Daily ETH options market report · 24-hour comparison
Ether options lose call premium as one-week skew narrows sharply
Ether one-week RR25 fell 1.99 volatility points to 0.82%, reducing but preserving the relative richness of call-side volatility. One-week implied volatility remained below the seven-day realised-volatility reading at the cutoff.
Ether one-week RR25 fell 1.99 volatility points to 0.82% at the 16:30 UTC cutoff, sharply narrowing call-side volatility’s premium over put-side volatility without reversing it. Ether two-week ATM IV fell 0.56 points to 47.36%, and Ether’s 24-hour spot-index return was -1.03%. Derivasys data show Ether one-week ATM IV at 48.08%, 4.32 points below seven-day realised volatility of 52.40%.
Ether call premium narrows sharply
Ether one-week RR25 moved toward puts while front-end implied volatility eased across short maturities.
Macro
No qualifying macro context was retained.
Crypto
The Block reported Bitcoin ETF inflows and said Ether funds ended a four-week inflow streak.
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 2W at -0.56 volatility points, to 47.36%.
Derived directly from structured Derivasys surface data
03 · Catalyst check
19 Sept 2026, 16:30 UTC to 20 Sept 2026, 16:30 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 16:30 UTC cutoff, 1W ATM IV was 48.08%, 4.32 volatility points below seven-day realised volatility of 52.40%; 24-hour realised volatility was 41.69% and 30-day realised volatility was 52.12%.
Front end
Front-end ATM IV decreased, averaging -0.33 volatility points to 47.97% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.47% (+0.24 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -1.23 volatility points to 0.93% across the five available headline tenors.
Convexity
BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -0.56 volatility points at 2W, to 47.36%.
Universe roll: added 24SEP26; removed 20SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
23SEP26, -7.26 vol pts02
Largest standard-tenor RR25 move
1W, -1.99 vol pts03
Largest standard-tenor ATM IV move
2W, -0.56 vol pts04
Largest eligible SVI sigma move
23SEP26, +0.1864 param05
Largest standard-tenor BF25 move
6M, +0.17 vol pts06
Largest eligible SVI rho move
30OCT26, +0.0987 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
48.08
48.42
-0.34 vol pts
-0.70%
2W
47.36
47.92
-0.56 vol pts
-1.17%
1M
48.48
48.58
-0.10 vol pts
-0.21%
3M
52.22
52.45
-0.23 vol pts
-0.44%
6M
54.47
54.23
+0.24 vol pts
+0.44%
9M
55.31
55.56
-0.25 vol pts
-0.45%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -1.23 volatility points to 0.93% 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
0.82
2.81
-1.99 vol pts
2W
1.38
3.24
-1.86 vol pts
1M
0.85
1.96
-1.11 vol pts
3M
0.38
1.19
-0.81 vol pts
6M
1.24
1.61
-0.37 vol pts
9M
1.58
1.64
-0.06 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 6M.
BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% 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
2.90
2.93
-0.03 vol pts
2W
3.06
3.22
-0.16 vol pts
1M
2.85
2.92
-0.07 vol pts
3M
3.16
3.13
+0.03 vol pts
6M
3.32
3.15
+0.17 vol pts
9M
2.84
2.88
-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.
1.6d
Smile rotation
22SEP26, -12.60 vol pts0.6d
ATM IV change
21SEP26, +10.82 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
21SEP26Expiry effect
0.6 days
2,619.55
-28.40 USD
44.00%
+10.82 vol pts
-1.36 vol pts
+1.06 vol pts
22SEP26Expiry effect
1.6 days
2,620.32
-28.39 USD
47.73%
+6.90 vol pts
-3.94 vol pts
-0.64 vol pts
23SEP26
2.6 days
2,620.86
-28.81 USD
47.74%
+3.58 vol pts
-2.83 vol pts
-0.47 vol pts
25SEP26
4.6 days
2,622.34
-28.10 USD
49.29%
+0.68 vol pts
-2.28 vol pts
-0.02 vol pts
2OCT26
11.6 days
2,623.92
-28.09 USD
47.10%
-0.96 vol pts
-2.15 vol pts
-0.25 vol pts
9OCT26
18.6 days
2,625.53
-28.13 USD
47.67%
+0.12 vol pts
-1.12 vol pts
+0.14 vol pts
30OCT26
39.6 days
2,630.6
-27.72 USD
48.80%
-0.29 vol pts
-1.06 vol pts
-0.14 vol pts
27NOV26
67.6 days
2,640.33
-27.62 USD
51.70%
+0.20 vol pts
-1.25 vol pts
+0.05 vol pts
25DEC26
95.6 days
2,649.95
-27.08 USD
52.29%
-0.33 vol pts
-0.73 vol pts
+0.03 vol pts
26MAR27
186.6 days
2,675.04
-28.32 USD
54.53%
+0.25 vol pts
-0.36 vol pts
+0.16 vol pts
25JUN27
277.6 days
2,701.05
-28.36 USD
55.34%
-0.28 vol pts
-0.04 vol pts
-0.04 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.
21SEP26rotation towards puts · wing steepening22SEP26rotation towards puts · wing steepening23SEP26rotation towards puts · wing steepening25SEP26rotation towards puts · wing steepening2OCT26rotation towards puts · wing steepening9OCT26rotation towards puts30OCT26rotation towards puts27NOV26rotation towards puts25DEC26rotation towards puts26MAR27parallel shift higher25JUN27parallel 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
21SEP26
22SEP26
23SEP26
25SEP26
2OCT26
9OCT26
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 30OCT26; the largest sigma change occurred at 23SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
21SEP26
+0.00460
+0.03140
+0.02680
+0.04940
-0.25870
rotation towards puts, wing steepening
22SEP26
-0.05860
+0.03120
-0.06160
-0.00830
+0.31290
rotation towards puts, wing steepening
23SEP26
-0.03860
+0.02120
+0.00460
+0.01450
+0.18640
rotation towards puts, wing steepening
25SEP26
-0.03120
+0.02060
+0.01320
+0.01350
+0.10030
rotation towards puts, wing steepening
2OCT26
-0.02930
+0.01530
+0.04630
+0.02690
+0.10400
rotation towards puts, wing steepening
9OCT26
-0.01370
+0.00260
+0.09760
+0.07270
+0.04700
rotation towards puts
30OCT26
-0.02640
+0.00240
+0.09870
+0.06720
+0.11230
rotation towards puts
27NOV26
-0.02580
+0.01410
+0.02760
+0.02940
+0.07930
rotation towards puts
25DEC26
-0.02900
+0.01570
+0.02870
+0.02040
+0.08020
rotation towards puts
26MAR27
-0.01770
+0.01130
+0.02680
+0.02450
+0.04650
parallel shift higher
25JUN27
+0.07110
-0.04710
+0.00430
+0.07780
-0.13490
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 3.3 times VIX, while its 30-session return correlation with SPX was low at 0.20.
Implied-volatility premium
ETH 30-day ATM IV was 48.50%, against VIX at 14.81: a 33.69-point spread and 3.27× ratio.
Realised-volatility regime
ETH 20-calendar-day realised volatility was 50.63%, versus SPX 20-session realised volatility of 9.38%. The spread ranked at 37.2 percentile of 234 prior observations.
Equity co-movement
Return correlation with SPX was 0.196 over 30 aligned sessions and 0.231 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.27, 14.81 and 18.24.
As of 18 Sept 2026, 20:00 UTC. Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252).
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
20 Sept 2026, 16:30 UTC
Comparison snapshot
19 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.
