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Daily research ·

By Sean Gordon

Published

Market snapshot

ETH front-end RR25 becomes less negative

ETH front-end skew became less negative even as spot declined and ATM volatility rose. Relief extended through 3M, but existing downside asymmetry deepened at 6M and 9M. The evidence points to a tenor-specific adjustment in directional insurance pricing, rather than a broad retreat in volatility expectations.

The reading

What the evidence says

ETH 1W RR25, the call-versus-put IV asymmetry, changed by +2.29 vol points [1] to -4.12 vol points [2] over the daily comparison. That reduced an existing downside bias without crossing into a call premium. The adjustment extended beyond 1W: 2W RR25 changed by +1.65 vol points [3] to -3.52 vol points [4], while 1M RR25 changed by +0.45 vol points [5] to -2.87 vol points [6]. The 1W absolute move had a full-captured-history magnitude rank of 85.7th percentile [7], measured against 56 observations (observed sampling; 10 Sep 2026–08 Nov 2026) [7]; this describes its individual magnitude, not the rarity of the curve configuration.

The RR25 relief continued into intermediate maturities: 2M changed by +0.43 vol points [8] to -2.39 vol points [9], and 3M changed by +0.23 vol points [10] to -2.09 vol points [11]. Longer maturities moved in the opposite direction, though by smaller amounts. ETH 6M RR25 moved from -1.24 vol points [12] to -1.37 vol points [13], a change of -0.13 vol points [14]. ETH 9M RR25 moved from -0.66 vol points [15] to -0.74 vol points [16], changing by -0.08 vol points [17]. Those negative-to-more-negative changes deepen existing downside asymmetry; they qualify the breadth of relief without establishing a separate dramatic long-tenor repricing.

Skew relief did not mean cheaper ATM, or at-the-money, implied volatility. ETH 1W ATM IV changed by +0.92 vol points [18] to 56.54% [19]. The increase also reached 2W, changing by +1.05 vol points [20], and 1M, changing by +0.78 vol points [21] to 54.33% [22]. Meanwhile, BF25—the average wing IV premium over ATM—narrowed at 1W, changing by -0.19 vol points [23] to 1.97 vol points [24], and at 2W, changing by -0.13 vol points [25] to 1.78 vol points [26]. The matched 1M butterfly premium barely changed, by -0.01 vol points [27] to 1.78 vol points [28]. Thus ATM increases and RR25 relief extended to 1M, while butterfly-premium narrowing was more apparent at 1W and 2W; falling BF25 does not establish falling absolute wing IV.

ETH trailing realized volatility over the weekly window was 55.39% [29], recomputed from retained minute prices using observed minute log returns and a calendar-day annualization basis, with complete coverage under the stated policy. Forward 1W ATM IV exceeded that trailing measure by +1.15 vol points [30]. This supports a narrower interpretation of the 1W RR25 move: relative downside asymmetry eased while overall implied movement remained priced above the backward-looking realized measure. Wu Blockchain identified prospective US consumer and producer price releases during the news window, providing event-risk context for forward volatility, but neither an observed release outcome nor an explanation for the measured tenor divergence.

Qualifications and limits

  • ETH spot changed by -4.47% [31] over the aligned daily crypto window. That decline weakens a bullish reading of the less-negative 1W RR25: relative option asymmetry improved despite continuing spot weakness.
  • Historical ranks describe eligible observed daily moves within their stated sample bounds; missing dates and selection can bias them. News publication and capture clocks differ from the aligned options comparison, and the outlook's release dates lack official calendar confirmation here. Neither chronology nor relative repricing identifies its cause or investor positioning.
  • Forward 1W implied volatility and trailing weekly realized volatility cover different periods. Their spread is descriptive, not a forecast or trading edge; same-series realized-volatility recomputation does not independently validate the underlying prices.

Verified market snapshot

Current levels and changes over each recorded native interval. Only receipt-matched quotes are shown; an em dash marks a missing matching quote.
Asset · tenorATM IVATM IV changeRR25RR25 changeBF25 change
ETH · 1W56.54 %[19]0.92 vol pts[18]-4.12 vol pts[2]2.29 vol pts[1]-0.19 vol pts[23]
ETH · 2W55.38 %[32]1.05 vol pts[20]-3.52 vol pts[4]1.65 vol pts[3]-0.13 vol pts[25]
ETH · 1M54.33 %[22]0.78 vol pts[21]-2.87 vol pts[6]0.45 vol pts[5]-0.01 vol pts[27]
ETH · 2M53.63 %[33]0.42 vol pts[34]-2.39 vol pts[9]0.43 vol pts[8]-0.02 vol pts[35]
ETH · 3M53.41 %[36]0.29 vol pts[37]-2.09 vol pts[11]0.23 vol pts[10]0.01 vol pts[38]
ETH · 6M53.72 %[39]0.16 vol pts[40]-1.37 vol pts[13]-0.13 vol pts[14]0.04 vol pts[41]
ETH · 9M53.88 %[42]0.03 vol pts[43]-0.74 vol pts[16]-0.08 vol pts[17]0.06 vol pts[44]

