{ "schemaVersion": 2, "reportDate": "2026-07-13", "generatedAt": "2026-07-25T18:42:40+00:00", "currentSnapshotAt": "2026-07-13T23:59:00+00:00", "previousSnapshotAt": "2026-07-12T23:59:00+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": 0.05298536, "previousObjective": 0.09501902, "currentLiveError": 112.53578144, "previousLiveError": 133.8197065 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "13JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 2W ATM IV rises 0.83 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged +0.45 volatility points, RR25 -0.46 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 +0.65 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.46 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 +0.83 volatility points at 2W.", "tenor": "2W", "value": 0.83 } ], "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 +0.65 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.46 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 +0.83 volatility points at 2W.", "tenor": "2W", "value": 0.83 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": 0.45, "rr25Change": -0.46, "bf25Change": 0.07 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1784591942084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.86, "previous": 34.48, "change": 0.38, "percentChange": 1.1 }, "rr25": { "current": -5.07, "previous": -4.17, "change": -0.9, "percentChange": -21.58 }, "bf25": { "current": 1.73, "previous": 1.71, "change": 0.02, "percentChange": 1.17 } }, { "tenor": "2W", "targetExpiry": 1785196742084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.13, "previous": 34.3, "change": 0.83, "percentChange": 2.42 }, "rr25": { "current": -5.11, "previous": -4.54, "change": -0.57, "percentChange": -12.56 }, "bf25": { "current": 1.71, "previous": 1.7, "change": 0.01, "percentChange": 0.59 } }, { "tenor": "1M", "targetExpiry": 1786579142084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.66, "previous": 34.92, "change": 0.74, "percentChange": 2.12 }, "rr25": { "current": -6.5, "previous": -5.89, "change": -0.61, "percentChange": -10.36 }, "bf25": { "current": 2.1, "previous": 2.05, "change": 0.05, "percentChange": 2.44 } }, { "tenor": "3M", "targetExpiry": 1791849542084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.24, "previous": 37.88, "change": 0.36, "percentChange": 0.95 }, "rr25": { "current": -6.58, "previous": -6.07, "change": -0.51, "percentChange": -8.4 }, "bf25": { "current": 2.66, "previous": 2.57, "change": 0.09, "percentChange": 3.5 } }, { "tenor": "6M", "targetExpiry": 1799711942084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.0, "previous": 40.74, "change": 0.26, "percentChange": 0.64 }, "rr25": { "current": -6.07, "previous": -5.82, "change": -0.25, "percentChange": -4.3 }, "bf25": { "current": 2.81, "previous": 2.7, "change": 0.11, "percentChange": 4.07 } }, { "tenor": "9M", "targetExpiry": 1807574342084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.21, "previous": 