{ "schemaVersion": 2, "reportDate": "2026-04-26", "generatedAt": "2026-07-25T18:42:31+00:00", "currentSnapshotAt": "2026-04-26T23:59:00+00:00", "previousSnapshotAt": "2026-04-25T23:59:00+00:00", "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "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.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "fitQuality": { "currentObjective": 0.21874571, "previousObjective": 0.15126513, "currentLiveError": 371.63808885, "previousLiveError": 233.22409756 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [ "30APR26" ], "removedExpiries": [ "26APR26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1W ATM IV rises 0.77 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged +0.11 volatility points, RR25 +0.51 volatility points and BF25 +0.07 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.27 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.12 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.51 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.77 volatility points at 1W.", "tenor": "1W", "value": 0.77 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": null, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.27 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.12 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.51 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.77 volatility points at 1W.", "tenor": "1W", "value": 0.77 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": 0.11, "rr25Change": 0.51, "bf25Change": 0.07 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1777852744746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.78, "previous": 38.01, "change": 0.77, "percentChange": 2.03 }, "rr25": { "current": -2.79, "previous": -3.27, "change": 0.48, "percentChange": 14.68 }, "bf25": { "current": 1.89, "previous": 1.79, "change": 0.1, "percentChange": 5.59 } }, { "tenor": "2W", "targetExpiry": 1778457544746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.16, "previous": 37.81, "change": 0.35, "percentChange": 0.93 }, "rr25": { "current": -3.3, "previous": -4.46, "change": 1.16, "percentChange": 26.01 }, "bf25": { "current": 1.8, "previous": 1.64, "change": 0.16, "percentChange": 9.76 } }, { "tenor": "1M", "targetExpiry": 1779839944746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.69, "previous": 39.0, "change": -0.31, "percentChange": -0.79 }, "rr25": { "current": -4.13, "previous": -4.83, "change": 0.7, "percentChange": 14.49 }, "bf25": { "current": 1.91, "previous": 1.81, "change": 0.1, "percentChange": 5.52 } }, { "tenor": "3M", "targetExpiry": 1785110344746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.52, "previous": 40.44, "change": 0.08, "percentChange": 0.2 }, "rr25": { "current": -4.51, "previous": -4.86, "change": 0.35, "percentChange": 7.2 }, "bf25": { "current": 2.03, "previous": 2.06, "change": -0.03, "percentChange": -1.46 } }, { "tenor": "6M", "targetExpiry": 1792972744746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.27, "previous": 42.26, "change": 0.01, "percentChange": 0.02 }, "rr25": { "current": -4.57, "previous": -4.86, "change": 0.29, "percentChange": 5.97 }, "bf25": { "current": 2.17, "previous": 2.14, "change": 0.03, "percentChange": 1.4 } }, { "tenor": "9M", "targetExpiry": 1800835144746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.78, "previous": 43.88, "change": -0.1, "percentChange": -0.23 }, "rr25": { "current": -4.33, "previous": -4.59, "change": 0.26, "percentChange": 5.66 }, "bf25": { "current": 2.25, "previous": 2.17, "change": 0.08, "percentChange": 3.69 } }, { "tenor": "1Y", "targetExpiry": 1808783944746, "availability": "available", "unavailableReason": null, "atmIv": { "current": 44.66, "previous": 44.91, "change": -0.25, "percentChange": -0.56 }, "rr25": { "current": -4.27, "previous": -4.37, "change": 0.1, "percentChange": 2.29 }, "bf25": { "current": 2.19, "previous": 2.11, "change": 0.08, "percentChange": 3.79 } } ], "listedExpiries": [ { "label": "27APR26", "expiry": 1777276800000, "tauYears": 0.00091518, "daysToExpiry": 0.