{ "schemaVersion": 2, "reportDate": "2026-07-09", "generatedAt": "2026-07-25T18:42:39+00:00", "currentSnapshotAt": "2026-07-09T23:59:00+00:00", "previousSnapshotAt": "2026-07-08T23:59:00+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": 0.09853999, "previousObjective": 0.11582018, "currentLiveError": 152.05247988, "previousLiveError": 205.41775132 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "13JUL26" ], "removedExpiries": [ "9JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1W ATM IV falls 3.16 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -1.72 volatility points, RR25 +0.35 volatility points and BF25 -0.18 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.69 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.58 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.35 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.18 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 -3.16 volatility points at 1W.", "tenor": "1W", "value": -3.16 } ], "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 -2.69 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.58 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.35 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.18 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 -3.16 volatility points at 1W.", "tenor": "1W", "value": -3.16 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": -1.72, "rr25Change": 0.35, "bf25Change": -0.18 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1784246342348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.26, "previous": 36.42, "change": -3.16, "percentChange": -8.68 }, "rr25": { "current": -4.55, "previous": -5.11, "change": 0.56, "percentChange": 10.96 }, "bf25": { "current": 1.41, "previous": 1.73, "change": -0.32, "percentChange": -18.5 } }, { "tenor": "2W", "targetExpiry": 1784851142348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.68, "previous": 36.7, "change": -3.02, "percentChange": -8.23 }, "rr25": { "current": -5.86, "previous": -6.72, "change": 0.86, "percentChange": 12.8 }, "bf25": { "current": 1.66, "previous": 2.04, "change": -0.38, "percentChange": -18.63 } }, { "tenor": "1M", "targetExpiry": 1786233542348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.08, "previous": 36.97, "change": -1.89, "percentChange": -5.11 }, "rr25": { "current": -6.27, "previous": -6.51, "change": 0.24, "percentChange": 3.69 }, "bf25": { "current": 2.23, "previous": 2.29, "change": -0.06, "percentChange": -2.62 } }, { "tenor": "3M", "targetExpiry": 1791503942348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.17, "previous": 39.28, "change": -1.11, "percentChange": -2.83 }, "rr25": { "current": -6.51, "previous": -6.85, "change": 0.34, "percentChange": 4.96 }, "bf25": { "current": 2.59, "previous": 2.69, "change": -0.1, "percentChange": -3.72 } }, { "tenor": "6M", "targetExpiry": 1799366342348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.14, "previous": 41.87, "change": -0.73, "percentChange": -1.74 }, "rr25": { "current": -6.16, "previous": -6.32, "change": 0.16, "percentChange": 2.53 }, "bf25": { "current": 2.8, "previous": 2.88, "change": -0.08, "percentChange": -2.78 } }, { "tenor": "9M", "targetExpiry": 1807228742348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.26, "previous": 42.82, "change": -0.56, "percentChange": -1.31 }, "rr25": { "current": -5.78, "previous": -5.88, "change": 0.1, "percentChange": 1.7 }, "bf25": { "current": 2.78, "previous": 2.82, "change": -0.04, "percentChange": -1.42 } }, { "tenor": "1Y", "targetExpiry": 1815177542348, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.02, "previous": 43.46, "change": -0.44, "percentChange": -1.01 }, "rr25": { "current": -5.42, "previous": -5.37, "change": -0.05, "percentChange": -0.93 }, "bf25": { "current": 2.62, "previous": 2.73, "change": -0.11, "percentChange": -4.03 } } ], "listedExpiries": [ { "label": "10JUL26", "expiry": 1783670400000, "tauYears": 0.00091517, "daysToExpiry": 0.