Daily ETH options market report · 24-hour comparison
Ether options show deeper three-month convexity despite softer front end
In Ether options, three-month BF25 rose 0.31 volatility points to 3.27%, a large move at the 90th percentile of comparable recent observations in Derivasys data. BF25 measures the relative richness of wings versus at-the-money options. The rise contrasted with Ether one-week ATM IV, which fell 2.28 volatility points to 46.21%, while Ether front-end ATM IV across one week to one month averaged 48.02%, down 0.91 points. The Ether 26SEP26 forward price fell 3.38% to $2,670.31. One-minute realised-volatility comparisons were unavailable.
5 of 6 headline tenors were comparable at both endpoints. The largest ATM IV move was 1W at -2.28 volatility points, to 46.21%.
The intraday RV comparison is unavailable because the one-minute index-return series failed its completeness check. This affects the 24-hour, seven-day and 30-day comparison block.
Derived directly from structured Derivasys surface data
03 · Catalyst check
22 Sept 2026, 19:20 UTC to 23 Sept 2026, 19:20 UTC
No catalyst assigned.
No qualifying context was found in the monitored news sources for this reporting window.
04 · Detailed analysis
What changed across the ETH volatility surface.
Front end
Front-end ATM IV decreased, averaging -0.91 volatility points to 48.02% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.59% (+0.18 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -0.68 volatility points to 0.07% across the five available headline tenors.
Convexity
BF25 increased, averaging +0.19 volatility points to 3.06% across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -2.28 volatility points at 1W, to 46.21%.
Universe roll: added 27SEP26; removed 23SEP26. Comparisons use common expiries only.
05 · Standard-tenor ranking
Largest surface events
01
Largest eligible smile rotation
26SEP26, -7.09 vol pts02
Largest standard-tenor ATM IV move
1W, -2.28 vol pts03
Largest standard-tenor RR25 move
1W, -1.32 vol pts04
Largest standard-tenor BF25 move
3M, +0.31 vol pts05
Largest eligible SVI rho move
25DEC26, +0.1116 param06
Largest eligible SVI sigma move
26SEP26, +0.0836 param
06 · ATM volatility
Standard-tenor ATM implied volatility.
Tenor
Current (vol %)
Previous (vol %)
Change (vol pts)
Relative change
1W
46.21
48.49
-2.28 vol pts
-4.70%
2W
48.03
48.64
-0.61 vol pts
-1.25%
1M
49.83
49.66
+0.17 vol pts
+0.34%
3M
52.85
52.99
-0.14 vol pts
-0.26%
6M
54.59
54.41
+0.18 vol pts
+0.33%
9M
55.26
55.19
+0.07 vol pts
+0.13%
1Y
Unavailable
Unavailable
Unavailable
Unavailable
07 · Risk reversals
RR25 skew moved most at 1W.
RR25 moved towards puts, averaging -0.68 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
-0.77
0.55
-1.32 vol pts
2W
-0.30
0.58
-0.88 vol pts
1M
0.04
0.65
-0.61 vol pts
3M
0.35
0.86
-0.51 vol pts
6M
1.04
1.14
-0.10 vol pts
9M
1.63
1.85
-0.22 vol pts
1Y
Unavailable
Unavailable
Unavailable
08 · Butterflies
BF25 convexity changed most at 3M.
BF25 increased, averaging +0.19 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
2.95
2.83
+0.12 vol pts
2W
3.04
2.80
+0.24 vol pts
1M
2.66
2.67
-0.01 vol pts
3M
3.27
2.96
+0.31 vol pts
6M
3.40
3.12
+0.28 vol pts
9M
3.05
2.93
+0.12 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.
