.
Equity co-movement
Return correlation with SPX was 0.178 over 30 aligned sessions and 0.272 over 60 sessions. VIX9D, VIX and VIX3M closed at 17.40, 17.71 and 19.73.
As of 16 Sept 2026, 20:00 UTC. Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
17 Sept 2026, 16:39 UTC
Comparison snapshot
16 Sept 2026, 16:39 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.