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78649.14, "previous": 77614.24, "change": 1034.9, "percentChange": 1.33 }, "atmIv": { "current": 42.7, "previous": 30.06, "change": 12.64, "percentChange": 42.05 }, "rr25": { "current": -0.04, "previous": 0.67, "change": -0.71, "percentChange": -105.97 }, "bf25": { "current": 1.28, "previous": 1.85, "change": -0.57, "percentChange": -30.81 }, "svi": { "a": { "current": -0.0392, "previous": -0.0173, "change": -0.022, "percentChange": -127.01 }, "b": { "current": 0.0712, "previous": 0.0676, "change": 0.0036, "percentChange": 5.25 }, "rho": { "current": 0.0132, "previous": -0.0458, "change": 0.0591, "percentChange": 128.85 }, "m": { "current": 0.0076, "previous": -0.014, "change": 0.0215, "percentChange": 154.03 }, "sigma": { "current": 0.5536, "previous": 0.2607, "change": 0.2929, "percentChange": 112.34 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 246.3564, 235.1297, 223.828, 212.4567, 201.0222, 189.5323, 177.9967, 166.4273, 154.8389, 143.2505, 131.6868, 120.1807, 108.7771, 97.5399, 86.5626, 75.9873, 66.0371, 57.0692, 49.6463, 44.5706, 42.704, 44.4604, 49.4553, 56.8353, 65.7921, 75.7552, 86.3613, 97.3837, 108.6777, 120.1484, 131.7306, 143.3786, 155.0587, 166.7456, 178.4199, 190.066, 201.6716, 213.2267, 224.7228, 236.1532, 247.5122 ], "previous": [ 163.5589, 156.8368, 149.9911, 143.0207, 135.9257, 128.7075, 121.3692, 113.9164, 106.3578, 98.7061, 90.9798, 83.205, 75.4188, 67.6746, 60.0507, 52.6648, 45.6992, 39.4422, 34.3398, 31.0072, 30.054, 31.685, 35.515, 40.8865, 47.2251, 54.1372, 61.3742, 68.7802, 76.2553, 83.7342, 91.1729, 98.5418, 105.8206, 112.9957, 120.0581, 127.0025, 133.8257, 140.5267, 147.1056, 153.5637, 159.9029 ], "change": [ 82.7975, 78.2929, 73.8369, 69.436, 65.0965, 60.8248, 56.6275, 52.5109, 48.4811, 44.5444, 40.707, 36.9757, 33.3583, 29.8653, 26.5119, 23.3225, 20.3379, 17.627, 15.3065, 13.5634, 12.65, 12.7754, 13.9403, 15.9488, 18.567, 21.618, 24.9871, 28.6035, 32.4224, 36.4142, 40.5577, 44.8368, 49.2381, 53.7499, 58.3618, 63.0635, 67.8459, 72.7, 77.6172, 82.5895, 87.6093 ], "classification": [ "wing steepening" ], "parallelShift": 31.305, "rotation": -0.149, "wingChange": 27.982, "rmsChange": 49.652 } }, { "label": "28APR26", "expiry": 1777363200000, "tauYears": 0.00365491, "daysToExpiry": 1.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78657.61, "previous": 77617.25, "change": 1040.36, "percentChange": 1.34 }, "atmIv": { "current": 40.08, "previous": 33.82, "change": 6.26, "percentChange": 18.51 }, "rr25": { "current": 0.52, "previous": -1.14, "change": 1.66, "percentChange": 145.61 }, "bf25": { "current": 2.06, "previous": 2.08, "change": -0.02, "percentChange": -0.96 }, "svi": { "a": { "current": -0.0364, "previous": -0.0183, "change": -0.0181, "percentChange": -98.41 }, "b": { "current": 0.0901, "previous": 0.0703, "change": 0.0198, "percentChange": 28.18 }, "rho": { "current": -0.0562, "previous": -0.069, "change": 0.0128, "percentChange": 18.57 }, "m": { "current": -0.0249, "previous": -0.0135, "change": -0.0114, "percentChange": -84.63 }, "sigma": { "current": 0.4113, "previous": 0.2721, "change": 0.1392, "percentChange": 51.16 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 161.7177, 154.6915, 147.6065, 140.4684, 133.2842, 126.0625, 118.8144, 111.5535, 104.297, 97.0668, 89.891, 82.806, 75.8601, 69.1182, 62.6685, 56.6321, 51.175, 46.5173, 42.9315, 40.7074, 40.0713, 41.0894, 43.6331, 47.4404, 52.2156, 57.6968, 63.6792, 70.0112, 76.583, 83.3152, 90.15, 97.0446, 103.9671, 110.8933, 117.8046, 124.6869, 131.5288, 138.3219, 145.0594, 151.7363, 158.3484 ], "previous": [ 129.9991, 124.925, 119.7707, 114.5372, 109.2272, 103.8443, 98.3942, 92.885, 87.3278, 81.7378, 76.1353, 70.5477, 65.0118, 59.5771, 54.3108, 49.3044, 44.6815, 40.6069, 37.288, 34.9595, 33.8336, 34.0253, 35.4971, 38.0761, 41.5258, 45.6148, 50.1511, 54.9884, 60.0194, 65.1665, 70.3738, 75.6009, 80.8186, 86.0058, 91.1471, 96.2316, 101.2518, 106.2023, 111.0797, 115.8822, 120.6086 ], "change": [ 31.7186, 29.7665, 27.8358, 25.9312, 24.057, 22.2182, 20.4202, 18.6685, 16.9692, 15.329, 13.7557, 12.2583, 10.8483, 9.5411, 8.3577, 7.3277, 6.4935, 5.9104, 5.6435, 5.7479, 6.2377, 7.0641, 8.136, 9.3643, 10.6898, 12.082, 13.5281, 15.0228, 16.5636, 18.1487, 19.7762, 21.4437, 23.1485, 24.8875, 26.6575, 28.4553, 30.277, 32.1196, 33.9797, 35.8541, 37.7398 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 13.257, "rotation": 6.02, "wingChange": 10.528, "rmsChange": 20.582 } }, { "label": "29APR26", "expiry": 1777449600000, "tauYears": 0.00639463, "daysToExpiry": 2.