41.98, "change": 0.23, "percentChange": 0.55 }, "rr25": { "current": -5.64, "previous": -5.55, "change": -0.09, "percentChange": -1.62 }, "bf25": { "current": 2.72, "previous": 2.65, "change": 0.07, "percentChange": 2.64 } }, { "tenor": "1Y", "targetExpiry": 1815523142084, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.01, "previous": 42.9, "change": 0.11, "percentChange": 0.26 }, "rr25": { "current": -5.22, "previous": -5.3, "change": 0.08, "percentChange": 1.51 }, "bf25": { "current": 2.68, "previous": 2.56, "change": 0.12, "percentChange": 4.69 } } ], "listedExpiries": [ { "label": "14JUL26", "expiry": 1784016000000, "tauYears": 0.00091517, "daysToExpiry": 0.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 62247.85, "previous": 63782.3, "change": -1534.45, "percentChange": -2.41 }, "atmIv": { "current": 36.14, "previous": 34.24, "change": 1.9, "percentChange": 5.55 }, "rr25": { "current": -2.53, "previous": -2.25, "change": -0.28, "percentChange": -12.44 }, "bf25": { "current": 0.79, "previous": 1.37, "change": -0.58, "percentChange": -42.34 }, "svi": { "a": { "current": -0.0312, "previous": -0.0514, "change": 0.0203, "percentChange": 39.4 }, "b": { "current": 0.0548, "previous": 0.0947, "change": -0.0399, "percentChange": -42.16 }, "rho": { "current": -0.2036, "previous": -0.1341, "change": -0.0695, "percentChange": -51.84 }, "m": { "current": -0.1086, "previous": -0.0629, "change": -0.0457, "percentChange": -72.62 }, "sigma": { "current": 0.583, "previous": 0.5523, "change": 0.0307, "percentChange": 5.57 } }, "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": [ 224.0403, 213.6919, 203.3151, 192.9162, 182.5024, 172.0818, 161.6633, 151.2578, 140.8774, 130.537, 120.2549, 110.0541, 99.9645, 90.0268, 80.2981, 70.862, 61.8464, 53.4527, 46.0041, 40.0057, 36.1515, 35.1131, 37.084, 41.5967, 47.8985, 55.3451, 63.5011, 72.0949, 80.9582, 89.9847, 99.1048, 108.2718, 117.453, 126.6253, 135.7717, 144.8796, 153.9393, 162.9436, 171.8869, 180.7648, 189.5739 ], "previous": [ 152.6597, 145.9156, 139.1476, 132.3611, 125.562, 118.7576, 111.9563, 105.1681, 98.4053, 91.6827, 85.019, 78.4379, 71.9704, 65.6574, 59.5542, 53.7376, 48.3142, 43.4324, 39.2925, 36.1449, 34.255, 33.8218, 34.8846, 37.299, 40.8081, 45.1397, 50.0631, 55.4034, 61.0348, 66.8676, 72.8381, 78.9005, 85.0211, 91.175, 97.3433, 103.5115, 109.6685, 115.8055, 121.9155, 127.9929, 134.0334 ], "change": [ 71.3806, 67.7763, 64.1675, 60.5551, 56.9404, 53.3242, 49.707, 46.0897, 42.4721, 38.8543, 35.2359, 31.6162, 27.9941, 24.3694, 20.7439, 17.1244, 13.5322, 10.0203, 6.7116, 3.8608, 1.8965, 1.2913, 2.1994, 4.2977, 7.0904, 10.2054, 13.438, 16.6915, 19.9234, 23.1171, 26.2667, 29.3713, 32.4319, 35.4503, 38.4284, 41.3681, 44.2708, 47.1381, 49.9714, 52.7719, 55.5405 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 21.133, "rotation": -8.969, "wingChange": 28.855, "rmsChange": 37.392 } }, { "label": "15JUL26", "expiry": 1784102400000, "tauYears": 0.0036549, "daysToExpiry": 1.