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Daily ETH options market report · 24-hour comparison

Ether options turn toward puts as one-week skew falls

ETH 1W RR25 fell 1.96 vol points to -2.02 vol points over the daily comparison.

By Sean Gordon — Derivasys Research

Published · Snapshot

Snapshot · 28 Sept 2026, 13:13 UTC

  • ETHSpot-index 24h -0.65%1W ATM IV 45.09%1W RR25 -2.02 vol pts1W BF25 +2.56 vol pts1W IV − 7D RV +1.48 vol pts

Notable move: ETH 1W RR25 Δ -1.96 vol pts → -2.02 vol pts · percentile rank 76.7% by absolute move · 30-day window (n=30).

Ether options turn toward puts as one-week skew falls. RR25 term structure from Derivasys data.
Source: Derivasys options data. RR25; unsupported tenors remain blank. Cite this report.
Chart download and reuse termsDownload 1280 × 720 chart · Reuse terms

01 · Daily briefing

Macro · Crypto · Options

The day in markets.

Bridge and exchange reports add context

The Defiant described a fake bridge incident, and Cointelegraph reported the scheduled return of Ether withdrawals at Bitget.

Macro

No qualifying macro event was retained for this report window.

Crypto

The Defiant reported that DYORSWAP mistook a fake GIWA network for an Upbit-backed project and promised reimbursement for eligible wallets. Cointelegraph reported that Bitget scheduled Ether withdrawals to return as services were restored after a hack. These security reports are context for Ether options, with no measured link to the skew shift.

Links identify the underlying reporting for retained events; entries without a retained link are marked.

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 +1.42 volatility points, to 45.09%.

RV observation windows

The 24-hour, seven-day and 30-day RV windows are assessed independently using observed one-minute index returns, annualised on a 365-day basis. Recorded minimums: at least 99.5% coverage over 24 hours, 99.5% coverage over seven days, 99.5% coverage over 30 days, with no gap longer than 60 minutes. Returns spanning gaps are excluded, not interpolated; unavailable windows remain unreported. The exact 24-hour spot return requires prices at both endpoints.

Derived directly from structured Derivasys surface data

03 · Catalyst check

27 Sept 2026, 13:13 UTC to 28 Sept 2026, 13:13 UTC

Relevant context found; no confirmed catalyst

Relevant market events

2 relevant events were retained for the comparison window.

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 13:13 UTC cutoff, 1W ATM IV was 45.09%, 1.48 volatility points above seven-day realised volatility of 43.61%; 24-hour realised volatility was 39.86% and 30-day realised volatility was 47.17%.

Front end

Front-end ATM IV increased, averaging +0.99 volatility points to 46.36% across 1W, 2W and 1M.

Long end

Six-month ATM IV was broadly unchanged at 53.66% (-0.06 volatility points); 1Y was unavailable.

Skew

RR25 moved towards puts, averaging -0.70 volatility points to -0.74 volatility points across the five available headline tenors.

Convexity

BF25 was broadly unchanged, averaging -0.05 volatility points to 2.72 volatility points across the five available headline tenors.

Largest standard-tenor move

The largest standard-tenor ATM IV move was +1.42 volatility points at 1W, to 45.09%.

Universe roll: no additions; removed 28SEP26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

2OCT26, -9.58 vol pts
02

Largest standard-tenor RR25 move

1W, -1.96 vol pts
03

Largest standard-tenor ATM IV move

1W, +1.42 vol pts
04

Largest standard-tenor BF25 move

1W, -0.24 vol pts
05

Largest eligible SVI sigma move

25DEC26, -0.2142 param
06

Largest eligible SVI rho move

2OCT26, -0.0757 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W45.0943.67+1.42 vol pts+3.25%
2W45.9844.95+1.03 vol pts+2.29%
1M48.0047.49+0.51 vol pts+1.07%
3M51.9651.78+0.18 vol pts+0.35%
6M53.6653.72-0.06 vol pts-0.11%
9M54.5254.54-0.02 vol pts-0.04%
1YUnavailableUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 1W.

RR25 moved towards puts, averaging -0.70 volatility points to -0.74 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

-2.4 vol pts-1.4 vol pts-0.4 vol pts0.6 vol pts1.6 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W-2.02-0.06-1.96 vol pts
2W-1.18-0.20-0.98 vol pts
1M-0.45-0.31-0.14 vol pts
3M-0.49-0.05-0.44 vol pts
6M0.420.39+0.03 vol pts
9M1.121.25-0.13 vol pts
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 1W.

BF25 was broadly unchanged, averaging -0.05 volatility points to 2.72 volatility points across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

2.3 vol pts2.5 vol pts2.8 vol pts3.0 vol pts3.2 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W2.562.80-0.24 vol pts
2W2.582.66-0.08 vol pts
1M2.512.47+0.04 vol pts
3M2.972.87+0.10 vol pts
6M2.963.01-0.05 vol pts
9M2.903.03-0.13 vol pts
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

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.