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78634.88, "previous": 77615.93, "change": 1018.95, "percentChange": 1.31 }, "atmIv": { "current": 39.06, "previous": 34.46, "change": 4.6, "percentChange": 13.35 }, "rr25": { "current": -0.29, "previous": -0.75, "change": 0.46, "percentChange": 61.33 }, "bf25": { "current": 1.97, "previous": 1.95, "change": 0.02, "percentChange": 1.03 }, "svi": { "a": { "current": -0.0481, "previous": -0.0206, "change": -0.0275, "percentChange": -134.01 }, "b": { "current": 0.1039, "previous": 0.0724, "change": 0.0316, "percentChange": 43.63 }, "rho": { "current": -0.132, "previous": -0.0788, "change": -0.0531, "percentChange": -67.41 }, "m": { "current": -0.0614, "previous": -0.019, "change": -0.0424, "percentChange": -223.58 }, "sigma": { "current": 0.4762, "previous": 0.2999, "change": 0.1763, "percentChange": 58.81 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 128.4328, 122.9172, 117.3851, 111.8433, 106.2997, 100.7639, 95.2475, 89.7642, 84.3307, 78.9678, 73.7007, 68.5612, 63.5894, 58.836, 54.365, 50.2576, 46.6131, 43.5492, 41.1939, 39.669, 39.0645, 39.4126, 40.6767, 42.7618, 45.5404, 48.879, 52.6557, 56.7676, 61.1318, 65.6835, 70.372, 75.1583, 80.0118, 84.9088, 89.8307, 94.7627, 99.6932, 104.6128, 109.514, 114.3909, 119.2387 ], "previous": [ 108.7075, 104.512, 100.2651, 95.97, 91.6311, 87.2541, 82.8469, 78.4194, 73.9847, 69.5594, 65.1652, 60.8295, 56.5878, 52.4853, 48.58, 44.9453, 41.6724, 38.8701, 36.6596, 35.1606, 34.4675, 34.6238, 35.6076, 37.3379, 39.6978, 42.5612, 45.8109, 49.3474, 53.0905, 56.9775, 60.9601, 65.0011, 69.0722, 73.1518, 77.2237, 81.2752, 85.2969, 89.2819, 93.2249, 97.1222, 100.971 ], "change": [ 19.7253, 18.4052, 17.12, 15.8733, 14.6686, 13.5098, 12.4006, 11.3448, 10.346, 9.4084, 8.5355, 7.7317, 7.0016, 6.3507, 5.785, 5.3123, 4.9407, 4.6791, 4.5343, 4.5084, 4.597, 4.7888, 5.0691, 5.4239, 5.8426, 6.3178, 6.8448, 7.4202, 8.0413, 8.706, 9.4119, 10.1572, 10.9396, 11.757, 12.607, 13.4875, 14.3963, 15.3309, 16.2891, 17.2687, 18.2677 ], "classification": [ "parallel shift higher", "rotation towards calls", "wing steepening" ], "parallelShift": 7.515, "rotation": 0.876, "wingChange": 4.377, "rmsChange": 11.115 } }, { "label": "1MAY26", "expiry": 1777622400000, "tauYears": 0.01187408, "daysToExpiry": 4.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78624.6, "previous": 77607.01, "change": 1017.59, "percentChange": 1.31 }, "atmIv": { "current": 40.14, "previous": 38.43, "change": 1.71, "percentChange": 4.45 }, "rr25": { "current": -2.39, "previous": -2.47, "change": 0.08, "percentChange": 3.24 }, "bf25": { "current": 1.95, "previous": 1.85, "change": 0.1, "percentChange": 5.41 }, "svi": { "a": { "current": -0.0805, "previous": -0.0323, "change": -0.0481, "percentChange": -148.91 }, "b": { "current": 0.1329, "previous": 0.0836, "change": 0.0493, "percentChange": 59.0 }, "rho": { "current": -0.1816, "previous": -0.0676, "change": -0.114, "percentChange": -168.7 }, "m": { "current": -0.0972, "previous": -0.0059, "change": -0.0913, "percentChange": -1540.08 }, "sigma": { "current": 0.6301, "previous": 0.413, "change": 0.2171, "percentChange": 52.57 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 102.1638, 98.1618, 94.1765, 90.2138, 86.2805, 82.3843, 78.5343, 74.7409, 71.0165, 67.3751, 63.8338, 60.4122, 57.1337, 54.0255, 51.1195, 48.452, 46.0638, 43.9988, 42.302, 41.016, 40.1761, 39.8058, 39.9125, 40.4864, 41.5015, 42.9197, 44.6955, 46.7811, 49.1299, 51.6991, 54.4504, 57.351, 60.3728, 63.4922, 66.6894, 69.9479, 73.254, 76.5962, 79.9649, 83.3521, 86.7509 ], "previous": [ 89.5124, 86.4032, 83.2844, 80.1604, 77.0367, 73.9198, 70.8174, 67.7386, 64.6943, 61.6973, 58.7629, 55.9091, 53.1569, 50.5311, 48.06, 45.776, 43.715, 41.9157, 40.4176, 39.2585, 38.4708, 38.0776, 38.0898, 38.504, 39.3031, 40.4587, 41.9346, 43.691, 45.6875, 47.8859, 50.2512, 52.7524, 55.3626, 58.0589, 60.822, 63.6355, 66.4858, 69.3614, 72.2528, 75.1522, 78.0529 ], "change": [ 12.6514, 11.7586, 10.8921, 10.0534, 9.2438, 8.4645, 7.7169, 7.0023, 6.3222, 5.6778, 5.0709, 4.5031, 3.9768, 3.4944, 3.0595, 2.676, 2.3488, 2.0831, 1.8844, 1.7575, 1.7053, 1.7282, 1.8227, 1.9824, 2.1984, 2.461, 2.7609, 3.0901, 3.4424, 3.8132, 4.1992, 4.5986, 5.0102, 5.4333, 5.8674, 6.3124, 6.7682, 7.2348, 7.7121, 8.1999, 8.698 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 3.658, "rotation": -0.872, "wingChange": 2.93, "rmsChange": 6.046 } }, { "label": "8MAY26", "expiry": 1778227200000, "tauYears": 0.03105216, "daysToExpiry": 11.