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 63199.23, "previous": 62261.71, "change": 937.52, "percentChange": 1.51 }, "atmIv": { "current": 35.41, "previous": 37.69, "change": -2.28, "percentChange": -6.05 }, "rr25": { "current": -1.39, "previous": -3.53, "change": 2.14, "percentChange": 60.62 }, "bf25": { "current": 0.61, "previous": 1.49, "change": -0.88, "percentChange": -59.06 }, "svi": { "a": { "current": -0.054, "previous": -0.0559, "change": 0.002, "percentChange": 3.51 }, "b": { "current": 0.0644, "previous": 0.0975, "change": -0.0331, "percentChange": -33.91 }, "rho": { "current": -0.1256, "previous": -0.1874, "change": 0.0618, "percentChange": 33.0 }, "m": { "current": -0.0988, "previous": -0.0928, "change": -0.006, "percentChange": -6.43 }, "sigma": { "current": 0.8462, "previous": 0.5892, "change": 0.257, "percentChange": 43.62 } }, "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": [ 200.8396, 191.4531, 182.0616, 172.6696, 163.2824, 153.9063, 144.5483, 135.2173, 125.9238, 116.6813, 107.5068, 98.4227, 89.4595, 80.6596, 72.084, 63.8229, 56.0141, 48.8709, 42.7223, 38.0441, 35.4113, 35.27, 37.6324, 42.0626, 47.9759, 54.8799, 62.4327, 70.4124, 78.6764, 87.1315, 95.7154, 104.3851, 113.1104, 121.8689, 130.6441, 139.4236, 148.1974, 156.9578, 165.6987, 174.4149, 183.1023 ], "previous": [ 154.6402, 147.9178, 141.1853, 134.4482, 127.7132, 120.9876, 114.2802, 107.6012, 100.9628, 94.3797, 87.8703, 81.457, 75.169, 69.0437, 63.1304, 57.4953, 52.2271, 47.4447, 43.3033, 39.9934, 37.7228, 36.6702, 36.9234, 38.4386, 41.0576, 44.568, 48.7594, 53.4546, 58.5155, 63.8395, 69.3509, 74.994, 80.7278, 86.5215, 92.3517, 98.2007, 104.0546, 109.9026, 115.7361, 121.5484, 127.3339 ], "change": [ 46.1994, 43.5353, 40.8763, 38.2214, 35.5692, 32.9187, 30.2681, 27.6161, 24.961, 22.3016, 19.6365, 16.9657, 14.2905, 11.6159, 8.9536, 6.3276, 3.787, 1.4262, -0.581, -1.9493, -2.3115, -1.4002, 0.709, 3.624, 6.9183, 10.3119, 13.6733, 16.9578, 20.1609, 23.292, 26.3645, 29.3911, 32.3826, 35.3474, 38.2924, 41.2229, 44.1428, 47.0552, 49.9626, 52.8665, 55.7684 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 14.563, "rotation": 6.728, "wingChange": 25.312, "rmsChange": 29.07 } }, { "label": "11JUL26", "expiry": 1783756800000, "tauYears": 0.0036549, "daysToExpiry": 1.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 63206.72, "previous": 62267.29, "change": 939.43, "percentChange": 1.51 }, "atmIv": { "current": 31.61, "previous": 36.81, "change": -5.2, "percentChange": -14.13 }, "rr25": { "current": -2.75, "previous": -4.63, "change": 1.88, "percentChange": 40.6 }, "bf25": { "current": 1.05, "previous": 1.61, "change": -0.56, "percentChange": -34.78 }, "svi": { "a": { "current": -0.0506, "previous": -0.0545, "change": 0.0039, "percentChange": 7.13 }, "b": { "current": 0.0858, "previous": 0.0994, "change": -0.0136, "percentChange": -13.67 }, "rho": { "current": -0.1928, "previous": -0.1798, "change": -0.013, "percentChange": -7.24 }, "m": { "current": -0.101, "previous": -0.0718, "change": -0.0293, "percentChange": -40.82 }, "sigma": { "current": 0.6052, "previous": 0.5653, "change": 0.0398, "percentChange": 7.05 } }, "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": [ 141.7707, 135.4897, 129.1993, 122.9042, 116.6099, 110.3228, 104.0502, 97.8006, 91.5845, 85.4141, 79.3049, 73.2761, 67.3527, 61.5675, 55.9642, 50.6031, 45.5675, 40.9732, 36.9782, 33.7858, 31.6272, 30.7057, 31.1141, 32.7845, 35.5211, 39.0825, 43.2483, 47.8444, 52.7429, 57.8522, 63.1073, 68.4615, 73.881, 79.3407, 84.822, 90.3107, 95.7958, 101.2688, 106.723, 112.1531, 117.5549 ], "previous": [ 126.2236, 121.0989, 115.9663, 110.8305, 105.6971, 100.5725, 95.4641, 90.3808, 85.3327, 80.3322, 75.3941, 70.5366, 65.782, 61.1582, 56.7003, 52.4528, 48.4718, 44.8282, 41.6085, 38.9143, 36.8555, 35.5349, 35.0267, 35.3551, 36.4857, 38.3351, 40.7928, 43.7436, 47.0823, 50.7201, 54.5854, 58.6219, 62.7856, 67.0426, 71.3663, 75.736, 80.1355, 84.5517, 88.9744, 93.3953, 97.8076 ], "change": [ 15.5471, 14.3908, 13.233, 12.0737, 10.9128, 9.7503, 8.5861, 7.4198, 6.2518, 5.0819, 3.9108, 2.7395, 1.5707, 0.4093, -0.7361, -1.8497, -2.9043, -3.855, -4.6303, -5.1285, -5.2283, -4.8292, -3.9126, -2.5706, -0.9646, 0.7474, 2.4555, 4.1008, 5.6606, 7.1321, 8.5219, 9.8396, 11.0954, 12.2981, 13.4557, 14.5747, 15.6603, 16.7171, 17.7486, 18.7578, 19.7473 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 2.401, "rotation": 4.611, "wingChange": 11.445, "rmsChange": 9.724 } }, { "label": "12JUL26", "expiry": 1783843200000, "tauYears": 0.00639463, "daysToExpiry": 2.