Weekly versus monthly curve

Matched native endpoints; inverted means monthly ATM IV is below weekly ATM IV. Regimes compare verified levels; no numerical slope is inferred.
AssetPrior 1WPrior 1MCurrent 1WCurrent 1MCurve regime
ETH55.62 % [45]53.55 % [46]56.54 % [19]54.33 % [22]Remained inverted
Recent ATM curve history

One-month minus one-week at-the-money implied volatility. Negative values mean an inverted curve. Each row retains its native observation time; missing days are not filled.

AssetNative observation (UTC)1M minus 1W ATM IV
ETH2026-11-09T17:31:00+00:00-2.21 vol pts [47]
ETH2026-11-08T17:31:00+00:00-2.07 vol pts [48]
ETH2026-11-07T17:31:00+00:00+0.08 vol pts [49]
ETH2026-11-06T17:31:00+00:00+0.08 vol pts [50]

ETH RR25 term structure

Scroll horizontally to see the full chart.

ETH RR25 term structure
Current and comparison are exact native endpoint observations. Tenors are equally spaced categories; connecting segments do not express elapsed-time slopes. Missing points remain gaps.

ETH observed 1M minus 1W ATM IV

Scroll horizontally to see the full chart.

ETH observed 1M minus 1W ATM IV
Observed 1M-minus-1W ATM IV copied from existing spread-calculator receipts. Native time is proportional; missing days are not filled. Negative values indicate inversion; zero is flat.

ETH trailing 7d variance: entering and leaving returns

Scroll horizontally to see the full chart.

ETH trailing 7d variance: entering and leaving returns
Replayed same-series squared-minute arithmetic; not independent price validation. No fill, interpolation or gap bridging. Effects add in annualized squared volatility points, not RV percentage points. Current and previous coverage: 100.0% / 100.0%. The denominator effect is explicit; Net is the sum of the three effects. Selected by largest absolute variance change within the qualified common native interval; configured asset order resolves ties.
Full original chart detail

ETH RR25 curve

ETH RR25 curve
Current · 09 Nov 2026 · 17:31 UTC · Comparison · 08 Nov 2026 · 17:31 UTC. Tenors are equally spaced categories, not elapsed time. Gaps remain unconnected.

Figure sources: [56] [57] [58] [59] [60] [61] [62]

ETH: size of daily changes in the 1-week call-minus-put volatility premium (RR25)

ETH: size of daily changes in the 1-week call-minus-put volatility premium (RR25) ranked observed sample
Observed samples in teal. Current statistic: 2.29 vol pts (red). Change sizes ignore direction: increases and decreases of the same size are ranked together. RR25 is 25-delta call implied volatility minus 25-delta put implied volatility. n=56; 2026-09-10 to 2026-11-08; source-selected observed sample, no fill.

[7]

BF25 change by tenor

BF25 change by tenor
ETH · 08 Nov 2026 · 17:31 UTC → 09 Nov 2026 · 17:31 UTC · 24h. Own-run receipt-matched changes; missing or ambiguous points remain gaps.

Figure evidence: [23] [25] [27]

What to watch next

Each monitor describes a verified component or central counterexample of the selected story; observation tests, not a joint forecast.
Story componentNext snapshotObserved conditionComparison periodEvidence
ETH · 1W 25-delta risk reversal10 Nov 2026 · 17:31 UTCCurrent level: at or above -4.12 vol pts (current level).
Between current and prior: strictly below -4.12 vol pts and strictly above -6.41 vol pts.
Prior level: at or below -6.41 vol pts (prior level).		08 Nov 2026 · 17:31 UTC → 09 Nov 2026 · 17:31 UTC[2] [51] [1]
ETH · 2W 25-delta risk reversal10 Nov 2026 · 17:31 UTCCurrent level: at or above -3.52 vol pts (current level).
Between current and prior: strictly below -3.52 vol pts and strictly above -5.17 vol pts.
Prior level: at or below -5.17 vol pts (prior level).		08 Nov 2026 · 17:31 UTC → 09 Nov 2026 · 17:31 UTC[4] [52] [3]
ETH · 1M 25-delta risk reversal10 Nov 2026 · 17:31 UTCCurrent level: at or above -2.87 vol pts (current level).
Between current and prior: strictly below -2.87 vol pts and strictly above -3.32 vol pts.
Prior level: at or below -3.32 vol pts (prior level).		08 Nov 2026 · 17:31 UTC → 09 Nov 2026 · 17:31 UTC[6] [53] [5]
Historical sampling methodology

Each rank describes its supplied population. Exact consecutive daily endpoints use fixed UTC anchors and 24 elapsed hours, including across daylight-saving changes. Missing pairs are omitted without interpolation; their absence does not establish why the provider omitted them. Full captured history is bounded by this run. Different captures and windows can have different denominators even when their ranks agree.