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78673.54, "previous": 77596.19, "change": 1077.35, "percentChange": 1.39 }, "atmIv": { "current": 37.91, "previous": 37.43, "change": 0.48, "percentChange": 1.28 }, "rr25": { "current": -3.05, "previous": -4.4, "change": 1.35, "percentChange": 30.68 }, "bf25": { "current": 1.85, "previous": 1.68, "change": 0.17, "percentChange": 10.12 }, "svi": { "a": { "current": -0.0802, "previous": -0.0391, "change": -0.0411, "percentChange": -105.2 }, "b": { "current": 0.1334, "previous": 0.0895, "change": 0.0438, "percentChange": 48.97 }, "rho": { "current": -0.1777, "previous": 0.0033, "change": -0.181, "percentChange": -5434.69 }, "m": { "current": -0.076, "previous": 0.0677, "change": -0.1438, "percentChange": -212.26 }, "sigma": { "current": 0.6443, "previous": 0.4855, "change": 0.1588, "percentChange": 32.71 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 71.8601, 69.6011, 67.362, 65.1471, 62.9607, 60.808, 58.6945, 56.6264, 54.6105, 52.6545, 50.7668, 48.9564, 47.2336, 45.6089, 44.0941, 42.7011, 41.4425, 40.3305, 39.3772, 38.5935, 37.9888, 37.5703, 37.3425, 37.3068, 37.4615, 37.8019, 38.3202, 39.0065, 39.8492, 40.8355, 41.9522, 43.1861, 44.5242, 45.9545, 47.4654, 49.0465, 50.6883, 52.3824, 54.1208, 55.897, 57.7048 ], "previous": [ 67.3152, 65.5431, 63.7727, 62.0065, 60.2474, 58.4987, 56.764, 55.0475, 53.3541, 51.6891, 50.0587, 48.4697, 46.9297, 45.4471, 44.0312, 42.6921, 41.4405, 40.2881, 39.2464, 38.3275, 37.543, 36.9036, 36.4189, 36.0965, 35.9418, 35.9574, 36.1432, 36.496, 37.0102, 37.6778, 38.489, 39.4329, 40.4979, 41.672, 42.9434, 44.3009, 45.7337, 47.2319, 48.7862, 50.3885, 52.0312 ], "change": [ 4.5449, 4.058, 3.5893, 3.1406, 2.7133, 2.3093, 1.9305, 1.5789, 1.2564, 0.9654, 0.7081, 0.4867, 0.3039, 0.1618, 0.0629, 0.009, 0.002, 0.0424, 0.1308, 0.266, 0.4458, 0.6667, 0.9236, 1.2103, 1.5197, 1.8445, 2.177, 2.5105, 2.839, 3.1577, 3.4632, 3.7532, 4.0263, 4.2825, 4.522, 4.7456, 4.9546, 5.1505, 5.3346, 5.5085, 5.6736 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 1.539, "rotation": 2.755, "wingChange": 1.64, "rmsChange": 2.986 } }, { "label": "15MAY26", "expiry": 1778832000000, "tauYears": 0.05023025, "daysToExpiry": 18.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78680.74, "previous": 77605.9, "change": 1074.84, "percentChange": 1.38 }, "atmIv": { "current": 38.41, "previous": 38.58, "change": -0.17, "percentChange": -0.44 }, "rr25": { "current": -3.53, "previous": -4.58, "change": 1.05, "percentChange": 22.93 }, "bf25": { "current": 1.75, "previous": 1.56, "change": 0.19, "percentChange": 12.18 }, "svi": { "a": { "current": -0.0906, "previous": -0.0423, "change": -0.0483, "percentChange": -114.14 }, "b": { "current": 0.1372, "previous": 0.0925, "change": 0.0447, "percentChange": 48.27 }, "rho": { "current": -0.158, "previous": 0.0354, "change": -0.1934, "percentChange": -546.68 }, "m": { "current": -0.0511, "previous": 0.1137, "change": -0.1648, "percentChange": -144.92 }, "sigma": { "current": 0.7211, "previous": 0.5353, "change": 0.1858, "percentChange": 34.71 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 62.203, 60.6174, 59.0513, 57.5075, 55.9889, 54.4987, 53.0404, 51.6178, 50.2349, 48.896, 47.6057, 46.3689, 45.1906, 44.0762, 43.0311, 42.061, 41.1714, 40.3677, 39.6553, 39.0389, 38.523, 38.1112, 37.8063, 37.6102, 37.5238, 37.5469, 37.6781, 37.9153, 38.2551, 38.6934, 39.2256, 39.8463, 40.5498, 41.3305, 42.1824, 43.0997, 44.0767, 45.1078, 46.1878, 47.3119, 48.4754 ], "previous": [ 59.7715, 58.5113, 57.2564, 56.0085, 54.7697, 53.542, 52.3279, 51.1298, 49.9509, 48.7941, 47.663, 46.5613, 45.4932, 44.4629, 43.4752, 42.535, 41.6476, 40.8182, 40.0525, 39.356, 38.7341, 38.192, 37.7348, 37.3668, 37.0917, 36.9127, 36.8318, 36.8501, 36.9678, 37.1838, 37.4964, 37.9027, 38.399, 38.9811, 39.6442, 40.383, 41.1923, 42.0665, 43.0001, 43.9877, 45.0241 ], "change": [ 2.4315, 2.1061, 1.7949, 1.499, 1.2192, 0.9567, 0.7125, 0.488, 0.284, 0.1019, -0.0573, -0.1924, -0.3026, -0.3867, -0.4441, -0.474, -0.4762, -0.4505, -0.3972, -0.3171, -0.2111, -0.0808, 0.0715, 0.2434, 0.4321, 0.6342, 0.8463, 1.0652, 1.2873, 1.5096, 1.7292, 1.9436, 2.1508, 2.3494, 2.5382, 2.7167, 2.8844, 3.0413, 3.1877, 3.3242, 3.4513 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 0.487, "rotation": 1.786, "wingChange": 1.047, "rmsChange": 1.626 } }, { "label": "29MAY26", "expiry": 1780041600000, "tauYears": 0.08858641, "daysToExpiry": 32.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78679.58, "previous": 77654.76, "change": 1024.82, "percentChange": 1.32 }, "atmIv": { "current": 38.72, "previous": 39.07, "change": -0.35, "percentChange": -0.9 }, "rr25": { "current": -4.19, "previous": -4.87, "change": 0.68, "percentChange": 13.96 }, "bf25": { "current": 1.93, "previous": 1.87, "change": 0.06, "percentChange": 3.21 }, "svi": { "a": { "current": -0.1206, "previous": -0.1168, "change": -0.0038, "percentChange": -3.22 }, "b": { "current": 0.1768, "previous": 0.1707, "change": 0.0062, "percentChange": 3.6 }, "rho": { "current": -0.3249, "previous": -0.3554, "change": 0.0306, "percentChange": 8.6 }, "m": { "current": -0.1769, "previous": -0.1871, "change": 0.0102, "percentChange": 5.46 }, "sigma": { "current": 0.7956, "previous": 0.8121, "change": -0.0165, "percentChange": -2.03 