{ "schemaVersion": 2, "reportDate": "2026-05-08", "generatedAt": "2026-07-25T18:42:32+00:00", "currentSnapshotAt": "2026-05-08T23:59:00+00:00", "previousSnapshotAt": "2026-05-07T23:59:00+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": 0.24102668, "previousObjective": 0.22568803, "currentLiveError": 210.86469646, "previousLiveError": 236.89417075 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "12MAY26" ], "removedExpiries": [ "8MAY26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1W ATM IV falls 2.08 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -0.92 volatility points, RR25 +0.01 volatility points and BF25 -0.05 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.71 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.03 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.01 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.05 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 -2.08 volatility points at 1W.", "tenor": "1W", "value": -2.08 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": null, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.71 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.03 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.01 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.05 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 -2.08 volatility points at 1W.", "tenor": "1W", "value": -2.08 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": -0.92, "rr25Change": 0.01, "bf25Change": -0.05 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1778889542642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.07, "previous": 34.15, "change": -2.08, "percentChange": -6.09 }, "rr25": { "current": -1.6, "previous": -2.06, "change": 0.46, "percentChange": 22.33 }, "bf25": { "current": 1.46, "previous": 1.88, "change": -0.42, "percentChange": -22.34 } }, { "tenor": "2W", "targetExpiry": 1779494342642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.75, "previous": 35.51, "change": -1.76, "percentChange": -4.96 }, "rr25": { "current": -3.14, "previous": -3.28, "change": 0.14, "percentChange": 4.27 }, "bf25": { "current": 1.48, "previous": 1.78, "change": -0.3, "percentChange": -16.85 } }, { "tenor": "1M", "targetExpiry": 1780876742642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.77, "previous": 37.05, "change": -1.28, "percentChange": -3.45 }, "rr25": { "current": -3.59, "previous": -3.88, "change": 0.29, "percentChange": 7.47 }, "bf25": { "current": 1.89, "previous": 1.92, "change": -0.03, "percentChange": -1.56 } }, { "tenor": "3M", "targetExpiry": 1786147142642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.96, "previous": 39.33, "change": -0.37, "percentChange": -0.94 }, "rr25": { "current": -4.25, "previous": -3.98, "change": -0.27, "percentChange": -6.78 }, "bf25": { "current": 2.11, "previous": 2.02, "change": 0.09, "percentChange": 4.46 } }, { "tenor": "6M", "targetExpiry": 1794009542642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.14, "previous": 42.21, "change": -0.07, "percentChange": -0.17 }, "rr25": { "current": -4.33, "previous": -3.9, "change": -0.43, "percentChange": -11.03 }, "bf25": { "current": 2.43, "previous": 2.38, "change": 0.05, "percentChange": 2.1 } }, { "tenor": "9M", "targetExpiry": 1801871942642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.88, "previous": 43.84, "change": 0.04, "percentChange": 0.09 }, "rr25": { "current": -4.04, "previous": -3.69, "change": -0.35, "percentChange": -9.49 }, "bf25": { "current": 2.54, "previous": 2.39, "change": 0.15, "percentChange": 6.28 } }, { "tenor": "1Y", "targetExpiry": 1809820742642, "availability": "available", "unavailableReason": null, "atmIv": { "current": 44.6, "previous": 44.58, "change": 0.02, "percentChange": 0.04 }, "rr25": { "current": -3.76, "previous": -3.61, "change": -0.15, "percentChange": -4.16 }, "bf25": { "current": 2.62, "previous": 2.31, "change": 0.31, "percentChange": 13.42 } } ], "listedExpiries": [ { "label": "9MAY26", "expiry": 1778313600000, "tauYears": 0.0010293, "daysToExpiry": 0.376, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 80185.72, "previous": 80015.97, "change": 169.75, "percentChange": 0.21 }, "atmIv": { "current": 18.4, "previous": 31.68, "change": -13.28, "percentChange": -41.92 }, "rr25": { "current": 