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63212.34, "previous": 62272.87, "change": 939.47, "percentChange": 1.51 }, "atmIv": { "current": 28.15, "previous": 32.96, "change": -4.81, "percentChange": -14.59 }, "rr25": { "current": -3.09, "previous": -3.5, "change": 0.41, "percentChange": 11.71 }, "bf25": { "current": 1.29, "previous": 1.54, "change": -0.25, "percentChange": -16.23 }, "svi": { "a": { "current": -0.0459, "previous": -0.0603, "change": 0.0143, "percentChange": 23.8 }, "b": { "current": 0.0956, "previous": 0.108, "change": -0.0124, "percentChange": -11.46 }, "rho": { "current": -0.2046, "previous": -0.1095, "change": -0.0951, "percentChange": -86.79 }, "m": { "current": -0.0842, "previous": -0.0369, "change": -0.0473, "percentChange": -128.22 }, "sigma": { "current": 0.4956, "previous": 0.5701, "change": -0.0744, "percentChange": -13.06 } }, "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": [ 125.0415, 119.6126, 114.1622, 108.695, 103.216, 97.7314, 92.2481, 86.7746, 81.3206, 75.8979, 70.5209, 65.2076, 59.9807, 54.8697, 49.9139, 45.1659, 40.6986, 36.6118, 33.0412, 30.1612, 28.1713, 27.2506, 27.4876, 28.8332, 31.1233, 34.1476, 37.7101, 41.654, 45.8631, 50.2539, 54.767, 59.3597, 64.0012, 68.6687, 73.3454, 78.0184, 82.6781, 87.3171, 91.9295, 96.511, 101.0581 ], "previous": [ 108.0161, 103.6704, 99.3155, 94.9559, 90.5963, 86.2424, 81.9011, 77.5803, 73.2897, 69.0408, 64.8476, 60.7276, 56.7022, 52.7981, 49.0493, 45.4981, 42.1981, 39.2151, 36.6282, 34.5264, 33.0012, 32.1319, 31.9675, 32.5132, 33.7275, 35.5345, 37.841, 40.5535, 43.5876, 46.8721, 50.3494, 53.9738, 57.7094, 61.5278, 65.407, 69.3291, 73.2803, 77.2493, 81.2269, 85.2058, 89.18 ], "change": [ 17.0254, 15.9422, 14.8467, 13.7391, 12.6197, 11.489, 10.347, 9.1943, 8.0309, 6.8571, 5.6733, 4.48, 3.2785, 2.0716, 0.8646, -0.3322, -1.4995, -2.6033, -3.587, -4.3652, -4.8299, -4.8813, -4.4799, -3.68, -2.6042, -1.3869, -0.1309, 1.1005, 2.2755, 3.3818, 4.4176, 5.3859, 6.2918, 7.1409, 7.9384, 8.6893, 9.3978, 10.0678, 10.7026, 11.3052, 11.8781 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 1.754, "rotation": -1.256, "wingChange": 9.875, "rmsChange": 7.986 } }, { "label": "17JUL26", "expiry": 1784275200000, "tauYears": 0.02009326, "daysToExpiry": 7.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63233.17, "previous": 62295.55, "change": 937.62, "percentChange": 1.51 }, "atmIv": { "current": 33.45, "previous": 36.9, "change": -3.45, "percentChange": -9.35 }, "rr25": { "current": -4.6, "previous": -5.33, "change": 0.73, "percentChange": 13.7 }, "bf25": { "current": 1.4, "previous": 1.75, "change": -0.35, "percentChange": -20.0 }, "svi": { "a": { "current": -0.0788, "previous": -0.0732, "change": -0.0056, "percentChange": -7.63 }, "b": { "current": 0.114, "previous": 0.1187, "change": -0.0047, "percentChange": -3.93 }, "rho": { "current": -0.1029, "previous": -0.0297, "change": -0.0732, "percentChange": -246.7 }, "m": { "current": -0.0137, "previous": 0.045, "change": -0.0587, "percentChange": -130.54 }, "sigma": { "current": 0.7122, "previous": 0.6403, "change": 0.0719, "percentChange": 11.23 } }, "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": [ 77.533, 74.9236, 72.3212, 69.7287, 67.1496, 64.5876, 62.0471, 59.5331, 57.0513, 54.6083, 52.2117, 49.8701, 47.5939, 45.3945, 43.2856, 41.2825, 39.4027, 37.6657, 36.0932, 34.7079, 33.5333, 32.592, 31.9042, 31.4855, 31.3456, 31.4863, 31.9022, 32.5803, 33.5023, 34.6461, 35.9877, 37.5028, 39.1685, 40.9632, 42.8676, 44.8648, 46.9398, 49.0798, 51.2736, 53.5118, 55.7862 ], "previous": [ 79.2035, 76.724, 74.2479, 71.7785, 69.3188, 66.8728, 64.4449, 62.0399, 59.6637, 57.3228, 55.0247, 52.7781, 50.5927, 48.4799, 46.4526, 44.5251, 42.7139, 41.0367, 39.5131, 38.1635, 37.0087, 36.0688, 35.3621, 34.9034, 34.7027, 34.7642, 35.086, 35.66, 36.4727, 37.5071, 38.7432, 40.1602, 41.737, 43.4538, 45.2917, 47.2338, 49.2647, 51.371, 53.5408, 55.7637, 58.0307 ], "change": [ -1.6705, -1.8004, -1.9267, -2.0498, -2.1692, -2.2852, -2.3978, -2.5068, -2.6124, -2.7145, -2.813, -2.908, -2.9988, -3.0854, -3.167, -3.2426, -3.3112, -3.371, -3.4199, -3.4556, -3.4754, -3.4768, -3.4579, -3.4179, -3.3571, -3.2779, -3.1838, -3.0797, -2.9704, -2.861, -2.7555, -2.6574, -2.5685, -2.4906, -2.4241, -2.369, -2.3249, -2.2912, -2.2672, -2.2519, -2.2445 ], "classification": [ "parallel shift lower", "wing steepening" ], "parallelShift": -3.015, "rotation": 0.057, "wingChange": 0.691, "rmsChange": 2.806 } }, { "label": "24JUL26", "expiry": 1784880000000, "tauYears": 0.03927134, "daysToExpiry": 14.