0.8d

Smile rotation

29SEP26, -7.05 vol pts
1.8d

Smile rotation

30SEP26, -6.53 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.

42.4%45.7%49.1%52.5%55.8%1W2W1M3M6M9M

Suppressed outside the observable listed-expiry range: 1Y.

ExpiryTime leftForward now (USD)Forward change (USD)ATM IV nowATM IV changeRR25 changeBF25 change
29SEP26Expiry effect0.8 days2,682.4-17.40 USD41.05%+0.07 vol pts-1.68 vol pts-0.02 vol pts
30SEP26Expiry effect1.8 days2,681.47-18.61 USD42.35%+0.63 vol pts-1.73 vol pts+0.09 vol pts
1OCT262.8 days2,681.72-19.21 USD43.54%+2.70 vol pts-0.65 vol pts-0.33 vol pts
2OCT263.8 days2,681.96-18.51 USD43.99%+1.08 vol pts-3.11 vol pts-0.15 vol pts
9OCT2610.8 days2,683.53-18.49 USD45.53%+1.20 vol pts-1.23 vol pts-0.19 vol pts
16OCT2617.8 days2,685.05-18.64 USD46.30%+0.53 vol pts-1.04 vol pts-0.02 vol pts
30OCT2631.8 days2,688.84-18.59 USD48.14%+0.41 vol pts-0.04 vol pts+0.04 vol pts
27NOV2659.8 days2,698.2-18.14 USD50.92%+0.32 vol pts-0.20 vol pts-0.04 vol pts
25DEC2687.8 days2,708.04-17.57 USD51.83%+0.15 vol pts-0.49 vol pts+0.11 vol pts
26MAR27178.8 days2,738.33-17.01 USD53.61%-0.08 vol pts+0.03 vol pts-0.03 vol pts
25JUN27269.8 days2,769.59-17.46 USD54.48%-0.03 vol pts-0.14 vol pts-0.12 vol pts
24SEP27360.8 days2,800.78-17.11 USD55.35%-0.12 vol pts-0.07 vol pts-0.09 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.

29SEP26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
30SEP26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
1OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
2OCT26rotation towards puts · wing steepening
-0.30k0.00k+0.30k
9OCT26rotation towards puts
-0.30k0.00k+0.30k
16OCT26rotation towards puts
-0.30k0.00k+0.30k
30OCT26parallel shift higher
-0.30k0.00k+0.30k
27NOV26parallel shift higher
-0.30k0.00k+0.30k
25DEC26parallel shift higher
-0.30k0.00k+0.30k
26MAR27parallel shift lower
-0.30k0.00k+0.30k
25JUN27parallel shift lower
-0.30k0.00k+0.30k
24SEP27parallel shift lower
-0.30k0.00k+0.30k

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.

Completed-session cross-asset context

Crypto volatility against US equity risk.

ETH 30-day implied volatility was 3.1 times VIX, while its 30-session return correlation with SPX was mixed at 0.31.

Implied-volatility premium

ETH 30-day ATM IV was 46.77%, against VIX at 14.87: a 31.90-point spread and 3.15× ratio.

Daily-close realised-volatility regime

ETH 20-calendar-day realised volatility was 48.43%, versus SPX 20-session realised volatility of 10.79%. The spread ranked at percentile rank 33.9% of 239 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 0.315 over 30 aligned sessions and 0.301 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.76, 14.87 and 17.93.

As of 25 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.

Evidence and methodology

Derivasys market-context-v1; crypto 20-calendar-day realised volatility uses sqrt(365), SPX 20-session realised volatility uses sqrt(252). Values and percentiles are persisted observations, not current 2026-09-28 intraday readings.

Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-27 13:13:00 UTC → 2026-09-28 13:13:00 UTC

Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.

Lead signal · 28 Sept 2026, 13:13 UTC

The measurement behind the lead chart

ETH 1W RR25 -2.02 vol pts · Δ -1.96 vol pts

ETH percentile rank 76.7% by absolute move · 30-day window (n=30)

Original report summary

Derivasys data show Ether one-week RR25, the difference between call-side and put-side implied volatility, fell 1.96 volatility points to −2.02% over the daily observation window. That shift made the relative put side richer; it does not establish an absolute rise in put implied volatility. Ether one-week at-the-money implied volatility rose by 1.42 volatility points to 45.09%. The skew move was notable against comparable history, while the at-the-money move was routine.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: ETH 1W ATM IV 45.09% · Δ +1.42 vol pts

Skew: ETH 1W RR25 -2.02 vol pts · Δ -1.96 vol pts

Relative value: ETH 1W IV 45.09% / 7D RV 43.61% · spread +1.48 vol pts

Vol

ETH 1W ATM IV 45.09% · Δ +1.42 vol ptspercentile rank 22.0% by absolute move · full history (n=41)