2.83, "previous": -0.26, "change": 3.09, "percentChange": 1188.46 }, "bf25": { "current": 0.89, "previous": 1.46, "change": -0.57, "percentChange": -39.04 }, "svi": { "a": { "current": -0.0096, "previous": -0.0397, "change": 0.0301, "percentChange": 75.88 }, "b": { "current": 0.0418, "previous": 0.0887, "change": -0.047, "percentChange": -52.91 }, "rho": { "current": 0.1004, "previous": -0.0201, "change": 0.1204, "percentChange": 600.5 }, "m": { "current": 0.0161, "previous": -0.0078, "change": 0.0239, "percentChange": 307.87 }, "sigma": { "current": 0.2311, "previous": 0.4517, "change": -0.2207, "percentChange": -48.85 } }, "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": [ 230.3153, 220.866, 211.2055, 201.3252, 191.2168, 180.8725, 170.2848, 159.4472, 148.3546, 137.004, 125.3951, 113.532, 101.4245, 89.0914, 76.5659, 63.9067, 51.2248, 38.7619, 27.1656, 18.601, 18.3983, 26.8901, 38.7631, 51.7193, 65.0621, 78.5228, 91.9677, 105.3173, 118.5189, 131.5356, 144.3415, 156.9186, 169.2552, 181.3445, 193.1836, 204.7726, 216.1139, 227.2117, 238.0715, 248.6997, 259.1035 ], "previous": [ 152.9769, 146.2423, 139.4509, 132.6068, 125.7147, 118.7808, 111.8128, 104.8201, 97.8149, 90.8125, 83.8327, 76.9016, 70.0546, 63.34, 56.8264, 50.6128, 44.8452, 39.7372, 35.5905, 32.7841, 31.6824, 32.4594, 34.9842, 38.9081, 43.8436, 49.4735, 55.5704, 61.9791, 68.5944, 75.344, 82.1771, 89.0572, 95.9575, 102.8578, 109.7426, 116.6, 123.4205, 130.1969, 136.9231, 143.5946, 150.2078 ], "change": [ 77.3384, 74.6237, 71.7546, 68.7184, 65.5021, 62.0917, 58.472, 54.6271, 50.5397, 46.1915, 41.5624, 36.6304, 31.3699, 25.7514, 19.7395, 13.2939, 6.3796, -0.9753, -8.4249, -14.1831, -13.2841, -5.5693, 3.7789, 12.8112, 21.2185, 29.0493, 36.3973, 43.3382, 49.9245, 56.1916, 62.1644, 67.8614, 73.2977, 78.4867, 83.441, 88.1726, 92.6934, 97.0148, 101.1484, 105.1051, 108.8957 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 30.148, "rotation": 20.602, "wingChange": 65.148, "rmsChange": 58.989 } }, { "label": "10MAY26", "expiry": 1778400000000, "tauYears": 0.00376903, "daysToExpiry": 1.376, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 80203.31, "previous": 80027.19, "change": 176.12, "percentChange": 0.22 }, "atmIv": { "current": 17.05, "previous": 27.11, "change": -10.06, "percentChange": -37.11 }, "rr25": { "current": 0.07, "previous": -0.47, "change": 0.54, "percentChange": 114.89 }, "bf25": { "current": 1.31, "previous": 1.45, "change": -0.14, "percentChange": -9.66 }, "svi": { "a": { "current": -0.0085, "previous": -0.0401, "change": 0.0316, "percentChange": 78.84 }, "b": { "current": 0.0522, "previous": 0.0958, "change": -0.0435, "percentChange": -45.46 }, "rho": { "current": 0.0027, "previous": -0.0335, "change": 0.0361, "percentChange": 107.98 }, "m": { "current": 0.0003, "previous": -0.0116, "change": 0.0119, "percentChange": 102.54 }, "sigma": { "current": 0.1644, "previous": 0.4235, "change": -0.2591, "percentChange": -61.18 } }, "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": [ 157.6161, 151.7754, 145.7819, 139.6266, 133.3004, 126.7934, 120.0961, 113.1988, 106.0924, 98.7692, 91.2235, 83.4534, 75.4629, 67.2653, 58.8892, 50.3886, 41.8642, 33.512, 25.7538, 19.5851, 17.0521, 19.6789, 25.8999, 33.6868, 42.0597, 50.6027, 59.1214, 67.5157, 75.7318, 83.741, 91.5297, 99.094, 106.4355, 113.5598, 120.4748, 127.1894, 133.7132, 140.0559, 146.2273, 152.2365, 158.0925 ], "previous": [ 124.6023, 119.201, 113.7508, 108.2548, 102.7171, 97.143, 91.5391, 85.9134, 80.2765, 74.6415, 69.0254, 63.4507, 57.9472, 52.5557, 47.3328, 42.3594, 37.7517, 33.676, 30.3606, 28.0852, 27.117, 27.5923, 29.435, 32.4024, 36.206, 40.5966, 45.3885, 50.4508, 55.6934, 61.0533, 66.4861, 71.9596, 77.4501, 82.94, 88.4156, 93.8667, 99.2851, 104.6646, 110.0002, 115.2882, 120.5256 ], "change": [ 33.0138, 32.5744, 32.0311, 31.3718, 30.5833, 29.6504, 28.557, 27.2854, 25.8159, 24.1277, 22.1981, 20.0027, 17.5157, 14.7096, 11.5564, 8.0292, 4.1125, -0.164, -4.6068, -8.5001, -10.0649, -7.9134, -3.5351, 1.2844, 5.8537, 10.0061, 13.7329, 17.0649, 20.0384, 22.6877, 25.0436, 27.1344, 28.9854, 30.6198, 32.0592, 33.3227, 34.4281, 35.3913, 36.2271, 36.9483, 37.5669 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 12.392, "rotation": 2.846, "wingChange": 33.686, "rmsChange": 24.206 } }, { "label": "11MAY26", "expiry": 1778486400000, "tauYears": 0.00650878, "daysToExpiry": 2.