0.5d
ATM IV change
24SEP26, -12.35 vol pts1.5d
ATM IV change
25SEP26, -6.90 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
24SEP26Expiry effect
0.5 days
2,668.64
-94.04 USD
36.14%
-12.35 vol pts
-2.71 vol pts
-0.25 vol pts
25SEP26Expiry effect
1.5 days
2,670.63
-93.22 USD
42.49%
-6.90 vol pts
-1.22 vol pts
-0.18 vol pts
26SEP26
2.5 days
2,670.31
-93.40 USD
46.60%
-2.14 vol pts
-2.33 vol pts
-0.25 vol pts
2OCT26
8.5 days
2,672.64
-92.44 USD
46.83%
-1.59 vol pts
-1.21 vol pts
+0.29 vol pts
9OCT26
15.5 days
2,674.06
-93.23 USD
48.21%
-0.50 vol pts
-0.80 vol pts
+0.22 vol pts
30OCT26
36.5 days
2,680.64
-93.46 USD
50.14%
+0.25 vol pts
-0.58 vol pts
-0.06 vol pts
27NOV26
64.5 days
2,689.83
-94.84 USD
52.05%
+0.02 vol pts
-0.37 vol pts
+0.33 vol pts
25DEC26
92.5 days
2,699.67
-95.43 USD
52.88%
-0.18 vol pts
-0.52 vol pts
+0.32 vol pts
26MAR27
183.5 days
2,730.71
-94.05 USD
54.60%
+0.17 vol pts
-0.09 vol pts
+0.29 vol pts
25JUN27
274.5 days
2,762.86
-93.93 USD
55.27%
+0.07 vol pts
-0.22 vol pts
+0.10 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.
24SEP26rotation towards puts · wing steepening25SEP26rotation towards puts · wing steepening26SEP26rotation towards puts · wing steepening2OCT26rotation towards puts · wing steepening9OCT26rotation towards puts · wing steepening30OCT26rotation towards puts27NOV26limited movement25DEC26rotation towards puts26MAR27parallel 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
24SEP26
25SEP26
26SEP26
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 25DEC26; the largest sigma change occurred at 26SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
24SEP26
-0.02680
+0.03360
-0.07070
-0.03500
+0.02920
rotation towards puts, wing steepening
25SEP26
-0.01450
+0.01710
-0.00730
-0.00260
+0.01370
rotation towards puts, wing steepening
26SEP26
-0.02360
+0.01360
+0.01530
+0.01370
+0.08360
rotation towards puts, wing steepening
2OCT26
-0.00970
+0.01760
-0.00050
+0.01180
-0.01670
rotation towards puts, wing steepening
9OCT26
-0.00480
+0.00770
+0.04830
+0.04540
-0.01190
rotation towards puts, wing steepening
30OCT26
-0.01940
+0.00700
+0.05160
+0.04350
+0.06930
rotation towards puts
27NOV26
+0.00230
+0.00200
+0.07180
+0.07420
-0.03470
limited movement
25DEC26
+0.00770
-0.00780
+0.11160
+0.11300
-0.03620
rotation towards puts
26MAR27
+0.01590
-0.01540
+0.07210
+0.08740
-0.04200
parallel shift higher
25JUN27
+0.02020
-0.02980
+0.06270
+0.08980
-0.01810
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.
ETH 30-day implied volatility was 3.5 times VIX, while its 30-session return correlation with SPX was low at 0.28.
Implied-volatility premium
ETH 30-day ATM IV was 49.56%, against VIX at 14.21: a 35.35-point spread and 3.49× ratio.
Daily-close realised-volatility regime
ETH 20-calendar-day realised volatility was 51.19%, versus SPX 20-session realised volatility of 10.59%. The spread ranked at 38.1 percentile of 236 prior observations.
This separate RV estimate uses 20 daily close-to-close log returns, sampled at 16:00 New York time, ending at the completed-session timestamp shown below. It requires a valid close for each day, rather than every intervening minute. Crypto RV is annualised with √365; SPX uses 20 trading-session returns and √252. It does not replace the intraday IV–RV comparison.
Equity co-movement
Return correlation with SPX was 0.277 over 30 aligned sessions and 0.265 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.13, 14.21 and 17.61.
As of 22 Sept 2026, 20:00 UTC. Preserved Derivasys market-context-v1 observations and common-session alignment.
13 · Methodology and provenance
Generated from measured Derivasys surface data.
Current snapshot
23 Sept 2026, 19:20 UTC
Comparison snapshot
22 Sept 2026, 19:20 UTC
Source
Derivasys proprietary historical SVI surface database
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.