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63272.07, "previous": 62326.51, "change": 945.56, "percentChange": 1.52 }, "atmIv": { "current": 33.69, "previous": 36.67, "change": -2.98, "percentChange": -8.13 }, "rr25": { "current": -5.89, "previous": -6.9, "change": 1.01, "percentChange": 14.64 }, "bf25": { "current": 1.65, "previous": 2.08, "change": -0.43, "percentChange": -20.67 }, "svi": { "a": { "current": -0.0743, "previous": -0.0639, "change": -0.0104, "percentChange": -16.29 }, "b": { "current": 0.1199, "previous": 0.1235, "change": -0.0036, "percentChange": -2.94 }, "rho": { "current": -0.0489, "previous": 0.0107, "change": -0.0595, "percentChange": -559.0 }, "m": { "current": 0.0618, "previous": 0.1016, "change": -0.0398, "percentChange": -39.14 }, "sigma": { "current": 0.651, "previous": 0.5551, "change": 0.0959, "percentChange": 17.28 } }, "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": [ 66.0739, 64.2223, 62.3739, 60.5306, 58.6948, 56.869, 55.0561, 53.2593, 51.4823, 49.7291, 48.0045, 46.3136, 44.6623, 43.0572, 41.5055, 40.0154, 38.596, 37.257, 36.0091, 34.8636, 33.8322, 32.9268, 32.1589, 31.5393, 31.0773, 30.7801, 30.6525, 30.6962, 30.9098, 31.289, 31.8266, 32.5136, 33.3391, 34.2915, 35.3588, 36.5288, 37.7901, 39.1317, 40.5437, 42.0167, 43.5425 ], "previous": [ 69.3966, 67.5672, 65.7369, 63.9078, 62.0819, 60.2618, 58.4503, 56.6507, 54.8665, 53.102, 51.3618, 49.6513, 47.9766, 46.3443, 44.7622, 43.2385, 41.7828, 40.4052, 39.1169, 37.9296, 36.8558, 35.908, 35.0987, 34.4393, 33.9404, 33.6103, 33.4548, 33.4768, 33.6763, 34.0496, 34.5907, 35.2907, 36.139, 37.1241, 38.2334, 39.4544, 40.7748, 42.1831, 43.6681, 45.2199, 46.8291 ], "change": [ -3.3227, -3.3449, -3.363, -3.3772, -3.3871, -3.3928, -3.3942, -3.3914, -3.3842, -3.3729, -3.3573, -3.3377, -3.3143, -3.2871, -3.2567, -3.2231, -3.1868, -3.1482, -3.1078, -3.066, -3.0236, -2.9812, -2.9398, -2.9, -2.8631, -2.8302, -2.8023, -2.7806, -2.7665, -2.7606, -2.7641, -2.7771, -2.7999, -2.8326, -2.8746, -2.9256, -2.9847, -3.0514, -3.1244, -3.2032, -3.2866 ], "classification": [ "parallel shift lower", "rotation towards calls" ], "parallelShift": -3.048, "rotation": 0.593, "wingChange": -0.037, "rmsChange": 3.113 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.05844942, "daysToExpiry": 21.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63307.64, "previous": 62377.44, "change": 930.2, "percentChange": 1.49 }, "atmIv": { "current": 34.42, "previous": 36.61, "change": -2.19, "percentChange": -5.98 }, "rr25": { "current": -5.9, "previous": -5.93, "change": 0.03, "percentChange": 0.51 }, "bf25": { "current": 2.1, "previous": 2.17, "change": -0.07, "percentChange": -3.23 }, "svi": { "a": { "current": -0.0674, "previous": -0.068, "change": 0.0006, "percentChange": 0.87 }, "b": { "current": 0.1374, "previous": 0.1417, "change": -0.0043, "percentChange": -3.01 }, "rho": { "current": 0.085, "previous": 0.1351, "change": -0.0501, "percentChange": -37.08 }, "m": { "current": 0.1324, "previous": 0.1631, "change": -0.0306, "percentChange": -18.79 }, "sigma": { "current": 0.5365, "previous": 0.5361, "change": 0.0004, "percentChange": 0.07 } }, "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": [ 61.6965, 60.1454, 58.5947, 57.0461, 55.5016, 53.9635, 52.4345, 50.9176, 49.4162, 47.9342, 46.4758, 45.0461, 43.6506, 42.2954, 40.9873, 39.7341, 38.544, 37.4259, 36.3895, 35.4448, 34.6023, 33.8721, 33.2643, 32.788, 32.451, 32.2596, 32.2177, 32.3272, 32.5874, 32.9951, 33.5451, 34.2303, 35.0422, 35.9714, 37.008, 38.1418, 39.3628, 40.6616, 42.0289, 43.4564, 44.9361 ], "previous": [ 62.0032, 60.5509, 59.1001, 57.6525, 56.2101, 54.7749, 53.3495, 51.9368, 50.5399, 49.1623, 47.8082, 46.4819, 45.1885, 43.9335, 42.7231, 41.5638, 40.4631, 39.4287, 38.4689, 37.5923, 36.8078, 36.1242, 35.5499, 35.0931, 34.7606, 34.5583, 34.4904, 34.5594, 34.7658, 35.1084, 35.5838, 36.1873, 36.9128, 37.753, 38.6999, 39.7453, 40.8805, 42.0971, 43.3868, 44.7418, 46.1547 ], "change": [ -0.3067, -0.4055, -0.5054, -0.6064, -0.7085, -0.8114, -0.915, -1.0192, -1.1237, -1.2281, -1.3324, -1.4358, -1.5379, -1.6381, -1.7358, -1.8297, -1.9191, -2.0028, -2.0794, -2.1475, -2.2055, -2.2521, -2.2856, -2.3051, -2.3096, -2.2987, -2.2727, -2.2322, -2.1784, -2.1133, -2.0387, -1.957, -1.8706, -1.7816, -1.6919, -1.6035, -1.5177, -1.4355, -1.3579, -1.2854, -1.2186 ], "classification": [ "parallel shift lower", "rotation towards puts", "wing steepening" ], "parallelShift": -1.859, "rotation": -0.706, "wingChange": 0.52, "rmsChange": 1.7 } }, { "label": "28AUG26", "expiry": 1787904000000, "tauYears": 0.13516175, "daysToExpiry": 49.