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80212.08, "previous": 80037.54, "change": 174.54, "percentChange": 0.22 }, "atmIv": { "current": 22.36, "previous": 28.19, "change": -5.83, "percentChange": -20.68 }, "rr25": { "current": -0.18, "previous": -1.06, "change": 0.88, "percentChange": 83.02 }, "bf25": { "current": 1.44, "previous": 1.56, "change": -0.12, "percentChange": -7.69 }, "svi": { "a": { "current": -0.0145, "previous": -0.0534, "change": 0.0389, "percentChange": 72.9 }, "b": { "current": 0.0635, "previous": 0.1126, "change": -0.049, "percentChange": -43.55 }, "rho": { "current": 0.0567, "previous": -0.0613, "change": 0.118, "percentChange": 192.56 }, "m": { "current": 0.0142, "previous": -0.0231, "change": 0.0374, "percentChange": 161.44 }, "sigma": { "current": 0.2332, "previous": 0.4818, "change": -0.2485, "percentChange": -51.59 } }, "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": [ 119.2891, 114.6619, 109.9396, 105.1196, 100.1999, 95.179, 90.0562, 84.8323, 79.5097, 74.0934, 68.5919, 63.0189, 57.3953, 51.7533, 46.1418, 40.6374, 35.3616, 30.5113, 26.4033, 23.5069, 22.3592, 23.2564, 25.9974, 30.0718, 34.9922, 40.4167, 46.1287, 51.9921, 57.9198, 63.8542, 69.7565, 75.6002, 81.3671, 87.0451, 92.6263, 98.1058, 103.4812, 108.7517, 113.9178, 118.9808, 123.9427 ], "previous": [ 109.9915, 105.2748, 100.531, 95.764, 90.9787, 86.1809, 81.3776, 76.5776, 71.7915, 67.0328, 62.3183, 57.6697, 53.1149, 48.6911, 44.4476, 40.4509, 36.7901, 33.5827, 30.9748, 29.1309, 28.201, 28.2723, 29.3318, 31.2713, 33.9307, 37.145, 40.772, 44.6995, 48.8434, 53.1413, 57.5471, 62.0267, 66.5543, 71.1101, 75.6792, 80.2496, 84.8122, 89.3594, 93.8856, 98.3859, 102.8566 ], "change": [ 9.2976, 9.3871, 9.4086, 9.3556, 9.2212, 8.9981, 8.6786, 8.2547, 7.7182, 7.0606, 6.2736, 5.3492, 4.2804, 3.0622, 1.6942, 0.1865, -1.4285, -3.0714, -4.5715, -5.624, -5.8418, -5.0159, -3.3344, -1.1995, 1.0615, 3.2717, 5.3567, 7.2926, 9.0764, 10.7129, 12.2094, 13.5735, 14.8128, 15.935, 16.9471, 17.8562, 18.669, 19.3923, 20.0322, 20.5949, 21.0861 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 4.214, "rotation": 5.936, "wingChange": 15.083, "rmsChange": 10.709 } }, { "label": "15MAY26", "expiry": 1778832000000, "tauYears": 0.01746766, "daysToExpiry": 6.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80220.7, "previous": 80050.49, "change": 170.21, "percentChange": 0.21 }, "atmIv": { "current": 31.74, "previous": 34.37, "change": -2.63, "percentChange": -7.65 }, "rr25": { "current": -1.27, "previous": -2.1, "change": 0.83, "percentChange": 39.52 }, "bf25": { "current": 1.45, "previous": 1.9, "change": -0.45, "percentChange": -23.68 }, "svi": { "a": { "current": -0.071, "previous": -0.068, "change": -0.0031, "percentChange": -4.52 }, "b": { "current": 0.1195, "previous": 0.1288, "change": -0.0092, "percentChange": -7.18 }, "rho": { "current": 0.0818, "previous": 0.062, "change": 0.0198, "percentChange": 31.84 }, "m": { "current": 0.0634, "previous": 0.0533, "change": 0.0101, "percentChange": 18.97 }, "sigma": { "current": 0.6109, "previous": 0.547, "change": 0.0639, "percentChange": 11.69 } }, "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": [ 77.0848, 74.2252, 71.3668, 68.5135, 65.67, 62.8419, 60.0358, 57.2595, 54.5224, 51.8356, 49.2126, 46.6694, 44.2251, 41.9027, 39.7288, 37.7348, 35.9558, 34.4305, 33.1986, 32.2982, 31.7615, 31.6101, 31.8523, 32.4811, 33.4759, 34.8058, 36.434, 38.3217, 40.4313, 42.7282, 45.1818, 47.7656, 50.4568, 53.2364, 56.0881, 58.9983, 61.9556, 64.9502, 67.9739, 71.0197, 74.0816 ], "previous": [ 80.6294, 77.7631, 74.8955, 72.0304, 69.1726, 66.3277, 63.5023, 60.7042, 57.9428, 55.229, 52.576, 49.9993, 47.5175, 45.1523, 42.929, 40.8771, 39.0294, 37.4218, 36.0919, 35.0759, 34.4058, 34.1056, 34.1874, 34.6504, 35.4806, 36.6529, 38.1352, 39.8915, 41.8852, 44.0816, 46.449, 48.9591, 51.5874, 54.313, 57.1179, 59.9868, 62.9068, 65.867, 68.8581, 71.872, 74.902 ], "change": [ -3.5446, -3.5379, -3.5287, -3.5169, -3.5026, -3.4858, -3.4665, -3.4447, -3.4204, -3.3934, -3.3634, -3.3299, -3.2924, -3.2496, -3.2002, -3.1423, -3.0736, -2.9913, -2.8933, -2.7777, -2.6443, -2.4955, -2.3351, -2.1693, -2.0047, -1.8471, -1.7012, -1.5698, -1.4539, -1.3534, -1.2672, -1.1935, -1.1306, -1.0766, -1.0298, -0.9885, -0.9512, -0.9168, -0.8842, -0.8523, -0.8204 ], "classification": [ "rotation towards calls" ], "parallelShift": -2.425, "rotation": 2.096, "wingChange": 0.329, "rmsChange": 2.573 } }, { "label": "22MAY26", "expiry": 1779436800000, "tauYears": 0.0366458, "daysToExpiry": 13.