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 62255.23, "previous": 63787.27, "change": -1532.04, "percentChange": -2.4 }, "atmIv": { "current": 37.18, "previous": 34.59, "change": 2.59, "percentChange": 7.49 }, "rr25": { "current": -3.13, "previous": -2.73, "change": -0.4, "percentChange": -14.65 }, "bf25": { "current": 1.33, "previous": 1.69, "change": -0.36, "percentChange": -21.3 }, "svi": { "a": { "current": -0.0401, "previous": -0.0504, "change": 0.0103, "percentChange": 20.46 }, "b": { "current": 0.0773, "previous": 0.1022, "change": -0.0249, "percentChange": -24.37 }, "rho": { "current": -0.0764, "previous": -0.0881, "change": 0.0117, "percentChange": 13.27 }, "m": { "current": -0.0215, "previous": -0.0287, "change": 0.0072, "percentChange": 25.16 }, "sigma": { "current": 0.526, "previous": 0.502, "change": 0.024, "percentChange": 4.78 } }, "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": [ 144.1411, 138.1332, 132.0969, 126.037, 119.9589, 113.8694, 107.7764, 101.6895, 95.6204, 89.5835, 83.5967, 77.6824, 71.8696, 66.1954, 60.7093, 55.4763, 50.5839, 46.1477, 42.3166, 39.2713, 37.2054, 36.2837, 36.587, 38.0777, 40.6149, 44.0063, 48.0588, 52.6066, 57.519, 62.6969, 68.0666, 73.5729, 79.1749, 84.8413, 90.5483, 96.2774, 102.014, 107.7468, 113.4665, 119.1658, 124.8387 ], "previous": [ 127.5178, 122.205, 116.8674, 111.5095, 106.137, 100.7565, 95.3758, 90.0048, 84.655, 79.3409, 74.0802, 68.8956, 63.8154, 58.8766, 54.1271, 49.6296, 45.4666, 41.7439, 38.5931, 36.1656, 34.6127, 34.0503, 34.5203, 35.9734, 38.2871, 41.3055, 44.8741, 48.8595, 53.1552, 57.6789, 62.3684, 67.1765, 72.0676, 77.0143, 81.9956, 86.995, 91.9996, 96.9992, 101.9855, 106.9519, 111.8932 ], "change": [ 16.6233, 15.9282, 15.2295, 14.5275, 13.8219, 13.1129, 12.4006, 11.6847, 10.9654, 10.2426, 9.5165, 8.7868, 8.0542, 7.3188, 6.5822, 5.8467, 5.1173, 4.4038, 3.7235, 3.1057, 2.5927, 2.2334, 2.0667, 2.1043, 2.3278, 2.7008, 3.1847, 3.7471, 4.3638, 5.018, 5.6982, 6.3964, 7.1073, 7.827, 8.5527, 9.2824, 10.0144, 10.7476, 11.481, 12.2139, 12.9455 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 5.936, "rotation": -3.818, "wingChange": 5.015, "rmsChange": 9.099 } }, { "label": "16JUL26", "expiry": 1784188800000, "tauYears": 0.00639463, "daysToExpiry": 2.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62257.16, "previous": 63792.24, "change": -1535.08, "percentChange": -2.41 }, "atmIv": { "current": 35.95, "previous": 35.27, "change": 0.68, "percentChange": 1.93 }, "rr25": { "current": -3.84, "previous": -3.7, "change": -0.14, "percentChange": -3.78 }, "bf25": { "current": 1.48, "previous": 1.76, "change": -0.28, "percentChange": -15.91 }, "svi": { "a": { "current": -0.0369, "previous": -0.0531, "change": 0.0162, "percentChange": 30.48 }, "b": { "current": 0.0788, "previous": 0.1049, "change": -0.0262, "percentChange": -24.93 }, "rho": { "current": -0.0568, "previous": -0.0603, "change": 0.0035, "percentChange": 5.84 }, "m": { "current": -0.0001, "previous": -0.0058, "change": 0.0057, "percentChange": 98.3 }, "sigma": { "current": 0.4792, "previous": 0.5172, "change": -0.0381, "percentChange": -7.36 } }, "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": [ 118.3243, 113.725, 109.1003, 104.4539, 99.7905, 95.1159, 90.4369, 85.7617, 81.1003, 76.4652, 71.8712, 67.3371, 62.8862, 58.5478, 54.3593, 50.3678, 46.6333, 43.2308, 40.2519, 37.8022, 35.9936, 34.9269, 34.6695, 35.2355, 36.581, 38.6171, 41.2329, 44.3159, 47.7655, 51.4972, 55.4431, 59.5497, 63.7751, 68.0867, 72.4588, 76.8712, 81.3078, 85.7559, 90.2052, 94.6473, 99.0754 ], "previous": [ 110.7158, 106.3902, 102.0481, 97.6936, 93.3317, 88.9683, 84.6104, 80.2663, 75.9463, 71.6626, 67.4302, 63.2677, 59.198, 55.2496, 51.4584, 47.8691, 44.5375, 41.5315, 38.9318, 36.8279, 35.3106, 34.4577, 34.3171, 34.8941, 36.1493, 38.0094, 40.3837, 43.1794, 46.3119, 49.7086, 53.3103, 57.0691, 60.9472, 64.9144, 68.9468, 73.0255, 77.1352, 81.2636, 85.4006, 89.5382, 93.6697 ], "change": [ 7.6085, 7.3348, 7.0522, 6.7603, 6.4588, 6.1476, 5.8265, 5.4954, 5.154, 4.8026, 4.441, 4.0694, 3.6882, 3.2982, 2.9009, 2.4987, 2.0958, 1.6993, 1.3201, 0.9743, 0.683, 0.4692, 0.3524, 0.3414, 0.4317, 0.6077, 0.8492, 1.1365, 1.4536, 1.7886, 2.1328, 2.4806, 2.8279, 3.1723, 3.512, 3.8457, 4.1726, 4.4923, 4.8046, 5.1091, 5.4057 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 2.419, "rotation": -2.308, "wingChange": 2.604, "rmsChange": 4.032 } }, { "label": "17JUL26", "expiry": 1784275200000, "tauYears": 0.00913435, "daysToExpiry": 3.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62261.82, "previous": 63797.21, "change": -1535.39, "percentChange": -2.41 }, "atmIv": { "current": 35.8, "previous": 34.86, "change": 0.94, "percentChange": 2.7 }, "rr25": { "current": -3.39, "previous": -3.58, "change": 0.19, "percentChange": 5.31 }, "bf25": { "current": 1.71, "previous": 1.72, "change": -0.01, "percentChange": -0.58 }, "svi": { "a": { "current": -0.0373, "previous": -0.0534, "change": 0.0161, "percentChange": 30.23 }, "b": { "current": 0.087, "previous": 0.1052, "change": -0.0182, "percentChange": -17.27 }, "rho": { "current": 0.0434, "previous": -0.0576, "change": 0.101, "percentChange": 175.29 }, "m": { "current": 0.0433, "previous": -0.0018, "change": 0.0452, "percentChange": 2446.12 }, "sigma": { "current": 0.4413, "previous": 0.5214, "change": -0.0801, "percentChange": -15.37 } }, "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": [ 105.2087, 101.3186, 97.4019, 93.4619, 89.5028, 85.5296, 81.5487, 77.5677, 73.5962, 69.6459, 65.7314, 61.871, 58.0872, 54.4086, 50.8707, 47.518, 44.4056, 41.6003, 39.1803, 37.232, 35.8423, 35.0854, 35.008, 35.6178, 36.8817, 38.7343, 41.0929, 43.871, 46.988, 50.3739, 53.9701, 57.7288, 61.6114, 65.587, 69.6307, 73.7222, 77.8454, 81.987, 86.1362, 90.284, 94.4232 ], "previous": [ 98.8312, 95.1004, 91.3592, 87.6118, 83.8627, 80.1178, 76.3838, 72.6685, 68.9816, 65.3346, 61.7412, 58.2183, 54.7861, 51.4697, 48.2994, 