Chart reading: ETH -8.45 vol points between the stored daily endpoints.
Relative-value reading: The reading measures ATM implied volatility at the chart’s stated tenor.
Next watch: Watch whether 1W ATM IV extends or reverses this move at the next daily comparison.
01 · Daily briefing
Macro · Crypto · Options
The day in markets.
Ether options: 1W ATM IV falls 8.45 volatility points
Ether’s 1W ATM IV fell 8.45 volatility points to 39.85% over the October 8–9 comparison at 16:56 UTC; Ether’s prior-cutoff 1W ATM IV was 48.30%. The absolute daily 1W ATM IV move exceeded the 30 matching observations in the supplied prior-30-day sample. Exact historical endpoints are unavailable.
Macro
No qualifying macro event was retained for this report window.
Crypto
[Cointelegraph covered Thailand’s finalized Bitcoin and Ether ETF rules](https://cointelegraph.com/news/thailand-finalizes-rules-paving-way-for-bitcoin-ether-etfs), scheduled to take effect October 16. Separately, [Cointelegraph reported October outflows from Bitcoin and Ether ETFs](https://cointelegraph.com/markets/bitcoin-ether-etfs-october-outflows-billion). [The Defiant reported](https://thedefiant.io/news/blockchains/abstract-s-eth-withdrawals-depend-on-operators-ahead-of-dec-15-shutdown) that Abstract’s ETH withdrawals depend on operators ahead of its future December 15 shutdown. These reports provide context; no measured causal link connects these reports to the 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 -8.45 volatility points, to 39.85%.
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
08 Oct 2026, 16:56 UTC to 09 Oct 2026, 16:56 UTC
Relevant context found; no confirmed catalyst
Relevant market events
3 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 16:56 UTC cutoff, 1W ATM IV was 39.85%, 2.36 volatility points above seven-day realised volatility of 37.49%; 24-hour realised volatility was 42.22% and 30-day realised volatility was 46.32%.
Front end
Front-end ATM IV decreased, averaging -5.56 volatility points to 42.44% across 1W, 2W and 1M.
Long end
Six-month ATM IV was broadly unchanged at 52.20% (-0.44 volatility points); 1Y was unavailable.
Skew
RR25 moved towards calls, averaging +0.23 volatility points to -2.19 volatility points across the five available headline tenors.
Convexity
BF25 decreased, averaging -0.44 volatility points to 2.88 volatility points across the five available headline tenors.
Largest standard-tenor move
The largest standard-tenor ATM IV move was -8.45 volatility points at 1W, to 39.85%.
24h spot-index return
ETH spot-index return was +3.31% over 24 hours.
7d spot-index return
ETH spot-index return was -7.40% over seven days.
Universe roll: added 13OCT26; removed 9OCT26. Comparisons use common expiries only.
RR25 moved towards calls, averaging +0.23 volatility points to -2.19 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 -0.44 volatility points to 2.88 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
ATM IV change
10OCT26, -26.58 vol pts1.6d
ATM IV change
11OCT26, -21.32 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
10OCT26Expiry effect
0.6 days
2,490.54
+70.75 USD
30.49%
-26.58 vol pts
+1.08 vol pts
-2.32 vol pts
11OCT26Expiry effect
1.6 days
2,490.42
+70.36 USD
26.67%
-21.32 vol pts
-1.52 vol pts
-1.72 vol pts
12OCT26
2.6 days
2,490.6
+70.42 USD
29.42%
-16.93 vol pts
-2.09 vol pts
-1.45 vol pts
16OCT26
6.6 days
2,491.52
+70.54 USD
39.70%
-8.77 vol pts
+0.54 vol pts
-0.92 vol pts
23OCT26
13.6 days
2,493.05
+70.42 USD
41.13%
-5.74 vol pts
+0.45 vol pts
-0.71 vol pts
30OCT26
20.6 days
2,494.55
+70.41 USD
43.73%
-4.06 vol pts
-0.01 vol pts
-0.19 vol pts
27NOV26
48.6 days
2,502.28
+70.73 USD
48.06%
-1.64 vol pts
+0.09 vol pts
+0.23 vol pts
25DEC26
76.6 days
2,512.19
+70.99 USD
49.38%
-1.13 vol pts
+0.42 vol pts
-0.22 vol pts
26MAR27
167.6 days
2,540.52
+71.88 USD
51.97%
-0.48 vol pts
-0.38 vol pts
-0.40 vol pts
25JUN27
258.6 days
2,571.18
+72.25 USD
52.98%
-0.36 vol pts
-0.22 vol pts
-0.20 vol pts
24SEP27
349.6 days
2,601.32
+72.45 USD
53.80%
-0.27 vol pts
-0.21 vol pts
-0.21 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.
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
10OCT26
11OCT26
12OCT26
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 3.1 times VIX, while its 30-session return correlation with SPX was mixed at 0.58.
Implied-volatility premium
ETH 30-day ATM IV was 47.80%, against VIX at 15.41: a 32.39-point spread and 3.10× ratio.
Daily-close realised-volatility regime
ETH 20-calendar-day realised volatility was 37.69%, versus SPX 20-session realised volatility of 10.14%. The spread ranked at percentile rank 13.7% of 248 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 0.580 over 30 aligned sessions and 0.271 over 60 sessions. VIX9D, VIX and VIX3M closed at 12.21, 15.41 and 18.08.