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80223.43, "previous": 80067.1, "change": 156.33, "percentChange": 0.2 }, "atmIv": { "current": 33.64, "previous": 35.54, "change": -1.9, "percentChange": -5.35 }, "rr25": { "current": -3.14, "previous": -3.31, "change": 0.17, "percentChange": 5.14 }, "bf25": { "current": 1.46, "previous": 1.77, "change": -0.31, "percentChange": -17.51 }, "svi": { "a": { "current": -0.0809, "previous": -0.0876, "change": 0.0068, "percentChange": 7.71 }, "b": { "current": 0.1279, "previous": 0.1437, "change": -0.0158, "percentChange": -10.98 }, "rho": { "current": 0.1419, "previous": 0.1437, "change": -0.0018, "percentChange": -1.26 }, "m": { "current": 0.1458, "previous": 0.1416, "change": 0.0042, "percentChange": 2.99 }, "sigma": { "current": 0.6701, "previous": 0.6499, "change": 0.0202, "percentChange": 3.11 } }, "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": [ 61.6989, 59.954, 58.2167, 56.4896, 54.7757, 53.0783, 51.4012, 49.7486, 48.1256, 46.5375, 44.9907, 43.492, 42.0492, 40.6709, 39.3668, 38.1471, 37.0229, 36.0058, 35.108, 34.3413, 33.7173, 33.2463, 32.9371, 32.7964, 32.8281, 33.0332, 33.41, 33.9538, 34.6575, 35.5122, 36.5075, 37.6324, 38.8755, 40.2253, 41.671, 43.2021, 44.809, 46.4828, 48.2154, 49.9993, 51.8279 ], "previous": [ 64.0554, 62.2671, 60.487, 58.7181, 56.9633, 55.2264, 53.5112, 51.8225, 50.1652, 48.5454, 46.9694, 45.4446, 43.9792, 42.5821, 41.2632, 40.0332, 38.9033, 37.8856, 36.992, 36.2346, 35.6247, 35.1726, 34.8865, 34.7729, 34.8353, 35.0743, 35.4877, 36.0707, 36.816, 37.7144, 38.7557, 39.9285, 41.2214, 42.623, 44.1222, 45.7086, 47.3723, 49.1044, 50.8964, 52.741, 54.6311 ], "change": [ -2.3565, -2.3131, -2.2703, -2.2285, -2.1876, -2.1481, -2.11, -2.0739, -2.0396, -2.0079, -1.9787, -1.9526, -1.93, -1.9112, -1.8964, -1.8861, -1.8804, -1.8798, -1.884, -1.8933, -1.9074, -1.9263, -1.9494, -1.9765, -2.0072, -2.0411, -2.0777, -2.1169, -2.1585, -2.2022, -2.2482, -2.2961, -2.3459, -2.3977, -2.4512, -2.5065, -2.5633, -2.6216, -2.681, -2.7417, -2.8032 ], "classification": [ "parallel shift lower" ], "parallelShift": -2.045, "rotation": -0.269, "wingChange": -0.206, "rmsChange": 2.182 } }, { "label": "29MAY26", "expiry": 1780041600000, "tauYears": 0.05582385, "daysToExpiry": 20.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80276.3, "previous": 80104.17, "change": 172.13, "percentChange": 0.21 }, "atmIv": { "current": 34.48, "previous": 36.05, "change": -1.57, "percentChange": -4.36 }, "rr25": { "current": -3.2, "previous": -3.58, "change": 0.38, "percentChange": 10.61 }, "bf25": { "current": 1.6, "previous": 1.74, "change": -0.14, "percentChange": -8.05 }, "svi": { "a": { "current": -0.1277, "previous": -0.0947, "change": -0.033, "percentChange": -34.87 }, "b": { "current": 0.1641, "previous": 0.1529, "change": 0.0112, "percentChange": 7.32 }, "rho": { "current": 0.0814, "previous": 0.1955, "change": -0.114, "percentChange": -58.34 }, "m": { "current": 0.1257, "previous": 0.1999, "change": -0.0742, "percentChange": -37.12 }, "sigma": { "current": 0.8194, "previous": 0.6794, "change": 0.14, "percentChange": 20.61 } }, "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": [ 57.0259, 55.5646, 54.1171, 52.6858, 51.2732, 49.8823, 48.5161, 47.1781, 45.8722, 44.6025, 43.3735, 42.1902, 41.0579, 39.9822, 38.9693, 38.0255, 37.1573, 36.3713, 35.6743, 35.0727, 34.5725, 34.1792, 33.8974, 33.7307, 33.6814, 33.7507, 33.9383, 34.2425, 34.6607, 35.1886, 35.8216, 36.554, 37.3798, 38.2926, 39.2858, 40.3532, 41.4882, 42.685, 43.9378, 45.2411, 46.5899 ], "previous": [ 57.5605, 56.2107, 54.8702, 53.5412, 52.226, 50.9271, 49.6474, 48.3901, 47.1586, 45.9568, 44.789, 43.6596, 42.5737, 41.5367, 40.5544, 39.6327, 38.7783, 37.9975, 37.2973, 36.6841, 36.1644, 35.7444, 35.4293, 35.2239, 35.1317, 35.1553, 35.2958, 35.5531, 35.9259, 36.4116, 37.0065, 37.7062, 38.5053, 39.3981, 40.3785, 41.4403, 42.5773, 43.7831, 45.0519, 46.378, 47.7559 ], "change": [ -0.5346, -0.6461, -0.7531, -0.8554, -0.9528, -1.0448, -1.1313, -1.212, -1.2864, -1.3543, -1.4155, -1.4694, -1.5158, -1.5545, -1.5851, -1.6072, -1.621, -1.6262, -1.623, -1.6114, -1.5919, -1.5652, -1.5319, -1.4932, -1.4503, -1.4046, -1.3575, -1.3106, -1.2652, -1.223, -1.1849, -1.1522, -1.1255, -1.1055, -1.0927, -1.0871, -1.0891, -1.0981, -1.1141, -1.1369, -1.166 ], "classification": [ "parallel shift lower" ], "parallelShift": -1.397, "rotation": 0.231, "wingChange": 0.292, "rmsChange": 1.296 } }, { "label": "26JUN26", "expiry": 1782460800000, "tauYears": 0.13253621, "daysToExpiry": 48.