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 57.0925, 55.85, 54.6295, 53.4329, 52.2622, 51.1193, 50.0065, 48.9259, 47.8798, 46.8707, 45.9008, 44.9727, 44.0888, 43.2516, 42.4637, 41.7273, 41.0449, 40.4186, 39.8505, 39.3425, 38.8962, 38.513, 38.1938, 37.9395, 37.7503, 37.6263, 37.567, 37.5717, 37.6393, 37.7683, 37.9569, 38.203, 38.5045, 38.8589, 39.2635, 39.7158, 40.2129, 40.7521, 41.3306, 41.9458, 42.595 ], "previous": [ 57.3078, 56.1111, 54.9345, 53.7796, 52.648, 51.5415, 50.4619, 49.411, 48.3908, 47.4032, 46.4504, 45.5343, 44.657, 43.8207, 43.0274, 42.2792, 41.5781, 40.926, 40.3247, 39.776, 39.2814, 38.8422, 38.4595, 38.1342, 37.867, 37.6581, 37.5076, 37.4152, 37.3803, 37.4021, 37.4794, 37.6108, 37.7947, 38.0292, 38.3124, 38.6422, 39.0162, 39.4322, 39.8879, 40.3809, 40.9089 ], "change": [ -0.2153, -0.2611, -0.305, -0.3467, -0.3858, -0.4222, -0.4554, -0.4851, -0.511, -0.5325, -0.5496, -0.5616, -0.5682, -0.5691, -0.5637, -0.5519, -0.5332, -0.5074, -0.4742, -0.4335, -0.3852, -0.3292, -0.2657, -0.1947, -0.1167, -0.0318, 0.0594, 0.1565, 0.259, 0.3662, 0.4775, 0.5922, 0.7098, 0.8297, 0.9511, 1.0736, 1.1967, 1.3199, 1.4427, 1.5649, 1.6861 ], "classification": [ "rotation towards calls" ], "parallelShift": -0.152, "rotation": 1.027, "wingChange": 0.349, "rmsChange": 0.689 } }, { "label": "26JUN26", "expiry": 1782460800000, "tauYears": 0.16529874, "daysToExpiry": 60.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78781.65, "previous": 77739.28, "change": 1042.37, "percentChange": 1.34 }, "atmIv": { "current": 39.93, "previous": 40.22, "change": -0.29, "percentChange": -0.72 }, "rr25": { "current": -4.82, "previous": -5.17, "change": 0.35, "percentChange": 6.77 }, "bf25": { "current": 2.28, "previous": 2.33, "change": -0.05, "percentChange": -2.15 }, "svi": { "a": { "current": -0.1754, "previous": -0.1702, "change": -0.0052, "percentChange": -3.08 }, "b": { "current": 0.2192, "previous": 0.2185, "change": 0.0007, "percentChange": 0.3 }, "rho": { "current": -0.0689, "previous": -0.0587, "change": -0.0103, "percentChange": -17.48 }, "m": { "current": 0.068, "previous": 0.0866, "change": -0.0186, "percentChange": -21.5 }, "sigma": { "current": 0.9149, "previous": 0.8957, "change": 0.0192, "percentChange": 2.15 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 52.943, 52.1185, 51.3066, 50.5083, 49.7246, 48.9568, 48.206, 47.4733, 46.7602, 46.0679, 45.3976, 44.7509, 44.1291, 43.5337, 42.966, 42.4274, 41.9195, 41.4436, 41.0011, 40.5932, 40.2213, 39.8864, 39.5897, 39.3321, 39.1146, 38.9376, 38.8019, 38.7079, 38.6557, 38.6455, 38.6771, 38.7502, 38.8645, 39.0194, 39.2141, 39.4477, 39.7192, 40.0276, 40.3717, 40.7501, 41.1615 ], "previous": [ 53.4467, 52.622, 51.809, 51.0088, 50.2223, 49.4507, 48.6951, 47.9568, 47.237, 46.5369, 45.8579, 45.2014, 44.5688, 43.9615, 43.3808, 42.8283, 42.3054, 41.8136, 41.3541, 40.9284, 40.5378, 40.1835, 39.8667, 39.5883, 39.3494, 39.1507, 38.9929, 38.8765, 38.8018, 38.7691, 38.7782, 38.8292, 38.9216, 39.0549, 39.2286, 39.4418, 39.6935, 39.9829, 40.3086, 40.6695, 41.0642 ], "change": [ -0.5037, -0.5035, -0.5024, -0.5005, -0.4977, -0.4939, -0.4891, -0.4835, -0.4768, -0.469, -0.4603, -0.4505, -0.4397, -0.4278, -0.4148, -0.4009, -0.3859, -0.37, -0.353, -0.3352, -0.3165, -0.2971, -0.277, -0.2562, -0.2348, -0.2131, -0.191, -0.1686, -0.1461, -0.1236, -0.1011, -0.079, -0.0571, -0.0355, -0.0145, 0.0059, 0.0257, 0.0447, 0.0631, 0.0806, 0.0973 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.293, "rotation": 0.359, "wingChange": 0.036, "rmsChange": 0.337 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.26118915, "daysToExpiry": 95.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78985.26, "previous": 77932.23, "change": 1053.03, "percentChange": 1.35 }, "atmIv": { "current": 40.57, "previous": 40.47, "change": 0.1, "percentChange": 0.25 }, "rr25": { "current": -4.49, "previous": -4.82, "change": 0.33, "percentChange": 6.85 }, "bf25": { "current": 2.01, "previous": 2.02, "change": -0.01, "percentChange": -0.5 }, "svi": { "a": { "current": -0.1918, "previous": -0.1914, "change": -0.0003, "percentChange": -0.18 }, "b": { "current": 0.2224, "previous": 0.2232, "change": -0.0008, "percentChange": -0.37 }, "rho": { "current": -0.0535, "previous": -0.0364, "change": -0.0171, "percentChange": -46.83 }, "m": { "current": 0.1233, "previous": 0.153, "change": -0.0297, "percentChange": -19.39 }, "sigma": { "current": 1.045, "previous": 1.0381, "change": 0.0069, "percentChange": 0.67 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 49.5202, 48.9714, 48.4317, 47.9016, 47.3816, 46.8723, 