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63505.9, "previous": 62546.3, "change": 959.6, "percentChange": 1.53 }, "atmIv": { "current": 35.71, "previous": 37.4, "change": -1.69, "percentChange": -4.52 }, "rr25": { "current": -6.61, "previous": -7.17, "change": 0.56, "percentChange": 7.81 }, "bf25": { "current": 2.35, "previous": 2.39, "change": -0.04, "percentChange": -1.67 }, "svi": { "a": { "current": -0.061, "previous": -0.0585, "change": -0.0025, "percentChange": -4.25 }, "b": { "current": 0.154, "previous": 0.1523, "change": 0.0017, "percentChange": 1.12 }, "rho": { "current": 0.1019, "previous": 0.1034, "change": -0.0015, "percentChange": -1.44 }, "m": { "current": 0.183, "previous": 0.2001, "change": -0.0171, "percentChange": -8.54 }, "sigma": { "current": 0.4959, "previous": 0.495, "change": 0.0008, "percentChange": 0.17 } }, "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": [ 53.0573, 52.0978, 51.1397, 50.1841, 49.2321, 48.2849, 47.3438, 46.4105, 45.4867, 44.5742, 43.675, 42.7916, 41.9263, 41.0819, 40.2613, 39.4677, 38.7045, 37.9752, 37.2837, 36.6339, 36.0299, 35.4758, 34.9758, 34.5339, 34.154, 33.8397, 33.5943, 33.4207, 33.321, 33.2969, 33.3493, 33.4784, 33.6837, 33.9639, 34.3172, 34.7411, 35.2325, 35.788, 36.4039, 37.0763, 37.801 ], "previous": [ 54.397, 53.4723, 52.5488, 51.6273, 50.7088, 49.7945, 48.8854, 47.983, 47.0888, 46.2044, 45.3316, 44.4724, 43.6289, 42.8036, 41.9989, 41.2176, 40.4627, 39.7373, 39.0447, 38.3884, 37.7719, 37.199, 36.6735, 36.199, 35.7792, 35.4176, 35.1175, 34.8818, 34.713, 34.6132, 34.584, 34.6261, 34.74, 34.9253, 35.181, 35.5055, 35.8969, 36.3524, 36.8692, 37.444, 38.0733 ], "change": [ -1.3397, -1.3745, -1.4091, -1.4432, -1.4767, -1.5096, -1.5416, -1.5725, -1.6021, -1.6302, -1.6566, -1.6808, -1.7026, -1.7217, -1.7376, -1.7499, -1.7582, -1.7621, -1.761, -1.7545, -1.742, -1.7232, -1.6977, -1.6651, -1.6252, -1.5779, -1.5232, -1.4611, -1.392, -1.3163, -1.2347, -1.1477, -1.0563, -0.9614, -0.8638, -0.7644, -0.6644, -0.5644, -0.4653, -0.3677, -0.2723 ], "classification": [ "parallel shift lower" ], "parallelShift": -1.544, "rotation": 0.422, "wingChange": 0.296, "rmsChange": 1.436 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.21187407, "daysToExpiry": 77.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63692.77, "previous": 62734.59, "change": 958.18, "percentChange": 1.53 }, "atmIv": { "current": 37.08, "previous": 38.42, "change": -1.34, "percentChange": -3.49 }, "rr25": { "current": -6.63, "previous": -7.02, "change": 0.39, "percentChange": 5.56 }, "bf25": { "current": 2.51, "previous": 2.6, "change": -0.09, "percentChange": -3.46 }, "svi": { "a": { "current": -0.1194, "previous": -0.1327, "change": 0.0133, "percentChange": 10.01 }, "b": { "current": 0.204, "previous": 0.2117, "change": -0.0077, "percentChange": -3.63 }, "rho": { "current": -0.0448, "previous": -0.0918, "change": 0.047, "percentChange": 51.17 }, "m": { "current": 0.1389, "previous": 0.1161, "change": 0.0228, "percentChange": 19.64 }, "sigma": { "current": 0.7118, "previous": 0.7609, "change": -0.049, "percentChange": -6.44 } }, "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": [ 51.0355, 50.2325, 49.436, 48.6469, 47.866, 47.0944, 46.3331, 45.5833, 44.8462, 44.1229, 43.4149, 42.7234, 42.05, 41.3962, 40.7635, 40.1535, 39.5679, 39.0083, 38.4765, 37.9742, 37.503, 37.0647, 36.6609, 36.293, 35.9627, 35.6711, 35.4197, 35.2093, 35.0411, 34.9155, 34.8332, 34.7944, 34.7993, 34.8476, 34.939, 35.073, 35.2487, 35.4652, 35.7213, 36.0158, 36.3473 ], "previous": [ 52.4044, 51.6009, 50.8046, 50.0163, 49.2369, 48.4673, 47.7085, 46.9615, 46.2275, 45.5076, 44.803, 44.115, 43.4448, 42.7938, 42.1633, 41.5549, 40.9699, 40.4098, 39.8761, 39.3702, 38.8937, 38.4479, 38.0342, 37.654, 37.3085, 36.9989, 36.7262, 36.4914, 36.2953, 36.1384, 36.0213, 35.9444, 35.9076, 35.911, 35.9543, 36.0372, 36.159, 36.319, 36.5163, 36.75, 37.0188 ], "change": [ -1.3689, -1.3684, -1.3686, -1.3694, -1.3709, -1.3729, -1.3754, -1.3782, -1.3813, -1.3847, -1.3881, -1.3916, -1.3948, -1.3976, -1.3998, -1.4014, -1.402, -1.4015, -1.3996, -1.396, -1.3907, -1.3832, -1.3733, -1.361, -1.3458, -1.3278, -1.3065, -1.2821, -1.2542, -1.2229, -1.1881, -1.15, -1.1083, -1.0634, -1.0153, -0.9642, -0.9103, -0.8538, -0.795, -0.7342, -0.6715 ], "classification": [ "parallel shift lower" ], "parallelShift": -1.322, "rotation": 0.2, "wingChange": 0.103, "rmsChange": 1.271 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.46118914, "daysToExpiry": 168.