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80377.42, "previous": 80189.7, "change": 187.72, "percentChange": 0.23 }, "atmIv": { "current": 36.78, "previous": 37.99, "change": -1.21, "percentChange": -3.19 }, "rr25": { "current": -3.9, "previous": -4.16, "change": 0.26, "percentChange": 6.25 }, "bf25": { "current": 2.1, "previous": 2.1, "change": 0.0, "percentChange": 0.0 }, "svi": { "a": { "current": -0.2042, "previous": -0.2363, "change": 0.0321, "percentChange": 13.58 }, "b": { "current": 0.2299, "previous": 0.2422, "change": -0.0123, "percentChange": -5.09 }, "rho": { "current": -0.0992, "previous": -0.0591, "change": -0.04, "percentChange": -67.7 }, "m": { "current": -0.0017, "previous": 0.0429, "change": -0.0446, "percentChange": -103.87 }, "sigma": { "current": 0.9671, "previous": 1.0535, "change": -0.0863, "percentChange": -8.19 } }, "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": [ 51.6057, 50.6203, 49.6512, 48.6999, 47.7679, 46.8568, 45.9683, 45.1041, 44.266, 43.4558, 42.6757, 41.9275, 41.2133, 40.5353, 39.8955, 39.296, 38.7388, 38.2261, 37.7597, 37.3415, 36.9732, 36.6562, 36.392, 36.1815, 36.0256, 35.925, 35.8798, 35.8901, 35.9555, 36.0755, 36.2491, 36.4753, 36.7527, 37.0797, 37.4546, 37.8755, 38.3403, 38.8471, 39.3936, 39.9776, 40.5971 ], "previous": [ 52.3173, 51.3774, 50.4531, 49.5456, 48.6561, 47.7862, 46.9374, 46.111, 45.3088, 44.5324, 43.7835, 43.0638, 42.3753, 41.7197, 41.0989, 40.5147, 39.969, 39.4635, 39.0001, 38.5805, 38.2061, 37.8784, 37.5987, 37.3682, 37.1878, 37.0581, 36.9797, 36.9529, 36.9775, 37.0534, 37.18, 37.3567, 37.5825, 37.8563, 38.1768, 38.5424, 38.9517, 39.4029, 39.8942, 40.4237, 40.9897 ], "change": [ -0.7116, -0.7571, -0.8019, -0.8457, -0.8882, -0.9294, -0.9691, -1.0069, -1.0428, -1.0766, -1.1078, -1.1363, -1.162, -1.1844, -1.2034, -1.2187, -1.2302, -1.2374, -1.2404, -1.239, -1.2329, -1.2222, -1.2067, -1.1867, -1.1622, -1.1331, -1.0999, -1.0628, -1.022, -0.9779, -0.9309, -0.8814, -0.8298, -0.7766, -0.7222, -0.6669, -0.6114, -0.5558, -0.5006, -0.4461, -0.3926 ], "classification": [ "parallel shift lower" ], "parallelShift": -1.091, "rotation": 0.177, "wingChange": 0.214, "rmsChange": 0.996 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.22842656, "daysToExpiry": 83.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80553.72, "previous": 80370.53, "change": 183.19, "percentChange": 0.23 }, "atmIv": { "current": 38.6, "previous": 39.03, "change": -0.43, "percentChange": -1.1 }, "rr25": { "current": -4.2, "previous": -3.96, "change": -0.24, "percentChange": -6.06 }, "bf25": { "current": 2.04, "previous": 1.96, "change": 0.08, "percentChange": 4.08 }, "svi": { "a": { "current": -0.2092, "previous": -0.2465, "change": 0.0373, "percentChange": 15.14 }, "b": { "current": 0.232, "previous": 0.2443, "change": -0.0123, "percentChange": -5.01 }, "rho": { "current": -0.0902, "previous": -0.0503, "change": -0.0399, "percentChange": -79.37 }, "m": { "current": 0.0535, "previous": 0.0897, "change": -0.0362, "percentChange": -40.36 }, "sigma": { "current": 1.0442, "previous": 1.1471, "change": -0.1029, "percentChange": -8.97 } }, "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": [ 48.6346, 47.9965, 47.3698, 46.755, 46.1529, 45.5644, 44.9901, 44.4308, 43.8873, 43.3605, 42.8512, 42.3602, 41.8883, 41.4364, 41.0053, 40.5959, 40.2089, 39.8451, 39.5054, 39.1903, 38.9007, 38.6371, 38.4002, 38.1904, 38.0082, 37.8541, 37.7284, 37.6313, 37.563, 37.5235, 37.5129, 37.5312, 37.578, 37.6532, 37.7565, 37.8875, 38.0457, 38.2305, 38.4414, 38.6777, 38.9387 ], "previous": [ 48.4635, 47.8603, 47.2684, 46.6882, 46.1204, 45.5658, 45.025, 44.4988, 43.9878, 43.4928, 43.0145, 42.5537, 42.1111, 41.6876, 41.2837, 40.9003, 40.5381, 40.1978, 39.88, 39.5855, 39.3149, 39.0686, 38.8473, 38.6515, 38.4816, 38.338, 38.2209, 38.1307, 38.0675, 38.0314, 38.0226, 