46.3743, 45.8883, 45.4146, 44.9541, 44.5072, 44.0746, 43.657, 43.2549, 42.869, 42.4999, 42.1481, 41.8144, 41.4992, 41.2032, 40.9269, 40.6708, 40.4353, 40.221, 40.0283, 39.8575, 39.7091, 39.5831, 39.48, 39.3999, 39.343, 39.3092, 39.2987, 39.3115, 39.3473, 39.4062, 39.4879, 39.5921, 39.7186, 39.867, 40.037 ], "previous": [ 49.6632, 49.1099, 48.565, 48.0292, 47.5028, 46.9865, 46.4808, 45.9863, 45.5037, 45.0334, 44.5762, 44.1325, 43.7032, 43.2887, 42.8898, 42.5071, 42.1411, 41.7925, 41.462, 41.1501, 40.8574, 40.5845, 40.3319, 40.1001, 39.8895, 39.7006, 39.5339, 39.3895, 39.268, 39.1694, 39.094, 39.0419, 39.0133, 39.0081, 39.0264, 39.068, 39.1329, 39.2207, 39.3314, 39.4645, 39.6198 ], "change": [ -0.143, -0.1385, -0.1333, -0.1276, -0.1212, -0.1142, -0.1065, -0.098, -0.0891, -0.0793, -0.069, -0.0579, -0.0462, -0.0338, -0.0208, -0.0072, 0.007, 0.0219, 0.0372, 0.0531, 0.0695, 0.0863, 0.1034, 0.1209, 0.1388, 0.1569, 0.1752, 0.1936, 0.212, 0.2305, 0.249, 0.2673, 0.2854, 0.3034, 0.3209, 0.3382, 0.355, 0.3714, 0.3872, 0.4025, 0.4172 ], "classification": [ "limited movement" ], "parallelShift": 0.083, "rotation": 0.318, "wingChange": 0.02, "rmsChange": 0.202 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.4146138, "daysToExpiry": 151.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79278.88, "previous": 78260.37, "change": 1018.51, "percentChange": 1.3 }, "atmIv": { "current": 41.38, "previous": 41.39, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -4.75, "previous": -5.01, "change": 0.26, "percentChange": 5.19 }, "bf25": { "current": 2.09, "previous": 2.07, "change": 0.02, "percentChange": 0.97 }, "svi": { "a": { "current": -0.2424, "previous": -0.2498, "change": 0.0074, "percentChange": 2.95 }, "b": { "current": 0.2609, "previous": 0.2612, "change": -0.0003, "percentChange": -0.12 }, "rho": { "current": -0.1794, "previous": -0.1544, "change": -0.0251, "percentChange": -16.24 }, "m": { "current": 0.0253, "previous": 0.0684, "change": -0.0431, "percentChange": -62.97 }, "sigma": { "current": 1.203, "previous": 1.2245, "change": -0.0215, "percentChange": -1.76 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 48.605, 48.1809, 47.7643, 47.3553, 46.9544, 46.5618, 46.1778, 45.8028, 45.437, 45.0807, 44.7342, 44.3979, 44.0721, 43.7569, 43.4528, 43.16, 42.8788, 42.6094, 42.3521, 42.1072, 41.8749, 41.6554, 41.449, 41.2557, 41.0759, 40.9097, 40.7572, 40.6185, 40.4939, 40.3832, 40.2867, 40.2044, 40.1362, 40.0823, 40.0426, 40.017, 40.0055, 40.0081, 40.0246, 40.0549, 40.0989 ], "previous": [ 48.7256, 48.3027, 47.8868, 47.478, 47.0767, 46.6833, 46.2979, 45.9209, 45.5525, 45.1931, 44.843, 44.5025, 44.1719, 43.8514, 43.5414, 43.2421, 42.9539, 42.6769, 42.4116, 42.158, 41.9166, 41.6875, 41.471, 41.2672, 41.0765, 40.8989, 40.7346, 40.5838, 40.4467, 40.3233, 40.2138, 40.1183, 40.0367, 39.9692, 39.9157, 39.8763, 39.851, 39.8396, 39.8422, 39.8587, 39.8889 ], "change": [ -0.1206, -0.1218, -0.1225, -0.1227, -0.1223, -0.1215, -0.1201, -0.1181, -0.1155, -0.1124, -0.1088, -0.1046, -0.0998, -0.0945, -0.0886, -0.0821, -0.0751, -0.0675, -0.0595, -0.0508, -0.0417, -0.0321, -0.022, -0.0115, -0.0006, 0.0108, 0.0226, 0.0347, 0.0472, 0.0599, 0.0729, 0.0861, 0.0995, 0.1131, 0.1269, 0.1407, 0.1545, 0.1685, 0.1824, 0.1962, 0.21 ], "classification": [ "limited movement" ], "parallelShift": -0.026, "rotation": 0.182, "wingChange": 0.024, "rmsChange": 0.107 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.66392887, "daysToExpiry": 242.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79981.91, "previous": 78958.68, "change": 1023.23, "percentChange": 1.3 }, "atmIv": { "current": 43.33, "previous": 43.37, "change": -0.04, "percentChange": -0.09 }, "rr25": { "current": -4.36, "previous": -4.69, "change": 0.33, "percentChange": 7.04 }, "bf25": { "current": 2.28, "previous": 2.21, "change": 0.07, "percentChange": 3.17 }, "svi": { "a": { "current": -0.2469, "previous": -0.2496, "change": 0.0027, "percentChange": 1.07 }, "b": { "current": 0.3001, "previous": 0.2924, "change": 0.0078, "percentChange": 2.65 }, "rho": { "current": -0.2866, "previous": -0.2444, "change": -0.0422, "percentChange": -17.27 }, "m": { "current": -0.0846, "previous": -0.006, "change": -0.0786, "percentChange": -1309.3 }, "sigma": { "current": 1.2718, "previous": 1.2976, "change": -0.0258, "percentChange": -1.99 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 48.8933, 48.5817, 48.2761, 47.9766, 47.6834, 47.3966, 47.1164, 46.843, 46.5764, 46.3169, 46.0645, 45.8194, 45.5818, 45.3517, 45.1293, 44.9147, 44.708, 44.5094, 44.3188, 44.1365, 43.9624, 43.7968, 43.6396, 43.4909, 43.3508, 