{ "schemaVersion": 2, "reportDate": "2026-07-05", "generatedAt": "2026-07-25T18:42:39+00:00", "currentSnapshotAt": "2026-07-05T23:59:00+00:00", "previousSnapshotAt": "2026-07-04T23:59:00+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": 0.18361123, "previousObjective": 0.09024509, "currentLiveError": 251.16791032, "previousLiveError": 792.58780423 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [ "9JUL26" ], "removedExpiries": [ "5JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1M ATM IV falls 0.53 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -0.17 volatility points, RR25 -0.43 volatility points and BF25 +0.24 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.26 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.08 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.43 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.24 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 -0.53 volatility points at 1M.", "tenor": "1M", "value": -0.53 } ], "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 -0.26 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.08 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.43 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.24 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 -0.53 volatility points at 1M.", "tenor": "1M", "value": -0.53 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": -0.17, "rr25Change": -0.43, "bf25Change": 0.24 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1783900742677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.05, "previous": 36.07, "change": -0.02, "percentChange": -0.06 }, "rr25": { 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