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 64287.01, "previous": 63334.23, "change": 952.78, "percentChange": 1.5 }, "atmIv": { "current": 40.88, "previous": 41.66, "change": -0.78, "percentChange": -1.87 }, "rr25": { "current": -6.25, "previous": -6.41, "change": 0.16, "percentChange": 2.5 }, "bf25": { "current": 2.79, "previous": 2.89, "change": -0.1, "percentChange": -3.46 }, "svi": { "a": { "current": -0.1999, "previous": -0.1739, "change": -0.026, "percentChange": -14.94 }, "b": { "current": 0.2893, "previous": 0.2784, "change": 0.0109, "percentChange": 3.93 }, "rho": { "current": -0.3081, "previous": -0.3037, "change": -0.0043, "percentChange": -1.43 }, "m": { "current": -0.0568, "previous": -0.0317, "change": -0.0252, "percentChange": -79.49 }, "sigma": { "current": 0.9822, "previous": 0.9332, "change": 0.049, "percentChange": 5.25 } }, "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": [ 49.8255, 49.3117, 48.806, 48.309, 47.8209, 47.3423, 46.8734, 46.4147, 45.9666, 45.5295, 45.1038, 44.6899, 44.2883, 43.8992, 43.5231, 43.1603, 42.8113, 42.4762, 42.1556, 41.8496, 41.5587, 41.283, 41.0228, 40.7784, 40.55, 40.3377, 40.1417, 39.9622, 39.7991, 39.6527, 39.5229, 39.4098, 39.3134, 39.2335, 39.1701, 39.1231, 39.0924, 39.0778, 39.0792, 39.0962, 39.1287 ], "previous": [ 50.6586, 50.1471, 49.6435, 49.148, 48.6612, 48.1834, 47.7151, 47.2566, 46.8084, 46.3709, 45.9445, 45.5297, 45.1267, 44.7361, 44.3582, 43.9934, 43.642, 43.3045, 42.9812, 42.6724, 42.3784, 42.0994, 41.8359, 41.5879, 41.3558, 41.1397, 40.9398, 40.7563, 40.5891, 40.4385, 40.3044, 40.1869, 40.086, 40.0016, 39.9336, 39.882, 39.8466, 39.8272, 39.8237, 39.8359, 39.8634 ], "change": [ -0.8331, -0.8354, -0.8375, -0.839, -0.8403, -0.8411, -0.8417, -0.8419, -0.8418, -0.8414, -0.8407, -0.8398, -0.8384, -0.8369, -0.8351, -0.8331, -0.8307, -0.8283, -0.8256, -0.8228, -0.8197, -0.8164, -0.8131, -0.8095, -0.8058, -0.802, -0.7981, -0.7941, -0.79, -0.7858, -0.7815, -0.7771, -0.7726, -0.7681, -0.7635, -0.7589, -0.7542, -0.7494, -0.7445, -0.7397, -0.7347 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.814, "rotation": 0.059, "wingChange": 0.009, "rmsChange": 0.808 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.71050421, "daysToExpiry": 259.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 64925.06, "previous": 63978.04, "change": 947.02, "percentChange": 1.48 }, "atmIv": { "current": 42.1, "previous": 42.7, "change": -0.6, "percentChange": -1.41 }, "rr25": { "current": -5.86, "previous": -5.97, "change": 0.11, "percentChange": 1.84 }, "bf25": { "current": 2.82, "previous": 2.83, "change": -0.01, "percentChange": -0.35 }, "svi": { "a": { "current": -0.1943, "previous": -0.1838, "change": -0.0106, "percentChange": -5.75 }, "b": { "current": 0.3194, "previous": 0.3158, "change": 0.0036, "percentChange": 1.14 }, "rho": { "current": -0.3733, "previous": -0.3862, "change": 0.0129, "percentChange": 3.35 }, "m": { "current": -0.096, "previous": -0.0991, "change": 0.0031, "percentChange": 3.16 }, "sigma": { "current": 1.0501, "previous": 1.0442, "change": 0.006, "percentChange": 0.57 } }, "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": [ 49.1565, 48.7728, 48.3956, 48.025, 47.6613, 47.3047, 46.9554, 46.6137, 46.2797, 45.9536, 45.6358, 45.3262, 45.0252, 44.733, 44.4496, 44.1754, 43.9104, 43.6548, 43.4087, 43.1724, 42.9458, 42.7292, 42.5226, 42.3262, 42.1399, 41.9639, 41.7983, 41.6431, 41.4983, 41.3639, 41.2399, 41.1264, 41.0233, 40.9306, 40.8482, 40.7762, 40.7143, 40.6626, 40.6209, 40.5892, 40.5673 ], "previous": [ 49.7507, 49.37, 48.9955, 48.6276, 48.2664, 47.9123, 47.5652, 47.2256, 46.8936, 46.5693, 46.2531, 45.9449, 45.6452, 45.354, 45.0714, 44.7978, 44.5332, 44.2777, 44.0315, 43.7948, 43.5677, 43.3502, 43.1425, 42.9446, 