Skew

ETH 1W RR25 -2.02 vol pts · Δ -1.96 vol ptspercentile rank 76.7% by absolute move · 30-day window (n=30)

Wings

ETH 1W BF25 2.56 vol pts · Δ -0.24 vol ptspercentile rank 46.7% by absolute move · 30-day window (n=30)

IV versus RV

ETH 1W IV 45.09% / 7D RV 43.61% · spread +1.48 vol pts

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 22.0% by absolute move · full history (n=41)

ETH 1W RR25: percentile rank 76.7% by absolute move · 30-day window (n=30)

ETH 1W BF25: percentile rank 46.7% 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 2OCT26; the largest sigma change occurred at 25DEC26.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
29SEP26-0.01680+0.01400-0.05870-0.02940+0.05500rotation towards puts, wing steepening
30SEP26-0.01070+0.00960-0.04960-0.02450+0.02950rotation towards puts, wing steepening
1OCT26-0.01810+0.00050-0.00600-0.00570+0.11170rotation towards puts, wing steepening
2OCT26+0.00310-0.00820-0.07570-0.03120+0.01180rotation towards puts, wing steepening
9OCT26+0.00770-0.01290-0.05040-0.02660+0.01300rotation towards puts
16OCT26+0.01900-0.01330-0.05020-0.01840-0.04880rotation towards puts
30OCT26+0.03720-0.02050-0.01830+0.00060-0.11030parallel shift higher
27NOV26+0.03820-0.02600-0.03140-0.00630-0.09910parallel shift higher
25DEC26+0.08160-0.05130+0.04600+0.09320-0.21420parallel shift higher
26MAR27+0.07720-0.04050-0.03130+0.02940-0.17270parallel shift lower
25JUN27+0.06350-0.02640-0.06120-0.00820-0.14600parallel shift lower
24SEP27+0.02010-0.00100-0.05720-0.05780-0.05270parallel 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.

Highest Vega24SEP27, 10.696119 USD / vol pt
Highest Gamma29SEP26, 0.007823 1 / USD
Highest Theta Decay29SEP26, -12.994126 USD / day
Highest Vanna24SEP27, 0.001909 delta / vol pt
Highest Volga24SEP27, -0.01463 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
ETH43.61%Available100% / 99.5% required0 min / 60 min maximum

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 28 Sept 2026, 13:13:00 UTC.

{
  "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)",
  "fallbackObservations": 88,
  "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.",
  "samplingInterval": "1 minute",
  "annualizationBasis": "365 days",
  "windowEnd": "2026-09-28T13:13:00+00:00",
  "spotWindowStart": "2026-09-27T13:13:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": -0.65,
  "rv24hPercent": 39.86,
  "rv7dPercent": 43.61,
  "rv30dPercent": 47.17,
  "observations": {
    "24h": 1440,
    "7d": 10080,
    "30d": 43200
  },
  "coverage": {
    "24h": {
      "status": "complete",
      "observedReturns": 1440,
      "expectedReturns": 1440,
      "coveragePercent": 100,
      "missingPriceMinutes": 0,
      "missingIntervals": 0,
      "largestMissingRunMinutes": 0,
      "unavailableReason": null
    },
    "7d": {
      "status": "complete",
      "observedReturns": 10080,
      "expectedReturns": 10080,
      "coveragePercent": 100,
      "missingPriceMinutes": 0,
      "missingIntervals": 0,
      "largestMissingRunMinutes": 0,
      "unavailableReason": null
    },
    "30d": {
      "status": "complete",
      "observedReturns": 43200,
      "expectedReturns": 43200,
      "coveragePercent": 100,
      "missingPriceMinutes": 0,
      "missingIntervals": 0,
      "largestMissingRunMinutes": 0,
      "unavailableReason": null
    }
  },
  "coveragePolicy": {
    "version": "observed-minute-returns-v1",
    "minimumCoveragePercent": 99.5,
    "minimumCoveragePercentByWindow": {
      "24h": 99.5,
      "7d": 99.5,
      "30d": 99.5
    },
    "maximumMissingRunMinutes": 60,
    "methodology": "Each RV window qualifies independently. RV annualises the mean squared observed one-minute log return; returns spanning gaps are excluded, not interpolated or zero-filled. Partial estimates assume observed minutes are representative and may miss volatility during gaps."
  },
  "spotUnavailableReason": null,
  "oneWeekAtmIvPercent": 45.09,
  "oneWeekIvMinus7dRvPoints": 1.48,
  "oneWeekIvMinus24hRvPoints": 5.23,
  "oneWeekIvMinus30dRvPoints": -2.08
}

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
28 Sept 2026, 13:13 UTC
Comparison snapshot
27 Sept 2026, 13:13 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.

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