38.0408, 38.0862, 38.1584, 38.2572, 38.3824, 38.5335, 38.7101, 38.9118, 39.138, 39.3882 ], "change": [ 0.1711, 0.1362, 0.1014, 0.0668, 0.0325, -0.0014, -0.0349, -0.068, -0.1005, -0.1323, -0.1633, -0.1935, -0.2228, -0.2512, -0.2784, -0.3044, -0.3292, -0.3527, -0.3746, -0.3952, -0.4142, -0.4315, -0.4471, -0.4611, -0.4734, -0.4839, -0.4925, -0.4994, -0.5045, -0.5079, -0.5097, -0.5096, -0.5082, -0.5052, -0.5007, -0.4949, -0.4878, -0.4796, -0.4704, -0.4603, -0.4495 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.362, "rotation": -0.346, "wingChange": 0.078, "rmsChange": 0.377 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.38185122, "daysToExpiry": 139.376, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80912.03, "previous": 80761.7, "change": 150.33, "percentChange": 0.19 }, "atmIv": { "current": 40.31, "previous": 40.65, "change": -0.34, "percentChange": -0.84 }, "rr25": { "current": -4.42, "previous": -4.1, "change": -0.32, "percentChange": -7.8 }, "bf25": { "current": 2.36, "previous": 2.26, "change": 0.1, "percentChange": 4.42 }, "svi": { "a": { "current": -0.2499, "previous": -0.2416, "change": -0.0083, "percentChange": -3.44 }, "b": { "current": 0.279, "previous": 0.2699, "change": 0.0091, "percentChange": 3.38 }, "rho": { "current": -0.0887, "previous": -0.067, "change": -0.0217, "percentChange": -32.3 }, "m": { "current": 0.0905, "previous": 0.111, "change": -0.0205, "percentChange": -18.5 }, "sigma": { "current": 1.1113, "previous": 1.1224, "change": -0.0112, "percentChange": -1.0 } }, "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": [ 48.1136, 47.6391, 47.1732, 46.7162, 46.2687, 45.831, 45.4036, 44.9869, 44.5814, 44.1875, 43.8058, 43.4365, 43.0803, 42.7375, 42.4087, 42.0941, 41.7943, 41.5097, 41.2407, 40.9877, 40.7509, 40.5309, 40.3279, 40.1422, 39.9742, 39.8239, 39.6918, 39.5779, 39.4824, 39.4054, 39.347, 39.3073, 39.2863, 39.2839, 39.3, 39.3347, 39.3877, 39.4589, 39.548, 39.6549, 39.7793 ], "previous": [ 47.9653, 47.5183, 47.0796, 46.6495, 46.2285, 45.817, 45.4154, 45.0242, 44.6436, 44.2742, 43.9163, 43.5704, 43.237, 42.9163, 42.6089, 42.3151, 42.0353, 41.7699, 41.5193, 41.2839, 41.0639, 40.8596, 40.6715, 40.4997, 40.3446, 40.2063, 40.0851, 39.981, 39.8944, 39.8252, 39.7736, 39.7396, 39.7232, 39.7245, 39.7433, 39.7795, 39.8332, 39.904, 39.9919, 40.0967, 40.218 ], "change": [ 0.1483, 0.1208, 0.0936, 0.0667, 0.0402, 0.014, -0.0118, -0.0373, -0.0622, -0.0867, -0.1105, -0.1339, -0.1567, -0.1788, -0.2002, -0.221, -0.241, -0.2602, -0.2786, -0.2962, -0.313, -0.3287, -0.3436, -0.3575, -0.3704, -0.3824, -0.3933, -0.4031, -0.412, -0.4198, -0.4266, -0.4323, -0.4369, -0.4406, -0.4433, -0.4448, -0.4455, -0.4451, -0.4439, -0.4418, -0.4387 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.283, "rotation": -0.316, "wingChange": 0.044, "rmsChange": 0.315 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.63105213, "daysToExpiry": 230.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81624.48, "previous": 81517.68, "change": 106.8, "percentChange": 0.13 }, "atmIv": { "current": 43.35, "previous": 43.3, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": -4.27, "previous": -3.76, "change": -0.51, "percentChange": -13.56 }, "bf25": { "current": 2.47, "previous": 2.46, "change": 0.01, "percentChange": 0.41 }, "svi": { "a": { "current": -0.2023, "previous": -0.2435, "change": 0.0413, "percentChange": 16.94 }, "b": { "current": 0.2834, "previous": 0.3012, "change": -0.0178, "percentChange": -5.92 }, "rho": { "current": -0.1024, "previous": -0.1553, "change": 0.0528, "percentChange": 34.02 }, "m": { "current": 0.1428, "previous": 0.0476, "change": 0.0952, "percentChange": 200.27 }, "sigma": { "current": 1.1207, "previous": 1.2049, "change": -0.0842, "percentChange": -6.99 } }, "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": [ 49.0859, 48.7661, 48.4519, 48.1433, 47.8406, 47.5441, 47.2538, 46.9701, 46.6932, 46.4232, 46.1603, 45.9049, 45.6571, 45.4171, 45.185, 44.9612, 44.7459, 44.5391, 44.3411, 44.152, 43.9722, 43.8016, 43.6405, 43.489, 43.3472, 43.2153, 43.0935, 42.9817, 42.8802, 42.7889, 42.708, 42.6375, 42.5775, 42.528, 42.4889, 42.4605, 42.4425, 42.435, 42.438, 42.4514, 42.4752 ], "previous": [ 48.7173, 48.404, 48.0969, 47.7962, 47.5022, 47.215, 46.9348, 46.6618, 46.3962, 46.1382, 45.8879, 45.6457, 45.4116, 