Daily ETH options market report · 24-hour comparison

Ether options turn put-rich as one-week skew reverses

ETH 1W RR25 fell 2.63 vol points to -2.30 vol points over the daily comparison.

Snapshot · 30 Sept 2026, 16:30 UTC

  • ETHSpot-index 24h +0.29%1W ATM IV 42.90%1W RR25 -2.30 vol pts1W BF25 +2.52 vol pts1W IV − 7D RV +1.22 vol pts

Notable move: ETH 1W RR25 Δ -2.63 vol pts → -2.30 vol pts · percentile rank 86.7% by absolute move · 30-day window (n=30).

Ether options turn put-rich as one-week skew reverses. RR25 term structure from Derivasys data.
Source: Derivasys options data. RR25; unsupported tenors remain blank. Cite this report.
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01 · Daily briefing

Macro · Crypto · Options

The day in markets.

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 -3.19 volatility points, to 42.90%.

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

29 Sept 2026, 16:30 UTC to 30 Sept 2026, 16:30 UTC

Relevant context found; no confirmed catalyst

Relevant market event

1 relevant event was 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 16:30 UTC cutoff, 1W ATM IV was 42.90%, 1.22 volatility points above seven-day realised volatility of 41.68%; 24-hour realised volatility was 44.55% and 30-day realised volatility was 47.50%.

Front end

Front-end ATM IV decreased, averaging -1.49 volatility points to 45.49% across 1W, 2W and 1M.

Long end

Six-month ATM IV was broadly unchanged at 53.47% (-0.15 volatility points); 1Y was unavailable.

Skew

RR25 moved towards puts, averaging -1.41 volatility points to -1.13 volatility points across the five available headline tenors.

Convexity

BF25 decreased, averaging -0.17 volatility points to 2.75 volatility points across the five available headline tenors.

Largest standard-tenor move

The largest standard-tenor ATM IV move was -3.19 volatility points at 1W, to 42.90%.

Universe roll: added 4OCT26; removed 30SEP26. Comparisons use common expiries only.

05 · Standard-tenor ranking

Largest surface events

01

Largest eligible smile rotation

9OCT26, -6.74 vol pts
02

Largest standard-tenor ATM IV move

1W, -3.19 vol pts
03

Largest standard-tenor RR25 move

1W, -2.63 vol pts
04

Largest standard-tenor BF25 move

1W, -0.47 vol pts
05

Largest eligible SVI rho move

24SEP27, -0.0844 param
06

Largest eligible SVI sigma move

25JUN27, +0.0656 param

06 · ATM volatility

Standard-tenor ATM implied volatility.

TenorCurrent (vol %)Comparison snapshot (vol %)Change (vol pts)Relative change
1W42.9046.09-3.19 vol pts-6.92%
2W45.2846.70-1.42 vol pts-3.04%
1M48.2848.13+0.15 vol pts+0.31%
3M51.7151.91-0.20 vol pts-0.39%
6M53.4753.62-0.15 vol pts-0.28%
9M54.4154.37+0.04 vol pts+0.07%
1YUnavailableUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

07 · Risk reversals

RR25 skew moved most at 1W.

RR25 moved towards puts, averaging -1.41 volatility points to -1.13 volatility points across the five available headline tenors. Negative RR25 denotes a richer 25-delta put wing under the call-minus-put convention.

-2.7 vol pts-1.6 vol pts-0.6 vol pts0.5 vol pts1.6 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W-2.300.33-2.63 vol pts
2W-1.560.50-2.06 vol pts
1M-1.07-0.05-1.02 vol pts
3M-0.69-0.09-0.60 vol pts
6M-0.020.70-0.72 vol pts
9M0.761.19-0.43 vol pts
1YUnavailableUnavailableUnavailable

Source: Derivasys Research — structured data

08 · Butterflies

BF25 convexity changed most at 1W.

