Ether's 1W RR25 declined 3.43 volatility points over the daily snapshot comparison, ending at -3.81 volatility points at the October 7 cutoff. The starting reading was already negative, so the move strengthened the relative put-side skew without crossing zero. Ether's 2W RR25 fell 2.10 volatility points over the same comparison. Ether's 1M RR25 fell 1.36 volatility points. RR25 measures call implied volatility minus put implied volatility; its decline alone does not establish an absolute rise in put volatility.
Macro
No qualifying macro event was retained for this report window.
Crypto
Cointelegraph reported that Ether ETFs extended a streak of consecutive outflow sessions. That provisional single-source reporting describes institutional flows across multiple sessions, rather than this report's daily observation window. It provides relevant Ether context, but the evidence does not establish that ETF withdrawals drove the measured options changes.
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 +1.38 volatility points, to 40.13%.
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
06 Oct 2026, 16:30 UTC to 07 Oct 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 40.13%, 4.64 volatility points above seven-day realised volatility of 35.49%; 24-hour realised volatility was 42.47% and 30-day realised volatility was 45.77%.
Front end
Front-end ATM IV increased, averaging +0.73 volatility points to 42.60% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 52.14% (-0.20 volatility points); 1Y was unavailable.
Skew
RR25 moved towards puts, averaging -1.49 volatility points to -1.96 volatility points across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.15 volatility points to 2.65 volatility points across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was +1.38 volatility points at 1W, to 40.13%.
Universe roll: added 11OCT26; removed 7OCT26. Comparisons use common expiries only.
RR25 moved towards puts, averaging -1.49 volatility points to -1.96 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 -0.15 volatility points to 2.65 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.
0.6d
Smile rotation
8OCT26, -35.78 vol pts1.6d
Smile rotation
9OCT26, -31.00 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
8OCT26Expiry effect
0.6 days
2,570.07
-131.60 USD
36.20%
+6.83 vol pts
-6.02 vol pts
+0.54 vol pts
9OCT26Expiry effect
1.6 days
2,570.36
-131.43 USD
39.56%
+5.63 vol pts
-6.97 vol pts
+0.35 vol pts
10OCT26
2.6 days
2,570.45
-131.76 USD
38.51%
+3.42 vol pts
-6.77 vol pts
+0.19 vol pts
16OCT26
8.6 days
2,571.65
-132.02 USD
41.01%
+1.24 vol pts
-2.99 vol pts
-0.17 vol pts
23OCT26
15.6 days
2,573.17
-132.12 USD
42.16%
+0.67 vol pts
-1.96 vol pts
-0.60 vol pts
30OCT26
22.6 days
2,574.88
-132.19 USD
43.98%
-0.36 vol pts
-1.68 vol pts
+0.04 vol pts
27NOV26
50.6 days
2,582.55
-133.35 USD
47.76%
-0.26 vol pts
-0.97 vol pts
+0.25 vol pts
25DEC26
78.6 days
2,592.51
-133.55 USD
49.41%
+0.16 vol pts
-0.16 vol pts
-0.38 vol pts
26MAR27
169.6 days
2,621.45
-135.69 USD
51.91%
-0.20 vol pts
-0.38 vol pts
-0.06 vol pts
25JUN27
260.6 days
2,653.36
-136.15 USD
53.08%
-0.28 vol pts
-0.28 vol pts
+0.12 vol pts
24SEP27
351.6 days
2,684.03
-137.53 USD
54.05%
-0.08 vol pts
-0.33 vol pts
+0.15 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.
8OCT26rotation towards puts · wing steepening9OCT26rotation towards puts · wing steepening10OCT26rotation towards puts · wing steepening16OCT26rotation towards puts23OCT26rotation towards puts · wing flattening30OCT26rotation towards puts27NOV26rotation towards puts25DEC26limited movement26MAR27parallel shift lower25JUN27parallel shift lower24SEP27limited movement
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
8OCT26
9OCT26
10OCT26
16OCT26
23OCT26
30OCT26
27NOV26
25DEC26
26MAR27
25JUN27
24SEP27
-0.30kATM+0.30k
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 0.57.