45.1858, 44.9686, 44.76, 44.5602, 44.3694, 44.1878, 44.0154, 43.8524, 43.6989, 43.5551, 43.421, 43.2968, 43.1825, 43.0781, 42.9838, 42.8996, 42.8256, 42.7617, 42.708, 42.6645, 42.6311, 42.608, 42.5949, 42.592, 42.599, 42.6161, 42.643, 42.6797 ], "change": [ 0.3686, 0.3621, 0.355, 0.3471, 0.3384, 0.3291, 0.319, 0.3083, 0.297, 0.285, 0.2724, 0.2592, 0.2455, 0.2313, 0.2164, 0.2012, 0.1857, 0.1697, 0.1533, 0.1366, 0.1198, 0.1027, 0.0854, 0.068, 0.0504, 0.0328, 0.0154, -0.0021, -0.0194, -0.0367, -0.0537, -0.0705, -0.087, -0.1031, -0.1191, -0.1344, -0.1495, -0.164, -0.1781, -0.1916, -0.2045 ], "classification": [ "limited movement" ], "parallelShift": 0.113, "rotation": -0.326, "wingChange": -0.01, "rmsChange": 0.21 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.8803672, "daysToExpiry": 321.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 82280.94, "previous": 82205.54, "change": 75.4, "percentChange": 0.09 }, "atmIv": { "current": 44.31, "previous": 44.29, "change": 0.02, "percentChange": 0.05 }, "rr25": { "current": -3.87, "previous": -3.64, "change": -0.23, "percentChange": -6.32 }, "bf25": { "current": 2.59, "previous": 2.34, "change": 0.25, "percentChange": 10.68 }, "svi": { "a": { "current": -0.2029, "previous": -0.2431, "change": 0.0402, "percentChange": 16.54 }, "b": { "current": 0.3132, "previous": 0.3131, "change": 0.0002, "percentChange": 0.06 }, "rho": { "current": -0.1182, "previous": -0.1115, "change": -0.0067, "percentChange": -6.02 }, "m": { "current": 0.151, "previous": 0.1538, "change": -0.0029, "percentChange": -1.87 }, "sigma": { "current": 1.1902, "previous": 1.3207, "change": -0.1305, "percentChange": -9.88 } }, "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": [ 49.1277, 48.8732, 48.6231, 48.3775, 48.1366, 47.9006, 47.6694, 47.4434, 47.2225, 47.0071, 46.7971, 46.5927, 46.3942, 46.2015, 46.0148, 45.8343, 45.6601, 45.4922, 45.3309, 45.1762, 45.0282, 44.887, 44.7527, 44.6255, 44.5054, 44.3924, 44.2868, 44.1884, 44.0974, 44.0139, 43.9379, 43.8694, 43.8085, 43.7552, 43.7095, 43.6714, 43.6409, 43.6181, 43.6029, 43.5953, 43.5952 ], "previous": [ 48.7569, 48.5209, 48.2892, 48.0618, 47.8388, 47.6203, 47.4065, 47.1974, 46.9932, 46.794, 46.5999, 46.411, 46.2275, 46.0493, 45.8767, 45.7097, 45.5485, 45.3931, 45.2436, 45.1001, 44.9627, 44.8314, 44.7065, 44.5879, 44.4756, 44.3699, 44.2707, 44.178, 44.092, 44.0127, 43.9402, 43.8743, 43.8153, 43.7631, 43.7177, 43.6792, 43.6475, 43.6227, 43.6048, 43.5936, 43.5893 ], "change": [ 0.3708, 0.3523, 0.3339, 0.3157, 0.2978, 0.2803, 0.2629, 0.246, 0.2293, 0.2131, 0.1972, 0.1817, 0.1667, 0.1522, 0.1381, 0.1246, 0.1116, 0.0991, 0.0873, 0.0761, 0.0655, 0.0556, 0.0462, 0.0376, 0.0298, 0.0225, 0.0161, 0.0104, 0.0054, 0.0012, -0.0023, -0.0049, -0.0068, -0.0079, -0.0082, -0.0078, -0.0066, -0.0046, -0.0019, 0.0017, 0.0059 ], "classification": [ "limited movement" ], "parallelShift": 0.087, "rotation": -0.2, "wingChange": 0.032, "rmsChange": 0.162 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "11MAY26", "value": 5.936, "score": 5.936, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -2.08, "score": 2.08, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": 0.46, "score": 0.46, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": -0.42, "score": 0.42, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "11MAY26", "value": -0.2485, "score": 0.2485, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "11MAY26", "value": 0.118, "score": 0.118, "unit": "parameter units" } ], "expiryEffects": [ { "label": "9MAY26", "daysToExpiry": 0.376, "metric": "Smile rotation", "value": 20.602, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "10MAY26", "daysToExpiry": 1.376, "metric": "ATM IV change", "value": -10.06, "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": 301.4101032, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "9MAY26", "expiry": 1778313600000, "value": 0.000842795739, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "9MAY26", "expiry": 1778313600000, "value": -251.32123414, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "26MAR27", "expiry": 1806048000000, "value": 0.00183159, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "26MAR27", "expiry": 1806048000000, "value": -29.39431998, "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": "9MAY26", "values": [ 