As of 08 Oct 2026, 20:00 UTC. Implied volatility and completed-session realised volatility use their respective observation windows shown above.
Evidence and methodology
MCP market-context-v1; requested as_of=2026-10-09T16:56:00+00:00. Benchmark and crypto observation timestamps=2026-10-08T20:00:00Z; ingestedAt=2026-10-08T22:30:51.921788Z. Freshness=fresh, ageSeconds=75360, evaluatedAt=2026-10-09T16:56:00Z; qualityStatus=valid; alignmentToleranceSeconds=600. Sources: Derivasys fixed-tenor surface/canonical crypto index and yahoo_finance ^VIX/^VIX9D/^VIX3M/^GSPC. IV/RV levels and spreads use volatility_points; ratios use ratio; correlations use correlation_coefficient; percentiles use percentile_rank. Crypto IV uses ACT/365; crypto RV uses 20 calendar-day close-to-close log returns and sqrt(365); SPX RV uses 20 US-session log returns and sqrt(252). Additional returned crossAsset metrics: ivSpreadChange1d=1.5500000762939408 volatility_points; ivRatioChange1d=0.05678907198564076 ratio_change; rvSpreadChange1d=-8.133493684245803 volatility_points; rvRatioChange1d=-0.7681901215317941 ratio_change; ivSpreadPercentile=null and ivRatioPercentile=null, each sampleCount=27; returnCorrelation30Percentile=61.085972850678736, sampleCount=221; returnCorrelation60Percentile=6.211180124223603, sampleCount=161. Level/change metrics have sampleCount=null except explicitly counted correlations/percentiles. Percentiles use prior valid observations only.
Evidence, source data and methodology
Report comparison baseline → current snapshot
2026-10-08 16:56:00 UTC → 2026-10-09 16:56:00 UTC
Changes use these stored market-snapshot baselines. The comparison baseline may differ from the snapshot used in the previous published edition.
Lead signal · 9 Oct 2026, 16:56 UTC
The measurement behind the lead chart
ETH 1W ATM IV 39.85% · Δ -8.45 vol pts
ETH percentile rank 100.0% by absolute move · 30-day window (n=30)
Original report summary
Ether’s 1W ATM implied volatility fell 8.45 volatility points to 39.85% from the prior daily cutoff, marking the largest supported fixed-tenor adjustment. The October 8–9 snapshots show the contraction concentrated at shorter maturities, with a smaller 6M decline. Lower 1W butterfly convexity accompanied the move, while one-week skew remained tilted toward puts.
At report cutoff · Levels and stored endpoint changes
What matters now
Vol: ETH 1W ATM IV 39.85% · Δ -8.45 vol pts
Skew: ETH 1W RR25 -4.32 vol pts · Δ +0.59 vol pts
Relative value: ETH 1W IV 39.85% / 7D RV 37.49% · spread +2.36 vol pts
Vol
ETH 1W ATM IV 39.85% · Δ -8.45 vol ptspercentile rank 100.0% by absolute move · 30-day window (n=30)
Skew
ETH 1W RR25 -4.32 vol pts · Δ +0.59 vol ptspercentile rank 33.3% by absolute move · 30-day window (n=30)
Wings
ETH 1W BF25 2.60 vol pts · Δ -0.89 vol ptspercentile rank 100.0% by absolute move · 30-day window (n=30)
IV versus RV
ETH 1W IV 39.85% / 7D RV 37.49% · spread +2.36 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 100.0% by absolute move · 30-day window (n=30)
ETH 1W RR25: percentile rank 33.3% by absolute move · 30-day window (n=30)
ETH 1W BF25: percentile rank 100.0% 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 12OCT26; the largest sigma change occurred at 24SEP27.
Expiry
Δ a
Δ b
Δ rho
Δ m
Δ sigma
Smile classification
10OCT26
+0.00660
-0.03380
-0.05020
-0.05430
+0.09740
rotation towards puts, wing steepening
11OCT26
+0.01530
-0.03170
-0.16140
-0.09090
+0.02210
rotation towards puts, wing steepening
12OCT26
+0.03160
-0.04270
-0.19530
-0.08470
-0.05770
rotation towards puts, wing steepening
16OCT26
-0.00230
-0.00950
+0.01290
+0.00210
+0.03520
parallel shift lower, wing steepening
23OCT26
-0.00150
-0.00990
+0.01590
+0.00430
+0.02790
parallel shift lower, wing steepening
30OCT26
+0.01160
-0.00990
+0.01600
+0.01160
-0.04770
parallel shift lower, wing steepening
27NOV26
-0.00540
+0.02050
-0.11810
-0.08320
-0.03940
parallel shift lower
25DEC26
-0.02490
+0.01930
-0.10730
-0.10440
+0.06210
parallel shift lower
26MAR27
-0.03380
+0.01460
-0.04470
-0.06360
+0.10360
parallel shift lower
25JUN27
-0.08380
+0.06610
-0.09040
-0.17310
+0.13470
parallel shift lower
24SEP27
-0.18580
+0.08650
-0.01790
-0.18540
+0.33640
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.
RV coverage and methodology
ETH · Available · Surface cutoff 09 Oct 2026, 16:56:00 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.