43.2193, 43.0964, 42.9823, 42.8769, 42.7802, 42.6922, 42.613, 42.5426, 42.4808, 42.4277, 42.3833, 42.3476, 42.3203, 42.3016, 42.2913, 42.2894 ], "previous": [ 49.0492, 48.7397, 48.4357, 48.1371, 47.8442, 47.5571, 47.2759, 47.0009, 46.7322, 46.4698, 46.214, 45.965, 45.7227, 45.4874, 45.2593, 45.0383, 44.8247, 44.6186, 44.4201, 44.2293, 44.0463, 43.8712, 43.7041, 43.5451, 43.3942, 43.2515, 43.1172, 42.9912, 42.8736, 42.7645, 42.6638, 42.5716, 42.488, 42.4128, 42.3463, 42.2882, 42.2386, 42.1976, 42.165, 42.1408, 42.1249 ], "change": [ -0.1559, -0.158, -0.1596, -0.1605, -0.1608, -0.1605, -0.1595, -0.1579, -0.1558, -0.1529, -0.1495, -0.1456, -0.1409, -0.1357, -0.13, -0.1236, -0.1167, -0.1092, -0.1013, -0.0928, -0.0839, -0.0744, -0.0645, -0.0542, -0.0434, -0.0322, -0.0208, -0.0089, 0.0033, 0.0157, 0.0284, 0.0414, 0.0546, 0.068, 0.0814, 0.0951, 0.109, 0.1227, 0.1366, 0.1505, 0.1645 ], "classification": [ "limited movement" ], "parallelShift": -0.068, "rotation": 0.178, "wingChange": 0.023, "rmsChange": 0.116 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.91324394, "daysToExpiry": 333.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80724.99, "previous": 79697.81, "change": 1027.18, "percentChange": 1.29 }, "atmIv": { "current": 44.41, "previous": 44.63, "change": -0.22, "percentChange": -0.49 }, "rr25": { "current": -4.29, "previous": -4.43, "change": 0.14, "percentChange": 3.16 }, "bf25": { "current": 2.21, "previous": 2.13, "change": 0.08, "percentChange": 3.76 }, "svi": { "a": { "current": -0.2357, "previous": -0.2496, "change": 0.0139, "percentChange": 5.57 }, "b": { "current": 0.3126, "previous": 0.3041, "change": 0.0085, "percentChange": 2.8 }, "rho": { "current": -0.3134, "previous": -0.1964, "change": -0.117, "percentChange": -59.55 }, "m": { "current": -0.078, "previous": 0.1065, "change": -0.1844, "percentChange": -173.21 }, "sigma": { "current": 1.3725, "previous": 1.4176, "change": -0.0451, "percentChange": -3.18 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 49.1594, 48.9145, 48.6739, 48.4377, 48.206, 47.979, 47.7566, 47.539, 47.3263, 47.1186, 46.9158, 46.7182, 46.5257, 46.3385, 46.1566, 45.9801, 45.809, 45.6434, 45.4834, 45.329, 45.1803, 45.0373, 44.9, 44.7685, 44.6429, 44.523, 44.4091, 44.3011, 44.199, 44.1028, 44.0126, 43.9283, 43.8499, 43.7775, 43.7111, 43.6505, 43.5959, 43.5472, 43.5043, 43.4673, 43.436 ], "previous": [ 49.3554, 49.1191, 48.8865, 48.6576, 48.4326, 48.2115, 47.9945, 47.7817, 47.5731, 47.3687, 47.1688, 46.9734, 46.7826, 46.5964, 46.415, 46.2384, 46.0667, 45.9, 45.7384, 45.5818, 45.4305, 45.2844, 45.1437, 45.0084, 44.8784, 44.754, 44.6352, 44.5219, 44.4143, 44.3124, 44.2162, 44.1257, 44.041, 43.9622, 43.8891, 43.8219, 43.7606, 43.7051, 43.6555, 43.6117, 43.5738 ], "change": [ -0.196, -0.2046, -0.2126, -0.2199, -0.2266, -0.2325, -0.2379, -0.2427, -0.2468, -0.2501, -0.253, -0.2552, -0.2569, -0.2579, -0.2584, -0.2583, -0.2577, -0.2566, -0.255, -0.2528, -0.2502, -0.2471, -0.2437, -0.2399, -0.2355, -0.231, -0.2261, -0.2208, -0.2153, -0.2096, -0.2036, -0.1974, -0.1911, -0.1847, -0.178, -0.1714, -0.1647, -0.1579, -0.1512, -0.1444, -0.1378 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.236, "rotation": 0.049, "wingChange": 0.022, "rmsChange": 0.223 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "8MAY26", "value": 2.755, "score": 2.755, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": 1.16, "score": 1.16, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 0.77, "score": 0.77, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "1MAY26", "value": 0.2171, "score": 0.2171, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "15MAY26", "value": -0.1934, "score": 0.1934, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": 0.16, "score": 0.16, "unit": "volatility points" } ], "expiryEffects": [ { "label": "27APR26", "daysToExpiry": 0.334, "metric": "ATM IV change", "value": 12.64, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "28APR26", "daysToExpiry": 1.334, "metric": "ATM IV change", "value": 6.26, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "26MAR27", "expiry": 1806048000000, "value": 300.90792778, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "27APR26", "expiry": 1777276800000, "value": 0.000392668046, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "27APR26", "expiry": 1777276800000, "value": -606.66146263, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "26MAR27", "expiry": 1806048000000, "value": 0.00186378, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "26MAR27", "expiry": 1806048000000, "value": -30.50992981, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "27APR26", "values": [ 