45.3119, 42.5514, 40.0698, 37.9261, 36.1835, 34.9039, 34.14, 33.9258, 34.2693, 35.1507, 36.5265, 38.338, 40.5208, 43.0116, 45.7532, 48.696, 51.7984, 55.0261, 58.3511, 61.7505, 65.2058, 68.7019, 72.2263, 75.7688, 79.3212, 82.8764 ], "change": [ 6.3775, 6.2182, 6.0427, 5.8501, 5.6401, 5.4118, 5.1649, 4.8992, 4.6146, 4.3113, 3.9902, 3.6527, 3.3011, 2.9389, 2.5713, 2.2061, 1.8542, 1.5305, 1.2542, 1.0485, 0.9384, 0.9454, 1.0822, 1.3485, 1.731, 2.2078, 2.7549, 3.3502, 3.9764, 4.6207, 5.2741, 5.9304, 6.5853, 7.2359, 7.8802, 8.5164, 9.1435, 9.7607, 10.3674, 10.9628, 11.5468 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 3.401, "rotation": 1.284, "wingChange": 3.694, "rmsChange": 5.571 } }, { "label": "24JUL26", "expiry": 1784880000000, "tauYears": 0.02831243, "daysToExpiry": 10.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62304.5, "previous": 63832.01, "change": -1527.51, "percentChange": -2.39 }, "atmIv": { "current": 34.58, "previous": 34.24, "change": 0.34, "percentChange": 0.99 }, "rr25": { "current": -5.58, "previous": -4.54, "change": -1.04, "percentChange": -22.91 }, "bf25": { "current": 1.72, "previous": 1.7, "change": 0.02, "percentChange": 1.18 }, "svi": { "a": { "current": -0.0381, "previous": -0.0653, "change": 0.0272, "percentChange": 41.62 }, "b": { "current": 0.0921, "previous": 0.119, "change": -0.0269, "percentChange": -22.58 }, "rho": { "current": 0.0959, "previous": 0.065, "change": 0.031, "percentChange": 47.65 }, "m": { "current": 0.1136, "previous": 0.0962, "change": 0.0174, "percentChange": 18.11 }, "sigma": { "current": 0.4474, "previous": 0.5776, "change": -0.1302, "percentChange": -22.55 } }, "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": [ 71.2305, 69.2284, 67.2173, 65.1991, 63.1759, 61.1504, 59.1257, 57.1055, 55.0939, 53.0963, 51.1184, 49.1674, 47.2516, 45.3804, 43.5652, 41.8187, 40.1557, 38.5929, 37.149, 35.8442, 34.7, 33.7383, 32.9801, 32.4445, 32.1466, 32.0963, 32.2973, 32.7469, 33.4358, 34.3496, 35.4704, 36.7777, 38.2503, 39.8675, 41.6092, 43.4571, 45.3945, 47.4066, 49.4803, 51.604, 53.7678 ], "previous": [ 69.5255, 67.4555, 65.3863, 63.3204, 61.261, 59.2112, 57.1752, 55.1573, 53.1627, 51.1975, 49.2686, 47.3837, 45.552, 43.7837, 42.0905, 40.4855, 38.9833, 37.5998, 36.3521, 35.258, 34.3351, 33.6007, 33.0697, 32.7542, 32.6622, 32.7969, 33.1565, 33.7341, 34.5188, 35.4964, 36.6505, 37.964, 39.4192, 40.9995, 42.6888, 44.4725, 46.3374, 48.2715, 50.2644, 52.3066, 54.39 ], "change": [ 1.705, 1.7729, 1.831, 1.8787, 1.9149, 1.9392, 1.9505, 1.9482, 1.9312, 1.8988, 1.8498, 1.7837, 1.6996, 1.5967, 1.4747, 1.3332, 1.1724, 0.9931, 0.7969, 0.5862, 0.3649, 0.1376, -0.0896, -0.3097, -0.5156, -0.7006, -0.8592, -0.9872, -1.083, -1.1468, -1.1801, -1.1863, -1.1689, -1.132, -1.0796, -1.0154, -0.9429, -0.8649, -0.7841, -0.7026, -0.6222 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.345, "rotation": -3.03, "wingChange": -0.03, "rmsChange": 1.312 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.04749051, "daysToExpiry": 17.