Prior comparison unavailable: the published 2026-09-20 edition is verified but ends at 20 Sept, 16:30 UTC; this window requires 20 Sept, 18:42 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 ≥ 51.27 percent at . Current level 51.27; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≤ 48.62 percent at . Current level 51.27; 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.
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
Smile rotation
22SEP26, +28.68 vol pts1.6d
Smile rotation
23SEP26, +12.53 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
22SEP26Expiry effect
0.6 days
2,748.5
+114.00 USD
48.11%
-0.25 vol pts
+5.34 vol pts
Unavailable
23SEP26Expiry effect
1.6 days
2,749.56
+114.56 USD
51.96%
+2.41 vol pts
+2.99 vol pts
Unavailable
24SEP26
2.6 days
2,750.27
+114.88 USD
53.16%
+3.27 vol pts
+2.08 vol pts
Unavailable
25SEP26
3.6 days
2,750.88
+114.80 USD
54.17%
+4.04 vol pts
+1.38 vol pts
Unavailable
2OCT26
10.6 days
2,752.45
+114.45 USD
50.23%
+2.75 vol pts
-0.22 vol pts
Unavailable
9OCT26
17.6 days
2,754.56
+115.28 USD
50.05%
+1.02 vol pts
+1.00 vol pts
Unavailable
30OCT26
38.6 days
2,761.27
+116.66 USD
50.39%
+1.26 vol pts
+1.31 vol pts
Unavailable
27NOV26
66.6 days
2,772.35
+117.93 USD
52.93%
+0.98 vol pts
-0.32 vol pts
Unavailable
25DEC26
94.6 days
2,783.19
+119.47 USD
53.50%
+0.88 vol pts
-0.01 vol pts
Unavailable
26MAR27
185.6 days
2,809.75
+120.49 USD
54.92%
+0.43 vol pts
+0.02 vol pts
Unavailable
25JUN27
276.6 days
2,835.61
+120.87 USD
55.70%
+0.09 vol pts
-0.17 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.
22SEP26rotation towards calls · wing steepening23SEP26rotation towards calls · wing steepening24SEP26rotation towards calls · wing steepening25SEP26rotation towards calls · wing flattening2OCT26parallel shift higher · rotation towards puts9OCT26rotation towards calls30OCT26rotation towards calls27NOV26parallel shift higher25DEC26parallel shift higher26MAR27parallel shift higher25JUN27parallel shift higher
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
22SEP26
23SEP26
24SEP26
25SEP26
2OCT26
9OCT26
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 3.3 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.
Daily-close realised-volatility regime
ETH reported crypto realised volatility was 50.63%, versus SPX reported realised volatility of 9.38%.
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.
RV comparison basis unverified: this edition does not record the recognised provider methodology for both horizons and annualisation conventions. Any historical spread rank should not be interpreted as establishing matched-horizon comparability.
As of 18 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252).
RV observation windows and sampling
The intraday RV comparison is unavailable. Recorded reason: Canonical ETH index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-20 18:42:00 UTC → 2026-09-21 18:42:00 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-month RR25 rose 1.22 volatility points to 2.03 volatility points over the observation window, making call-side volatility relatively richer than put-side volatility. Derivasys data show the one-week ATM IV increase was more routine: one-week ATM IV rose 2.65 volatility points to 51.27%. The 24SEP26 Ether forward-proxy price rose 4.36% to $2,750.27, while long-end ATM IV changed only modestly.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 51.27% · Δ +2.65 vol pts
Skew: ETH 1W RR25 1.97 vol pts · Δ +0.49 vol pts
Curve: ETH 6M minus 1W ATM IV spread +3.62 vol pts · spread Δ -2.20 vol pts
Vol
ETH 1W ATM IV 51.27% · Δ +2.65 vol ptspercentile rank 50.0% by absolute move · full history (n=34)
Skew
ETH 1W RR25 1.97 vol pts · Δ +0.49 vol ptspercentile rank 26.7% by absolute move · 30-day window (n=30)
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 50.0% by absolute move · full history (n=34)
ETH 1W RR25: percentile rank 26.7% by absolute move · 30-day window (n=30)
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 27NOV26; the largest sigma change occurred at 25SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
22SEP26
+0.04220
-0.04870
+0.18840
+0.09170
-0.09420
rotation towards calls, wing steepening
23SEP26
-0.00290
-0.01380
+0.06190
+0.02900
+0.07710
rotation towards calls, wing steepening
24SEP26
+0.00640
-0.01890
+0.04000
+0.01400
+0.03400
rotation towards calls, wing steepening
25SEP26
-0.00730
-0.01400
+0.00760
-0.01450
+0.10620
rotation towards calls, wing flattening
2OCT26
+0.01610
-0.01230
+0.01990
+0.02390
-0.04560
parallel shift higher, rotation towards puts
9OCT26
+0.00880
-0.01020
+0.00640
-0.00600
-0.01150
rotation towards calls
30OCT26
+0.01140
-0.00850
+0.01660
-0.00810
-0.02590
rotation towards calls
27NOV26
+0.01890
-0.02390
+0.08660
+0.07640
-0.01880
parallel shift higher
25DEC26
+0.02310
-0.01140
+0.03250
+0.04640
-0.07000
parallel shift higher
26MAR27
-0.00480
+0.01990
-0.05950
-0.04840
-0.01360
parallel shift higher
25JUN27
+0.00520
-0.01160
+0.03610
+0.05690
-0.00260
parallel shift higher
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 21 Sept 2026, 18:42:00 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. Canonical ETH index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded 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.
