Daily ETH options market report · 24-hour comparison
Ether options ease as two-week convexity declines
Ether options repriced lower across the front end, with two-week BF25 falling 0.45 volatility points to 2.70 volatility points. Derivasys data show one-week ATM IV fell 2.24 volatility points to 44.30% and front-end ATM IV averaged 46.50%, down 1.89 volatility points, placing the convexity decline within a broader reduction in near-term implied volatility.
ETHSpot-index 24h Unavailable1W ATM IV 44.30%1W RR25 -1.80 vol pts1W BF25 +2.72 vol pts1W IV − 7D RV Unavailable
Lead comparison: Unavailable.
Ether implied volatility fell across short tenors as two-week convexity posted the notable surface adjustment.
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 -2.24 volatility points, to 44.30%.
RV observation windows
The intraday RV comparison is unavailable. Recorded reason: Canonical ETH index coverage for 7d is incomplete: expected 10080 one-minute returns, found 9824 (97.4603% coverage); returns spanning missing minutes are excluded No coverage policy was recorded; its thresholds cannot be established from another report.
Derived directly from structured Derivasys surface data
03 · Catalyst check
23 Sept 2026, 16:30 UTC to 24 Sept 2026, 16:30 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 -1.89 volatility points to 46.50% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 54.22% (-0.43 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -0.31 volatility points to -0.33 volatility points across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.27 volatility points to 2.87 volatility points across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -2.24 volatility points at 1W, to 44.30%.
Universe roll: added 16OCT26, 24SEP27, 28SEP26; removed 24SEP26. Comparisons use common expiries only.
RR25 moved towards puts, averaging -0.31 volatility points to -0.33 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.
BF25 decreased, averaging -0.27 volatility points to 2.87 volatility points across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.
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
ATM IV change
26SEP26, -2.44 vol pts0.6d
Smile rotation
25SEP26, +2.30 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
25SEP26Expiry effect
0.6 days
2,694.91
+30.34 USD
44.10%
-0.08 vol pts
+0.94 vol pts
-0.46 vol pts
26SEP26Expiry effect
1.6 days
2,696.67
+31.81 USD
43.87%
-2.44 vol pts
+0.56 vol pts
0.00 vol pts
27SEP26
2.6 days
2,696.92
+31.81 USD
39.44%
-3.60 vol pts
+0.37 vol pts
+0.13 vol pts
2OCT26
7.6 days
2,697.46
+31.09 USD
44.82%
-2.41 vol pts
-1.09 vol pts
-0.45 vol pts
9OCT26
14.6 days
2,699.27
+30.92 USD
46.49%
-2.14 vol pts
-0.53 vol pts
-0.43 vol pts
30OCT26
35.6 days
2,705.4
+30.78 USD
49.30%
-1.19 vol pts
+0.09 vol pts
-0.01 vol pts
27NOV26
63.6 days
2,714.34
+30.32 USD
51.87%
-0.46 vol pts
+0.12 vol pts
-0.08 vol pts
25DEC26
91.6 days
2,723.68
+30.10 USD
52.44%
-0.65 vol pts
-0.24 vol pts
-0.20 vol pts
26MAR27
182.6 days
2,753.91
+29.32 USD
54.23%
-0.43 vol pts
-0.05 vol pts
-0.39 vol pts
25JUN27
273.6 days
2,787.61
+31.17 USD
55.00%
-0.33 vol pts
+0.12 vol pts
-0.26 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.
25SEP26rotation towards calls · wing steepening26SEP26rotation towards calls · wing steepening27SEP26rotation towards calls · wing steepening2OCT26rotation towards puts · wing steepening9OCT26parallel shift lower · rotation towards puts30OCT26parallel shift lower27NOV26parallel shift lower25DEC26parallel shift lower26MAR27parallel shift lower25JUN27parallel 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
25SEP26
26SEP26
27SEP26
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 mixed at 0.32.
Implied-volatility premium
ETH 30-day ATM IV was 49.71%, against VIX at 15.18: a 34.53-point spread and 3.27× ratio.
Daily-close realised-volatility regime
ETH 20-calendar-day realised volatility was 49.61%, versus SPX 20-session realised volatility of 10.99%. The spread ranked at percentile rank 33.9% 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 0.316 over 30 aligned sessions and 0.284 over 60 sessions. VIX9D, VIX and VIX3M closed at 13.45, 15.18 and 18.11.
As of 23 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Original report summary
Ether options repriced lower across the front end, with two-week BF25 falling 0.45 volatility points to 2.70 volatility points. Derivasys data show one-week ATM IV fell 2.24 volatility points to 44.30% and front-end ATM IV averaged 46.50%, down 1.89 volatility points, placing the convexity decline within a broader reduction in near-term implied volatility.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 44.30% · Δ -2.24 vol pts
Skew: ETH 1W RR25 -1.80 vol pts · Δ -0.84 vol pts
Wings: ETH 1W BF25 2.72 vol pts · Δ -0.34 vol pts
Vol
ETH 1W ATM IV 44.30% · Δ -2.24 vol ptspercentile rank 33.3% by absolute move · 30-day window (n=30)
Skew
ETH 1W RR25 -1.80 vol pts · Δ -0.84 vol ptspercentile rank 36.7% by absolute move · 30-day window (n=30)
Wings
ETH 1W BF25 2.72 vol pts · Δ -0.34 vol ptspercentile rank 66.7% by absolute move · 30-day window (n=30)
IV versus RV
ETH Unavailable
Unavailable readings: 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 33.3% by absolute move · 30-day window (n=30)
ETH 1W RR25: percentile rank 36.7% by absolute move · 30-day window (n=30)
ETH 1W BF25: percentile rank 66.7% by absolute move · 30-day window (n=30)
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 27SEP26.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
25SEP26
+0.00770
-0.02040
+0.00650
-0.00270
+0.03790
rotation towards calls, wing steepening
26SEP26
+0.02970
-0.01950
+0.00010
+0.00210
-0.11120
rotation towards calls, wing steepening
27SEP26
+0.04990
-0.02410
+0.01170
+0.01890
-0.19960
rotation towards calls, wing steepening
2OCT26
+0.00440
-0.01070
-0.04930
-0.02780
+0.01340
rotation towards puts, wing steepening
9OCT26
+0.00310
-0.00950
-0.05450
-0.03690
+0.01700
parallel shift lower, rotation towards puts
30OCT26
+0.01370
-0.00240
-0.08290
-0.06110
-0.06040
parallel shift lower
27NOV26
+0.01210
-0.00530
-0.07070
-0.05120
-0.04230
parallel shift lower
25DEC26
+0.00590
-0.00430
-0.08100
-0.05460
-0.01670
parallel shift lower
26MAR27
+0.00890
-0.01160
-0.04900
-0.04470
-0.00670
parallel shift lower
25JUN27
+0.01710
+0.00120
-0.07500
-0.06560
-0.06030
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.
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.
Full RV evidence and methodology
ETH · Surface cutoff 24 Sept 2026, 16:30:00 UTC. RV suppressed — valid 7D coverage was not recorded. Canonical ETH index coverage for 7d is incomplete: expected 10080 one-minute returns, found 9824 (97.4603% coverage); returns spanning missing minutes are excluded Full 7D coverage policy was not recorded.
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.