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62343.79, "previous": 63857.0, "change": -1513.21, "percentChange": -2.37 }, "atmIv": { "current": 35.42, "previous": 34.36, "change": 1.06, "percentChange": 3.08 }, "rr25": { "current": -4.86, "previous": -4.55, "change": -0.31, "percentChange": -6.81 }, "bf25": { "current": 1.7, "previous": 1.71, "change": -0.01, "percentChange": -0.58 }, "svi": { "a": { "current": -0.0424, "previous": -0.0711, "change": 0.0287, "percentChange": 40.32 }, "b": { "current": 0.1076, "previous": 0.1297, "change": -0.0221, "percentChange": -17.07 }, "rho": { "current": 0.226, "previous": 0.1374, "change": 0.0885, "percentChange": 64.43 }, "m": { "current": 0.1839, "previous": 0.1573, "change": 0.0266, "percentChange": 16.92 }, "sigma": { "current": 0.456, "previous": 0.5953, "change": -0.1392, "percentChange": -23.39 } }, "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": [ 60.4378, 59.0257, 57.6119, 56.198, 54.7857, 53.3772, 51.975, 50.5818, 49.2008, 47.8358, 46.491, 45.1711, 43.8816, 42.6288, 41.4194, 40.2611, 39.1626, 38.133, 37.1822, 36.3209, 35.5599, 34.9102, 34.3825, 33.9867, 33.7316, 33.6242, 33.6696, 33.8703, 34.2264, 34.7355, 35.3927, 36.1913, 37.1232, 38.1789, 39.3483, 40.621, 41.9868, 43.4354, 44.9574, 46.5435, 48.1854 ], "previous": [ 60.0828, 58.563, 57.0471, 55.5369, 54.0347, 52.5429, 51.0646, 49.6029, 48.1614, 46.7443, 45.3561, 44.002, 42.6876, 41.4193, 40.2041, 39.0496, 37.964, 36.9561, 36.035, 35.2104, 34.4916, 33.8879, 33.408, 33.0594, 32.8484, 32.7795, 32.8552, 33.0757, 33.4395, 33.9425, 34.5794, 35.3431, 36.2255, 37.2181, 38.3117, 39.4973, 40.7659, 42.109, 43.5184, 44.9867, 46.5067 ], "change": [ 0.355, 0.4627, 0.5648, 0.6611, 0.751, 0.8343, 0.9104, 0.9789, 1.0394, 1.0915, 1.1349, 1.1691, 1.194, 1.2095, 1.2153, 1.2115, 1.1986, 1.1769, 1.1472, 1.1105, 1.0683, 1.0223, 0.9745, 0.9273, 0.8832, 0.8447, 0.8144, 0.7946, 0.7869, 0.793, 0.8133, 0.8482, 0.8977, 0.9608, 1.0366, 1.1237, 1.2209, 1.3264, 1.439, 1.5568, 1.6787 ], "classification": [ "parallel shift higher" ], "parallelShift": 1.006, "rotation": -0.322, "wingChange": -0.094, "rmsChange": 1.04 } }, { "label": "28AUG26", "expiry": 1787904000000, "tauYears": 0.12420284, "daysToExpiry": 45.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62540.5, "previous": 64056.26, "change": -1515.76, "percentChange": -2.37 }, "atmIv": { "current": 35.77, "previous": 35.22, "change": 0.55, "percentChange": 1.56 }, "rr25": { "current": -7.25, "previous": -6.61, "change": -0.64, "percentChange": -9.68 }, "bf25": { "current": 2.27, "previous": 2.23, "change": 0.04, "percentChange": 1.79 }, "svi": { "a": { "current": -0.0384, "previous": -0.0444, "change": 0.006, "percentChange": 13.5 }, "b": { "current": 0.1343, "previous": 0.1343, "change": 0.0001, "percentChange": 0.05 }, "rho": { "current": 0.1714, "previous": 0.1198, "change": 0.0516, "percentChange": 43.04 }, "m": { "current": 0.2056, "previous": 