77.3384, 74.6237, 71.7546, 68.7184, 65.5021, 62.0917, 58.472, 54.6271, 50.5397, 46.1915, 41.5624, 36.6304, 31.3699, 25.7514, 19.7395, 13.2939, 6.3796, -0.9753, -8.4249, -14.1831, -13.2841, -5.5693, 3.7789, 12.8112, 21.2185, 29.0493, 36.3973, 43.3382, 49.9245, 56.1916, 62.1644, 67.8614, 73.2977, 78.4867, 83.441, 88.1726, 92.6934, 97.0148, 101.1484, 105.1051, 108.8957 ] }, { "label": "10MAY26", "values": [ 33.0138, 32.5744, 32.0311, 31.3718, 30.5833, 29.6504, 28.557, 27.2854, 25.8159, 24.1277, 22.1981, 20.0027, 17.5157, 14.7096, 11.5564, 8.0292, 4.1125, -0.164, -4.6068, -8.5001, -10.0649, -7.9134, -3.5351, 1.2844, 5.8537, 10.0061, 13.7329, 17.0649, 20.0384, 22.6877, 25.0436, 27.1344, 28.9854, 30.6198, 32.0592, 33.3227, 34.4281, 35.3913, 36.2271, 36.9483, 37.5669 ] }, { "label": "11MAY26", "values": [ 9.2976, 9.3871, 9.4086, 9.3556, 9.2212, 8.9981, 8.6786, 8.2547, 7.7182, 7.0606, 6.2736, 5.3492, 4.2804, 3.0622, 1.6942, 0.1865, -1.4285, -3.0714, -4.5715, -5.624, -5.8418, -5.0159, -3.3344, -1.1995, 1.0615, 3.2717, 5.3567, 7.2926, 9.0764, 10.7129, 12.2094, 13.5735, 14.8128, 15.935, 16.9471, 17.8562, 18.669, 19.3923, 20.0322, 20.5949, 21.0861 ] }, { "label": "15MAY26", "values": [ -3.5446, -3.5379, -3.5287, -3.5169, -3.5026, -3.4858, -3.4665, -3.4447, -3.4204, -3.3934, -3.3634, -3.3299, -3.2924, -3.2496, -3.2002, -3.1423, -3.0736, -2.9913, -2.8933, -2.7777, -2.6443, -2.4955, -2.3351, -2.1693, -2.0047, -1.8471, -1.7012, -1.5698, -1.4539, -1.3534, -1.2672, -1.1935, -1.1306, -1.0766, -1.0298, -0.9885, -0.9512, -0.9168, -0.8842, -0.8523, -0.8204 ] }, { "label": "22MAY26", "values": [ -2.3565, -2.3131, -2.2703, -2.2285, -2.1876, -2.1481, -2.11, -2.0739, -2.0396, -2.0079, -1.9787, -1.9526, -1.93, -1.9112, -1.8964, -1.8861, -1.8804, -1.8798, -1.884, -1.8933, -1.9074, -1.9263, -1.9494, -1.9765, -2.0072, -2.0411, -2.0777, -2.1169, -2.1585, -2.2022, -2.2482, -2.2961, -2.3459, -2.3977, -2.4512, -2.5065, -2.5633, -2.6216, -2.681, -2.7417, -2.8032 ] }, { "label": "29MAY26", "values": [ -0.5346, -0.6461, -0.7531, -0.8554, -0.9528, -1.0448, -1.1313, -1.212, -1.2864, -1.3543, -1.4155, -1.4694, -1.5158, -1.5545, -1.5851, -1.6072, -1.621, -1.6262, -1.623, -1.6114, -1.5919, -1.5652, -1.5319, -1.4932, -1.4503, -1.4046, -1.3575, -1.3106, -1.2652, -1.223, -1.1849, -1.1522, -1.1255, -1.1055, -1.0927, -1.0871, -1.0891, -1.0981, -1.1141, -1.1369, -1.166 ] }, { "label": "26JUN26", "values": [ -0.7116, -0.7571, -0.8019, -0.8457, -0.8882, -0.9294, -0.9691, -1.0069, -1.0428, -1.0766, -1.1078, -1.1363, -1.162, -1.1844, -1.2034, -1.2187, -1.2302, -1.2374, -1.2404, -1.239, -1.2329, -1.2222, -1.2067, -1.1867, -1.1622, -1.1331, -1.0999, -1.0628, -1.022, -0.9779, -0.9309, -0.8814, -0.8298, -0.7766, -0.7222, -0.6669, -0.6114, -0.5558, -0.5006, -0.4461, -0.3926 ] }, { "label": "31JUL26", "values": [ 0.1711, 0.1362, 0.1014, 0.0668, 0.0325, -0.0014, -0.0349, -0.068, -0.1005, -0.1323, -0.1633, -0.1935, -0.2228, -0.2512, -0.2784, -0.3044, -0.3292, -0.3527, -0.3746, -0.3952, -0.4142, -0.4315, -0.4471, -0.4611, -0.4734, -0.4839, -0.4925, -0.4994, -0.5045, -0.5079, -0.5097, -0.5096, -0.5082, -0.5052, -0.5007, -0.4949, -0.4878, -0.4796, -0.4704, -0.4603, -0.4495 ] }, { "label": "25SEP26", "values": [ 0.1483, 0.1208, 0.0936, 0.0667, 0.0402, 0.014, -0.0118, -0.0373, -0.0622, -0.0867, -0.1105, -0.1339, -0.1567, -0.1788, -0.2002, -0.221, -0.241, -0.2602, -0.2786, -0.2962, -0.313, -0.3287, -0.3436, -0.3575, -0.3704, -0.3824, -0.3933, -0.4031, -0.412, -0.4198, -0.4266, -0.4323, -0.4369, -0.4406, -0.4433, -0.4448, -0.4455, -0.4451, -0.4439, -0.4418, -0.4387 ] }, { "label": "25DEC26", "values": [ 0.3686, 0.3621, 0.355, 0.3471, 0.3384, 0.3291, 0.319, 0.3083, 0.297, 0.285, 0.2724, 0.2592, 0.2455, 0.2313, 0.2164, 0.2012, 0.1857, 0.1697, 0.1533, 0.1366, 0.1198, 0.1027, 0.0854, 0.068, 0.0504, 0.0328, 0.0154, -0.0021, -0.0194, -0.0367, -0.0537, -0.0705, -0.087, -0.1031, -0.1191, -0.1344, -0.1495, -0.164, -0.1781, -0.1916, -0.2045 ] }, { "label": "26MAR27", "values": [ 0.3708, 0.3523, 0.3339, 0.3157, 0.2978, 0.2803, 0.2629, 0.246, 0.2293, 0.2131, 0.1972, 0.1817, 0.1667, 0.1522, 0.1381, 0.1246, 0.1116, 0.0991, 0.0873, 0.0761, 0.0655, 0.0556, 0.0462, 0.0376, 0.0298, 0.0225, 0.0161, 0.0104, 0.0054, 0.0012, -0.0023, -0.0049, -0.0068, -0.0079, -0.0082, -0.0078, -0.0066, -0.0046, -0.0019, 0.0017, 0.0059 ] } ] } }