Implied-volatility premium
ETH 30-day ATM IV was 45.69%, against VIX at 15.01: a 30.68-point spread and 3.04× ratio.
Daily-close realised-volatility regime
ETH 20-calendar-day realised volatility was 40.77%, versus SPX 20-session realised volatility of 10.39%. The spread ranked at percentile rank 17.9% of 246 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 0.568 over 30 aligned sessions and 0.263 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.03, 15.01 and 17.64.
As of 06 Oct 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.
Lead signal · 7 Oct 2026, 16:30 UTC
The measurement behind the lead chart
ETH 1W RR25 -3.81 vol pts · Δ -3.43 vol pts
ETH percentile rank 96.7% by absolute move · 30-day window (n=30)
Original report summary
Ether's 1W RR25 fell 3.43 volatility points to -3.81 volatility points between the October 6 and October 7 snapshots at 16:30 UTC, according to Derivasys. The decline deepened an already negative call-minus-put volatility gap. Short-tenor implied volatility also increased, while reporting of continued Ether ETF outflows supplies institutional context without establishing a cause for the skew adjustment.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 40.13% · Δ +1.38 vol pts
Skew: ETH 1W RR25 -3.81 vol pts · Δ -3.43 vol pts
Relative value: ETH 1W IV 40.13% / 7D RV 35.49% · spread +4.64 vol pts
Vol
ETH 1W ATM IV 40.13% · Δ +1.38 vol ptspercentile rank 24.0% by absolute move · full history (n=50)
Skew
ETH 1W RR25 -3.81 vol pts · Δ -3.43 vol ptspercentile rank 96.7% by absolute move · 30-day window (n=30)
Wings
ETH 1W BF25 2.43 vol pts · Δ -0.11 vol ptspercentile rank 20.0% by absolute move · 30-day window (n=30)
IV versus RV
ETH 1W IV 40.13% / 7D RV 35.49% · spread +4.64 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 24.0% by absolute move · full history (n=50)
ETH 1W RR25: percentile rank 96.7% by absolute move · 30-day window (n=30)
ETH 1W BF25: percentile rank 20.0% 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 10OCT26; the largest sigma change occurred at 24SEP27.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
8OCT26
+0.07430
-0.09240
-0.24000
-0.03910
-0.35920
rotation towards puts, wing steepening
9OCT26
+0.03970
-0.04110
-0.28040
-0.09780
-0.13320
rotation towards puts, wing steepening
10OCT26
+0.03500
-0.03410
-0.29040
-0.10620
-0.11150
rotation towards puts, wing steepening
16OCT26
-0.00570
-0.00740
+0.14800
+0.12070
+0.05260
rotation towards puts
23OCT26
-0.02560
-0.00490
+0.16830
+0.13450
+0.15460
rotation towards puts, wing flattening
30OCT26
+0.00730
-0.00470
+0.16100
+0.15290
-0.03170
rotation towards puts
27NOV26
-0.02570
+0.02240
+0.02860
+0.03460
+0.03330
rotation towards puts
25DEC26
-0.07560
+0.03360
-0.01170
-0.04920
+0.23400
limited movement
26MAR27
-0.04540
+0.01400
+0.05920
+0.03620
+0.12260
parallel shift lower
25JUN27
-0.02390
-0.00750
+0.07720
+0.08420
+0.06570
parallel shift lower
24SEP27
-0.05840
-0.10420
+0.28300
+0.34510
+0.28500
limited 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.
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 · Available · Surface cutoff 07 Oct 2026, 16:30:00 UTC · 7D coverage 100% / 99.5% required · largest 7D gap 0 min / 60 min maximum · maximum gap 60 min.
24h: complete; 1440/1440 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
7d: complete; 10080/10080 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
30d: complete; 43200/43200 observed returns; 100% coverage; 99.5% minimum; 0 min largest gap.
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.