42.7566, 42.5787, 42.4108, 42.253, 42.1053, 41.9678, 41.8403, 41.7231, 41.6159, 41.5188, 41.4318, 41.3547, 41.2876, 41.2303, 41.1828, 41.145, 41.1167 ], "change": [ -0.5942, -0.5972, -0.5999, -0.6026, -0.6051, -0.6076, -0.6098, -0.6119, -0.6139, -0.6157, -0.6173, -0.6187, -0.62, -0.621, -0.6218, -0.6224, -0.6228, -0.6229, -0.6228, -0.6224, -0.6219, -0.621, -0.6199, -0.6184, -0.6167, -0.6148, -0.6125, -0.6099, -0.607, -0.6039, -0.6004, -0.5967, -0.5926, -0.5882, -0.5836, -0.5785, -0.5733, -0.5677, -0.5619, -0.5558, -0.5494 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.613, "rotation": 0.017, "wingChange": 0.013, "rmsChange": 0.604 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.95981928, "daysToExpiry": 350.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65563.11, "previous": 64621.85, "change": 941.26, "percentChange": 1.46 }, "atmIv": { "current": 42.93, "previous": 43.39, "change": -0.46, "percentChange": -1.06 }, "rr25": { "current": -5.47, "previous": -5.43, "change": -0.04, "percentChange": -0.74 }, "bf25": { "current": 2.63, "previous": 2.73, "change": -0.1, "percentChange": -3.66 }, "svi": { "a": { "current": -0.2435, "previous": -0.2429, "change": -0.0006, "percentChange": -0.26 }, "b": { "current": 0.3732, "previous": 0.3977, "change": -0.0244, "percentChange": -6.14 }, "rho": { "current": -0.4635, "previous": -0.5125, "change": 0.049, "percentChange": 9.56 }, "m": { "current": -0.2397, "previous": -0.3195, "change": 0.0798, "percentChange": 24.97 }, "sigma": { "current": 1.2356, "previous": 1.2091, "change": 0.0266, "percentChange": 2.2 } }, "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": [ 48.8116, 48.5082, 48.2102, 47.9177, 47.6309, 47.3498, 47.0745, 46.8052, 46.5419, 46.2847, 46.0338, 45.7891, 45.5508, 45.319, 45.0937, 44.875, 44.6629, 44.4576, 44.259, 44.0672, 43.8822, 43.7042, 43.533, 43.3688, 43.2115, 43.0612, 42.9179, 42.7816, 42.6523, 42.5299, 42.4145, 42.3061, 42.2045, 42.1099, 42.0221, 41.9411, 41.867, 41.7995, 41.7387, 41.6846, 41.637 ], "previous": [ 49.3087, 48.9996, 48.6965, 48.3995, 48.1085, 47.8238, 47.5454, 47.2733, 47.0078, 46.7487, 46.4964, 46.2507, 46.0118, 45.7796, 45.5544, 45.3361, 45.1247, 44.9204, 44.7231, 44.5329, 44.3497, 44.1737, 44.0047, 43.8429, 43.6882, 43.5407, 43.4002, 43.2669, 43.1406, 43.0213, 42.9091, 42.8039, 42.7056, 42.6141, 42.5296, 42.4518, 42.3808, 42.3164, 42.2587, 42.2074, 42.1627 ], "change": [ -0.4971, -0.4914, -0.4863, -0.4818, -0.4776, -0.474, -0.4709, -0.4681, -0.4659, -0.464, -0.4626, -0.4616, -0.461, -0.4606, -0.4607, -0.4611, -0.4618, -0.4628, -0.4641, -0.4657, -0.4675, -0.4695, -0.4717, -0.4741, -0.4767, -0.4795, -0.4823, -0.4853, -0.4883, -0.4914, -0.4946, -0.4978, -0.5011, -0.5042, -0.5075, -0.5107, -0.5138, -0.5169, -0.52, -0.5228, -0.5257 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.475, "rotation": -0.032, "wingChange": -0.011, "rmsChange": 0.483 } } ], "events": [ { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -3.16, "score": 3.16, "unit": "volatility points" }, { "type": "rotation", "title": "Largest eligible smile rotation", "label": "12JUL26", "value": -1.256, "score": 1.256, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": 0.86, "score": 0.86, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": -0.38, "score": 0.38, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "24JUL26", "value": 0.0959, "score": 0.0959, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "12JUL26", "value": -0.0951, "score": 0.0951, "unit": "parameter units" } ], "expiryEffects": [ { "label": "10JUL26", "daysToExpiry": 0.334, "metric": "Smile rotation", "value": 6.728, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "11JUL26", "daysToExpiry": 1.334, "metric": "ATM IV change", "value": -5.2, "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": "25JUN27", "expiry": 1813910400000, "value": 250.64634506, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "10JUL26", "expiry": 1783670400000, "value": 0.000589269906, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "10JUL26", "expiry": 1783670400000, "value": -404.26563903, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00191149, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -25.81973266, "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": "10JUL26", "values": [ 46.1994, 43.5353, 