BF25 decreased, averaging -0.17 volatility points to 2.75 volatility points across the five available headline tenors. BF25 measures the average 25-delta wing premium over ATM IV.

2.3 vol pts2.6 vol pts2.8 vol pts3.1 vol pts3.4 vol pts1W2W1M3M6M9M
TenorCurrent (vol pts)Comparison snapshot (vol pts)Change (vol pts)
1W2.522.99-0.47 vol pts
2W2.522.90-0.38 vol pts
1M2.532.49+0.04 vol pts
3M3.113.05+0.06 vol pts
6M3.083.20-0.12 vol pts
9M2.863.07-0.21 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.

0.6d

ATM IV change

1OCT26, -12.92 vol pts
1.6d

ATM IV change

2OCT26, -6.51 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.

41.5%45.1%48.7%52.2%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
1OCT26Expiry effect0.6 days2,686.91+4.94 USD30.79%-12.92 vol pts+1.51 vol pts-1.17 vol pts
2OCT26Expiry effect1.6 days2,686.42+4.06 USD38.45%-6.51 vol pts+0.17 vol pts-0.79 vol pts
3OCT262.6 days2,687.15+4.62 USD42.13%-4.52 vol pts-0.96 vol pts-0.46 vol pts
9OCT268.6 days2,687.92+3.81 USD43.57%-2.35 vol pts-2.90 vol pts-0.46 vol pts
16OCT2615.6 days2,689.36+3.90 USD45.56%-1.41 vol pts-1.92 vol pts-0.34 vol pts
30OCT2629.6 days2,692.87+3.74 USD48.22%+0.06 vol pts-1.01 vol pts+0.05 vol pts
27NOV2657.6 days2,702.86+4.32 USD50.59%-0.42 vol pts-0.97 vol pts-0.07 vol pts
25DEC2685.6 days2,712.98+3.61 USD51.49%-0.25 vol pts-0.60 vol pts+0.08 vol pts
26MAR27176.6 days2,743.36+4.72 USD53.39%-0.18 vol pts-0.75 vol pts-0.11 vol pts
25JUN27267.6 days2,775.77+4.61 USD54.36%+0.04 vol pts-0.44 vol pts-0.22 vol pts
24SEP27358.6 days2,806.62+5.61 USD55.03%-0.10 vol pts-0.39 vol pts-0.11 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.

1OCT26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
2OCT26rotation towards calls · wing steepening
-0.30k0.00k+0.30k
3OCT26rotation 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
30OCT26rotation towards puts
-0.30k0.00k+0.30k
27NOV26rotation towards puts
-0.30k0.00k+0.30k
25DEC26rotation towards puts
-0.30k0.00k+0.30k
26MAR27limited movement
-0.30k0.00k+0.30k
25JUN27parallel shift higher
-0.30k0.00k+0.30k
24SEP27limited movement
-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 3.0 times VIX, while its 30-session return correlation with SPX was mixed at 0.33.

Implied-volatility premium

ETH 30-day ATM IV was 47.67%, against VIX at 16.04: a 31.63-point spread and 2.97× ratio.

Daily-close realised-volatility regime

ETH 20-calendar-day realised volatility was 48.35%, versus SPX 20-session realised volatility of 11.06%. The spread ranked at percentile rank 32.8% of 241 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 0.332 over 30 aligned sessions and 0.296 over 60 sessions. VIX9D, VIX and VIX3M closed at 14.21, 16.04 and 18.09.

As of 29 Sept 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.

Evidence and methodology

market-context-v1

Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-09-29 16:30:00 UTC → 2026-09-30 16:30:00 UTC

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

Lead signal · 30 Sept 2026, 16:30 UTC

The measurement behind the lead chart

ETH 1W RR25 -2.30 vol pts · Δ -2.63 vol pts

ETH percentile rank 86.7% by absolute move · 30-day window (n=30)

Original report summary

Ether one-week call-minus-put RR25 fell 2.63 volatility points to -2.30 volatility points over the daily observation window ending September 30, reversing from a call-rich reading, according to Derivasys data. The relative shift toward puts accompanied a decline in volatility implied by options near the underlying price: Ether one-week ATM IV fell 3.19 volatility points to 42.90%. The combination establishes a skew reversal alongside lower central implied volatility, without establishing an absolute increase in put volatility.