82.7975, 78.2929, 73.8369, 69.436, 65.0965, 60.8248, 56.6275, 52.5109, 48.4811, 44.5444, 40.707, 36.9757, 33.3583, 29.8653, 26.5119, 23.3225, 20.3379, 17.627, 15.3065, 13.5634, 12.65, 12.7754, 13.9403, 15.9488, 18.567, 21.618, 24.9871, 28.6035, 32.4224, 36.4142, 40.5577, 44.8368, 49.2381, 53.7499, 58.3618, 63.0635, 67.8459, 72.7, 77.6172, 82.5895, 87.6093 ] }, { "label": "28APR26", "values": [ 31.7186, 29.7665, 27.8358, 25.9312, 24.057, 22.2182, 20.4202, 18.6685, 16.9692, 15.329, 13.7557, 12.2583, 10.8483, 9.5411, 8.3577, 7.3277, 6.4935, 5.9104, 5.6435, 5.7479, 6.2377, 7.0641, 8.136, 9.3643, 10.6898, 12.082, 13.5281, 15.0228, 16.5636, 18.1487, 19.7762, 21.4437, 23.1485, 24.8875, 26.6575, 28.4553, 30.277, 32.1196, 33.9797, 35.8541, 37.7398 ] }, { "label": "29APR26", "values": [ 19.7253, 18.4052, 17.12, 15.8733, 14.6686, 13.5098, 12.4006, 11.3448, 10.346, 9.4084, 8.5355, 7.7317, 7.0016, 6.3507, 5.785, 5.3123, 4.9407, 4.6791, 4.5343, 4.5084, 4.597, 4.7888, 5.0691, 5.4239, 5.8426, 6.3178, 6.8448, 7.4202, 8.0413, 8.706, 9.4119, 10.1572, 10.9396, 11.757, 12.607, 13.4875, 14.3963, 15.3309, 16.2891, 17.2687, 18.2677 ] }, { "label": "1MAY26", "values": [ 12.6514, 11.7586, 10.8921, 10.0534, 9.2438, 8.4645, 7.7169, 7.0023, 6.3222, 5.6778, 5.0709, 4.5031, 3.9768, 3.4944, 3.0595, 2.676, 2.3488, 2.0831, 1.8844, 1.7575, 1.7053, 1.7282, 1.8227, 1.9824, 2.1984, 2.461, 2.7609, 3.0901, 3.4424, 3.8132, 4.1992, 4.5986, 5.0102, 5.4333, 5.8674, 6.3124, 6.7682, 7.2348, 7.7121, 8.1999, 8.698 ] }, { "label": "8MAY26", "values": [ 4.5449, 4.058, 3.5893, 3.1406, 2.7133, 2.3093, 1.9305, 1.5789, 1.2564, 0.9654, 0.7081, 0.4867, 0.3039, 0.1618, 0.0629, 0.009, 0.002, 0.0424, 0.1308, 0.266, 0.4458, 0.6667, 0.9236, 1.2103, 1.5197, 1.8445, 2.177, 2.5105, 2.839, 3.1577, 3.4632, 3.7532, 4.0263, 4.2825, 4.522, 4.7456, 4.9546, 5.1505, 5.3346, 5.5085, 5.6736 ] }, { "label": "15MAY26", "values": [ 2.4315, 2.1061, 1.7949, 1.499, 1.2192, 0.9567, 0.7125, 0.488, 0.284, 0.1019, -0.0573, -0.1924, -0.3026, -0.3867, -0.4441, -0.474, -0.4762, -0.4505, -0.3972, -0.3171, -0.2111, -0.0808, 0.0715, 0.2434, 0.4321, 0.6342, 0.8463, 1.0652, 1.2873, 1.5096, 1.7292, 1.9436, 2.1508, 2.3494, 2.5382, 2.7167, 2.8844, 3.0413, 3.1877, 3.3242, 3.4513 ] }, { "label": "29MAY26", "values": [ -0.2153, -0.2611, -0.305, -0.3467, -0.3858, -0.4222, -0.4554, -0.4851, -0.511, -0.5325, -0.5496, -0.5616, -0.5682, -0.5691, -0.5637, -0.5519, -0.5332, -0.5074, -0.4742, -0.4335, -0.3852, -0.3292, -0.2657, -0.1947, -0.1167, -0.0318, 0.0594, 0.1565, 0.259, 0.3662, 0.4775, 0.5922, 0.7098, 0.8297, 0.9511, 1.0736, 1.1967, 1.3199, 1.4427, 1.5649, 1.6861 ] }, { "label": "26JUN26", "values": [ -0.5037, -0.5035, -0.5024, -0.5005, -0.4977, -0.4939, -0.4891, -0.4835, -0.4768, -0.469, -0.4603, -0.4505, -0.4397, -0.4278, -0.4148, -0.4009, -0.3859, -0.37, -0.353, -0.3352, -0.3165, -0.2971, -0.277, -0.2562, -0.2348, -0.2131, -0.191, -0.1686, -0.1461, -0.1236, -0.1011, -0.079, -0.0571, -0.0355, -0.0145, 0.0059, 0.0257, 0.0447, 0.0631, 0.0806, 0.0973 ] }, { "label": "31JUL26", "values": [ -0.143, -0.1385, -0.1333, -0.1276, -0.1212, -0.1142, -0.1065, -0.098, -0.0891, -0.0793, -0.069, -0.0579, -0.0462, -0.0338, -0.0208, -0.0072, 0.007, 0.0219, 0.0372, 0.0531, 0.0695, 0.0863, 0.1034, 0.1209, 0.1388, 0.1569, 0.1752, 0.1936, 0.212, 0.2305, 0.249, 0.2673, 0.2854, 0.3034, 0.3209, 0.3382, 0.355, 0.3714, 0.3872, 0.4025, 0.4172 ] }, { "label": "25SEP26", "values": [ -0.1206, -0.1218, -0.1225, -0.1227, -0.1223, -0.1215, -0.1201, -0.1181, -0.1155, -0.1124, -0.1088, -0.1046, -0.0998, -0.0945, -0.0886, -0.0821, -0.0751, -0.0675, -0.0595, -0.0508, -0.0417, -0.0321, -0.022, -0.0115, -0.0006, 0.0108, 0.0226, 0.0347, 0.0472, 0.0599, 0.0729, 0.0861, 0.0995, 0.1131, 0.1269, 0.1407, 0.1545, 0.1685, 0.1824, 0.1962, 0.21 ] }, { "label": "25DEC26", "values": [ -0.1559, -0.158, -0.1596, -0.1605, -0.1608, -0.1605, -0.1595, -0.1579, -0.1558, -0.1529, -0.1495, -0.1456, -0.1409, -0.1357, -0.13, -0.1236, -0.1167, -0.1092, -0.1013, -0.0928, -0.0839, -0.0744, -0.0645, -0.0542, -0.0434, -0.0322, -0.0208, -0.0089, 0.0033, 0.0157, 0.0284, 0.0414, 0.0546, 0.068, 0.0814, 0.0951, 0.109, 0.1227, 0.1366, 0.1505, 0.1645 ] }, { "label": "26MAR27", "values": [ -0.196, -0.2046, -0.2126, -0.2199, -0.2266, -0.2325, -0.2379, -0.2427, -0.2468, -0.2501, -0.253, -0.2552, -0.2569, -0.2579, -0.2584, -0.2583, -0.2577, -0.2566, -0.255, -0.2528, -0.2502, -0.2471, -0.2437, -0.2399, -0.2355, -0.231, -0.2261, -0.2208, -0.2153, -0.2096, -0.2036, -0.1974, -0.1911, -0.1847, -0.178, -0.1714, -0.1647, -0.1579, -0.1512, -0.1444, -0.1378 ] } ] } }