MeasurePopulationObserved pairs or levelsRequested windowExcluded pair or level endpoints
ETH 1W.rr25.absolute_move[7]full captured history562026-09-09T17:31:00+00:00 to 2026-11-08T17:31:00+00:002026-09-21T17:31:00+00:00, 2026-09-22T17:31:00+00:00, 2026-09-28T17:31:00+00:00, 2026-09-29T17:31:00+00:00

Source reporting

BF25 = (25-delta call IV + 25-delta put IV) / 2 − ATM IV. Levels and changes are measured in volatility points.

Retrospective report: native market dates are distinct from later retrieval and run clocks. Later capture does not establish availability at the original cutoff.

Source notes

[1] ETH 1W RR25 difference

2.29 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[2] ETH 1W RR25

-4.12 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[3] ETH 2W RR25 difference

1.65 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[4] ETH 2W RR25

-3.52 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[5] ETH 1M RR25 difference

0.45 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[6] ETH 1M RR25

-2.87 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[7] ETH 1W RR25 absolute move percentile

85.71 percentile

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[8] ETH 2M RR25 difference

0.43 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[9] ETH 2M RR25

-2.39 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[10] ETH 3M RR25 difference

0.23 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[11] ETH 3M RR25

-2.09 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[12] ETH 6M RR25

-1.24 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[13] ETH 6M RR25

-1.37 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[14] ETH 6M RR25 difference

-0.13 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[15] ETH 9M RR25

-0.66 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[16] ETH 9M RR25

-0.74 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[17] ETH 9M RR25 difference

-0.08 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[18] ETH 1W ATM IV difference

0.92 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[19] ETH 1W ATM IV

56.54 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[20] ETH 2W ATM IV difference

1.05 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[21] ETH 1M ATM IV difference

0.78 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[22] ETH 1M ATM IV

54.33 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[23] ETH 1W BF25 difference

-0.19 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[24] ETH 1W BF25

1.97 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[25] ETH 2W BF25 difference

-0.13 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[26] ETH 2W BF25

1.78 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[27] ETH 1M BF25 difference

-0.01 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[28] ETH 1M BF25

1.78 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[29] ETH rv7d.recomputed

55.39 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[30] ETH 1W atmIv-rv7d spread

1.15 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[31] ETH spotPrice percentage change

-4.47 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[32] ETH 2W ATM IV

55.38 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[33] ETH 2M ATM IV

53.63 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[34] ETH 2M ATM IV difference

0.42 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[35] ETH 2M BF25 difference

-0.02 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[36] ETH 3M ATM IV

53.41 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[37] ETH 3M ATM IV difference

0.29 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[38] ETH 3M BF25 difference

0.01 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[39] ETH 6M ATM IV

53.72 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[40] ETH 6M ATM IV difference

0.16 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[41] ETH 6M BF25 difference

0.04 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[42] ETH 9M ATM IV

53.88 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[43] ETH 9M ATM IV difference

0.03 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[44] ETH 9M BF25 difference

0.06 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[45] ETH 1W ATM IV

55.62 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[46] ETH 1M ATM IV

53.55 %

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[47] ETH 1M atmIv-1W.atmIv spread

-2.21 vol pts

Source type: calculation

Observed: 2026-11-09T17:59:36.855967+00:00

[48] ETH 1M atmIv-1W.atmIv spread

-2.07 vol pts

Source type: calculation

Observed: 2026-11-09T17:59:36.855967+00:00

[49] ETH 1M atmIv-1W.atmIv spread

0.08 vol pts

Source type: calculation

Observed: 2026-11-09T17:59:36.855967+00:00

[50] ETH 1M atmIv-1W.atmIv spread

0.08 vol pts

Source type: calculation

Observed: 2026-11-09T17:59:36.855967+00:00

[51] ETH 1W RR25

-6.41 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[52] ETH 2W RR25

-5.17 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[53] ETH 1M RR25

-3.32 vol pts

Source type: calculation

Observed: 2026-11-09T17:31:00+00:00

[56] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[57] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[58] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[59] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[60] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[61] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

[62] Source

Source type: options-observations

Observed: 2026-11-09T17:31:00+00:00

Open cited source

Source data (JSON) · Surface metrics (CSV) · Evidence (JSON) · Report (JSON) · Report archive

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