40.8763, 38.2214, 35.5692, 32.9187, 30.2681, 27.6161, 24.961, 22.3016, 19.6365, 16.9657, 14.2905, 11.6159, 8.9536, 6.3276, 3.787, 1.4262, -0.581, -1.9493, -2.3115, -1.4002, 0.709, 3.624, 6.9183, 10.3119, 13.6733, 16.9578, 20.1609, 23.292, 26.3645, 29.3911, 32.3826, 35.3474, 38.2924, 41.2229, 44.1428, 47.0552, 49.9626, 52.8665, 55.7684 ] }, { "label": "11JUL26", "values": [ 15.5471, 14.3908, 13.233, 12.0737, 10.9128, 9.7503, 8.5861, 7.4198, 6.2518, 5.0819, 3.9108, 2.7395, 1.5707, 0.4093, -0.7361, -1.8497, -2.9043, -3.855, -4.6303, -5.1285, -5.2283, -4.8292, -3.9126, -2.5706, -0.9646, 0.7474, 2.4555, 4.1008, 5.6606, 7.1321, 8.5219, 9.8396, 11.0954, 12.2981, 13.4557, 14.5747, 15.6603, 16.7171, 17.7486, 18.7578, 19.7473 ] }, { "label": "12JUL26", "values": [ 17.0254, 15.9422, 14.8467, 13.7391, 12.6197, 11.489, 10.347, 9.1943, 8.0309, 6.8571, 5.6733, 4.48, 3.2785, 2.0716, 0.8646, -0.3322, -1.4995, -2.6033, -3.587, -4.3652, -4.8299, -4.8813, -4.4799, -3.68, -2.6042, -1.3869, -0.1309, 1.1005, 2.2755, 3.3818, 4.4176, 5.3859, 6.2918, 7.1409, 7.9384, 8.6893, 9.3978, 10.0678, 10.7026, 11.3052, 11.8781 ] }, { "label": "17JUL26", "values": [ -1.6705, -1.8004, -1.9267, -2.0498, -2.1692, -2.2852, -2.3978, -2.5068, -2.6124, -2.7145, -2.813, -2.908, -2.9988, -3.0854, -3.167, -3.2426, -3.3112, -3.371, -3.4199, -3.4556, -3.4754, -3.4768, -3.4579, -3.4179, -3.3571, -3.2779, -3.1838, -3.0797, -2.9704, -2.861, -2.7555, -2.6574, -2.5685, -2.4906, -2.4241, -2.369, -2.3249, -2.2912, -2.2672, -2.2519, -2.2445 ] }, { "label": "24JUL26", "values": [ -3.3227, -3.3449, -3.363, -3.3772, -3.3871, -3.3928, -3.3942, -3.3914, -3.3842, -3.3729, -3.3573, -3.3377, -3.3143, -3.2871, -3.2567, -3.2231, -3.1868, -3.1482, -3.1078, -3.066, -3.0236, -2.9812, -2.9398, -2.9, -2.8631, -2.8302, -2.8023, -2.7806, -2.7665, -2.7606, -2.7641, -2.7771, -2.7999, -2.8326, -2.8746, -2.9256, -2.9847, -3.0514, -3.1244, -3.2032, -3.2866 ] }, { "label": "31JUL26", "values": [ -0.3067, -0.4055, -0.5054, -0.6064, -0.7085, -0.8114, -0.915, -1.0192, -1.1237, -1.2281, -1.3324, -1.4358, -1.5379, -1.6381, -1.7358, -1.8297, -1.9191, -2.0028, -2.0794, -2.1475, -2.2055, -2.2521, -2.2856, -2.3051, -2.3096, -2.2987, -2.2727, -2.2322, -2.1784, -2.1133, -2.0387, -1.957, -1.8706, -1.7816, -1.6919, -1.6035, -1.5177, -1.4355, -1.3579, -1.2854, -1.2186 ] }, { "label": "28AUG26", "values": [ -1.3397, -1.3745, -1.4091, -1.4432, -1.4767, -1.5096, -1.5416, -1.5725, -1.6021, -1.6302, -1.6566, -1.6808, -1.7026, -1.7217, -1.7376, -1.7499, -1.7582, -1.7621, -1.761, -1.7545, -1.742, -1.7232, -1.6977, -1.6651, -1.6252, -1.5779, -1.5232, -1.4611, -1.392, -1.3163, -1.2347, -1.1477, -1.0563, -0.9614, -0.8638, -0.7644, -0.6644, -0.5644, -0.4653, -0.3677, -0.2723 ] }, { "label": "25SEP26", "values": [ -1.3689, -1.3684, -1.3686, -1.3694, -1.3709, -1.3729, -1.3754, -1.3782, -1.3813, -1.3847, -1.3881, -1.3916, -1.3948, -1.3976, -1.3998, -1.4014, -1.402, -1.4015, -1.3996, -1.396, -1.3907, -1.3832, -1.3733, -1.361, -1.3458, -1.3278, -1.3065, -1.2821, -1.2542, -1.2229, -1.1881, -1.15, -1.1083, -1.0634, -1.0153, -0.9642, -0.9103, -0.8538, -0.795, -0.7342, -0.6715 ] }, { "label": "25DEC26", "values": [ -0.8331, -0.8354, -0.8375, -0.839, -0.8403, -0.8411, -0.8417, -0.8419, -0.8418, -0.8414, -0.8407, -0.8398, -0.8384, -0.8369, -0.8351, -0.8331, -0.8307, -0.8283, -0.8256, -0.8228, -0.8197, -0.8164, -0.8131, -0.8095, -0.8058, -0.802, -0.7981, -0.7941, -0.79, -0.7858, -0.7815, -0.7771, -0.7726, -0.7681, -0.7635, -0.7589, -0.7542, -0.7494, -0.7445, -0.7397, -0.7347 ] }, { "label": "26MAR27", "values": [ -0.5942, -0.5972, -0.5999, -0.6026, -0.6051, -0.6076, -0.6098, -0.6119, -0.6139, -0.6157, -0.6173, -0.6187, -0.62, -0.621, -0.6218, -0.6224, -0.6228, -0.6229, -0.6228, -0.6224, -0.6219, -0.621, -0.6199, -0.6184, -0.6167, -0.6148, -0.6125, -0.6099, -0.607, -0.6039, -0.6004, -0.5967, -0.5926, -0.5882, -0.5836, -0.5785, -0.5733, -0.5677, -0.5619, -0.5558, -0.5494 ] }, { "label": "25JUN27", "values": [ -0.4971, -0.4914, -0.4863, -0.4818, -0.4776, -0.474, -0.4709, -0.4681, -0.4659, -0.464, -0.4626, -0.4616, -0.461, -0.4606, -0.4607, -0.4611, -0.4618, -0.4628, -0.4641, -0.4657, -0.4675, -0.4695, -0.4717, -0.4741, -0.4767, -0.4795, -0.4823, -0.4853, -0.4883, -0.4914, -0.4946, -0.4978, -0.5011, -0.5042, -0.5075, -0.5107, -0.5138, -0.5169, -0.52, -0.5228, -0.5257 ] } ] } }