ETH volatility term structure
Implied volatility of ETH options by days to expiry, one line per delta.
- Source
- Deribit · SignalPlus volatility model
- Data time
- Updates
- Every 10 min
- ATM IV, nearest expiry
- 47.76% 7OCT26
- ATM IV, longest expiry
- 54.34% 24SEP27
ETH implied volatility by expiry
| Expiry | Days to expiry | ATM | 25D Put | 25D Call |
|---|---|---|---|---|
| 7OCT26 | 1 | 47.76% | 53.60% | 46.56% |
| 8OCT26 | 2 | 37.99% | 40.31% | 38.21% |
| 9OCT26 | 3 | 38.37% | 40.61% | 38.97% |
| 10OCT26 | 4 | 36.56% | 38.25% | 37.95% |
| 16OCT26 | 10 | 39.91% | 41.35% | 41.17% |
| 23OCT26 | 17 | 41.47% | 42.89% | 42.94% |
| 30OCT26 | 24 | 43.46% | 44.82% | 44.77% |
| 27NOV26 | 52 | 48.24% | 50.02% | 49.17% |
| 25DEC26 | 80 | 49.53% | 51.22% | 50.60% |
| 26MAR27 | 171 | 52.25% | 53.70% | 53.71% |
| 25JUN27 | 262 | 53.59% | 54.61% | 55.18% |
| 24SEP27 | 353 | 54.34% | 55.28% | 56.22% |
How to read it
The horizontal axis is days to expiry. An upward-sloping ATM line is the usual state; short-dated volatility above long-dated (an inverted curve) tends to appear around stress or scheduled events. Comparing the 25-delta put and call lines shows how skew changes with maturity.
Definitions
- Term structure
- Implied volatility plotted against time to expiry for a fixed delta.
- Days to expiry
- Counted from the data time to expiry, rounded up. Crypto options expire at 08:00 UTC.
- ATM
- At the money: the option whose strike sits at the forward price, with a delta of about 50%.
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