ETHSpot-index 24h Unavailable1W ATM IV 46.21%1W RR25 -0.77 vol pts1W BF25 Unavailable1W IV − 7D RV Unavailable
Previous report, watch levels and methodology
One-week surface context; the published headline retains its original evidence basis. Cutoffs 22 Sept, 19:20 UTC to 23 Sept, 19:20 UTC.
Measured change since prior report
Prior comparison unavailable: the exact adjacent published edition could not be verified.
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 ≤ 46.21 percent at . Current level 46.21; threshold is the current observed endpoint.
Full retrace: ETH 1W ATM IV ≥ 48.49 percent at . Current level 46.21; 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.
0.5d
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.
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
24SEP26Expiry effect
0.5 days
2,668.64
-94.04 USD
36.14%
-12.35 vol pts
-2.71 vol pts
Unavailable
25SEP26Expiry effect
1.5 days
2,670.63
-93.22 USD
42.49%
-6.90 vol pts
-1.22 vol pts
Unavailable
26SEP26
2.5 days
2,670.31
-93.40 USD
46.60%
-2.14 vol pts
-2.33 vol pts
Unavailable
2OCT26
8.5 days
2,672.64
-92.44 USD
46.83%
-1.59 vol pts
-1.21 vol pts
Unavailable
9OCT26
15.5 days
2,674.06
-93.23 USD
48.21%
-0.50 vol pts
-0.80 vol pts
Unavailable
30OCT26
36.5 days
2,680.64
-93.46 USD
50.14%
+0.25 vol pts
-0.58 vol pts
Unavailable
27NOV26
64.5 days
2,689.83
-94.84 USD
52.05%
+0.02 vol pts
-0.37 vol pts
Unavailable
25DEC26
92.5 days
2,699.67
-95.43 USD
52.88%
-0.18 vol pts
-0.52 vol pts
Unavailable
26MAR27
183.5 days
2,730.71
-94.05 USD
54.60%
+0.17 vol pts
-0.09 vol pts
Unavailable
25JUN27
274.5 days
2,762.86
-93.93 USD
55.27%
+0.07 vol pts
-0.22 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.
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
Completed-session cross-asset context
Crypto volatility against US equity risk.
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 reported crypto realised volatility was 51.19%, versus SPX reported realised volatility of 10.59%.
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.
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 22 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
Preserved Derivasys market-context-v1 observations and common-session alignment.
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 1415 (98.2639% 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
2026-09-22 19:20:00 UTC → 2026-09-23 19:20:00 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)
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.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 46.21% · Δ -2.28 vol pts
Skew: ETH 1W RR25 -0.77 vol pts · Δ -1.32 vol pts
Curve: ETH 6M minus 1W ATM IV spread +8.38 vol pts · spread Δ +2.46 vol pts
Vol
ETH 1W ATM IV 46.21% · Δ -2.28 vol ptspercentile rank 36.7% by absolute move · 30-day window (n=30)
Skew
ETH 1W RR25 -0.77 vol pts · Δ -1.32 vol ptspercentile rank 50.0% 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 36.7% by absolute move · 30-day window (n=30)
ETH 1W RR25: percentile rank 50.0% 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 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.
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 23 Sept 2026, 19:20:00 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 1415 (98.2639% 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.