At report cutoff · Levels and stored endpoint changes

What matters now

Vol: ETH 1W ATM IV 42.90% · Δ -3.19 vol pts

Skew: ETH 1W RR25 -2.30 vol pts · Δ -2.63 vol pts

Relative value: ETH 1W IV 42.90% / 7D RV 41.68% · spread +1.22 vol pts

Vol

ETH 1W ATM IV 42.90% · Δ -3.19 vol ptspercentile rank 60.5% by absolute move · full history (n=43)

Skew

ETH 1W RR25 -2.30 vol pts · Δ -2.63 vol ptspercentile rank 86.7% by absolute move · 30-day window (n=30)

Wings

ETH 1W BF25 2.52 vol pts · Δ -0.47 vol ptspercentile rank 80.0% by absolute move · 30-day window (n=30)

IV versus RV

ETH 1W IV 42.90% / 7D RV 41.68% · spread +1.22 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 60.5% by absolute move · full history (n=43)

ETH 1W RR25: percentile rank 86.7% by absolute move · 30-day window (n=30)

ETH 1W BF25: percentile rank 80.0% 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 24SEP27; the largest sigma change occurred at 25JUN27.

ExpiryΔ aΔ bΔ rhoΔ mΔ sigmaSmile classification
1OCT26-0.00360-0.02630+0.07840+0.06380+0.17420rotation towards calls, wing steepening
2OCT26-0.00340-0.01290+0.00700+0.00330+0.07460rotation towards calls, wing steepening
3OCT26+0.01230-0.015900.00000+0.00520-0.01570rotation towards puts, wing steepening
9OCT26-0.00130-0.01200+0.00990+0.02510+0.04450rotation towards puts
16OCT26+0.00230-0.01200+0.00960+0.02640+0.02770rotation towards puts
30OCT26+0.01970-0.01180+0.00820+0.03350-0.06060rotation towards puts
27NOV26+0.00120-0.00190-0.03130-0.00220-0.00230rotation towards puts
25DEC26+0.00860-0.00250-0.02970-0.00080-0.04020rotation towards puts
26MAR27+0.02130-0.03110+0.06070+0.09070-0.01700limited movement
25JUN27-0.02900+0.02680-0.07630-0.09370+0.06560parallel shift higher
24SEP27-0.00680+0.02310-0.08440-0.08170-0.00970limited movement

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, 10.693667 USD / vol pt
Highest Gamma1OCT26, 0.011464 1 / USD
Highest Theta Decay1OCT26, -10.747869 USD / day
Highest Vanna24SEP27, 0.001905 delta / vol pt
Highest Volga24SEP27, -0.014456 USD / vol pt²

7D realised volatility · data quality

AssetRecorded RVStatusCoverage / requiredLongest gap / maximum
ETH41.68%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 30 Sept 2026, 16:30:00 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": "2026-09-30T16:30:00+00:00",
  "spotWindowStart": "2026-09-29T16:30:00+00:00",
  "spotMetric": "spot-index return",
  "spotUnit": "percent",
  "spotMove24hPercent": 0.29,
  "rv24hPercent": 44.55,
  "rv7dPercent": 41.68,
  "rv30dPercent": 47.5,
  "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": 42.9,
  "oneWeekIvMinus7dRvPoints": 1.22,
  "oneWeekIvMinus24hRvPoints": -1.65,
  "oneWeekIvMinus30dRvPoints": -4.6
}

Source data JSON

13 · Methodology and provenance

Generated from measured Derivasys surface data.

Current snapshot
30 Sept 2026, 16:30 UTC
Comparison snapshot
29 Sept 2026, 16:30 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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