0.1844, "change": 0.0212, "percentChange": 11.49 }, "sigma": { "current": 0.3907, "previous": 0.4344, "change": -0.0437, "percentChange": -10.06 } }, "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": [ 53.6974, 52.7596, 51.8194, 50.8775, 49.9347, 48.9919, 48.0504, 47.1113, 46.176, 45.2462, 44.3238, 43.4108, 42.5096, 41.6228, 40.7533, 39.9046, 39.0801, 38.2838, 37.5202, 36.794, 36.1101, 35.4739, 34.8909, 34.3669, 33.9075, 33.5183, 33.2046, 32.9713, 32.8227, 32.762, 32.7918, 32.9136, 33.1274, 33.4326, 33.827, 34.3078, 34.8709, 35.5119, 36.2255, 37.0062, 37.8483 ], "previous": [ 52.6569, 51.7154, 50.7734, 49.8316, 48.8912, 47.9533, 47.0192, 46.0902, 45.168, 44.2545, 43.3516, 42.4616, 41.587, 40.7306, 39.8954, 39.0847, 38.3021, 37.5515, 36.8371, 36.1632, 35.5344, 34.9554, 34.431, 33.9661, 33.5653, 33.2328, 32.9729, 32.7889, 32.6837, 32.6595, 32.7174, 32.8579, 33.0804, 33.3835, 33.765, 34.222, 34.7508, 35.3473, 36.0072, 36.7256, 37.4979 ], "change": [ 1.0405, 1.0442, 1.046, 1.0459, 1.0435, 1.0386, 1.0312, 1.0211, 1.008, 0.9917, 0.9722, 0.9492, 0.9226, 0.8922, 0.8579, 0.8199, 0.778, 0.7323, 0.6831, 0.6308, 0.5757, 0.5185, 0.4599, 0.4008, 0.3422, 0.2855, 0.2317, 0.1824, 0.139, 0.1025, 0.0744, 0.0557, 0.047, 0.0491, 0.062, 0.0858, 0.1201, 0.1646, 0.2183, 0.2806, 0.3504 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.541, "rotation": -0.898, "wingChange": -0.052, "rmsChange": 0.683 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.20091517, "daysToExpiry": 73.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 62748.6, "previous": 64249.21, "change": -1500.61, "percentChange": -2.34 }, "atmIv": { "current": 36.89, "previous": 36.56, "change": 0.33, "percentChange": 0.9 }, "rr25": { "current": -6.81, "previous": -6.17, "change": -0.64, "percentChange": -10.37 }, "bf25": { "current": 2.55, "previous": 2.51, "change": 0.04, "percentChange": 1.59 }, "svi": { "a": { "current": -0.1041, "previous": -0.107, "change": 0.0028, "percentChange": 2.66 }, "b": { "current": 0.1933, "previous": 0.1927, "change": 0.0005, "percentChange": 0.28 }, "rho": { "current": -0.0476, "previous": -0.1254, "change": 0.0778, "percentChange": 62.07 }, "m": { "current": 0.1361, "previous": 0.0705, "change": 0.0656, "percentChange": 93.09 }, "sigma": { "current": 0.6632, "previous": 0.6869, "change": -0.0237, "percentChange": -3.44 } }, "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": [ 51.4975, 50.6638, 49.8358, 49.0145, 48.2009, 47.3959, 46.6007, 45.8166, 45.0448, 44.2866, 43.5435, 42.817, 42.1087, 41.4203, 40.7534, 40.11, 39.4919, 38.901, 38.3391, 37.8083, 37.3105, 36.8476, 36.4215, 36.034, 35.6867, 35.3812, 35.119, 34.9013, 34.7291, 34.6031, 34.5239, 34.4919, 34.507, 34.5691, 34.6775, 34.8316, 35.0305, 35.2728, 35.5572, 35.8823, 36.2462 ], "previous": [ 50.7117, 49.8755, 49.0471, 48.2276, 47.4181, 46.6197, 45.8336, 45.0611, 44.3034, 43.5622, 42.8387, 42.1345, 41.4513, 40.7906, 40.1542, 39.5437, 38.9609, 38.4075, 37.8853, 37.396, 36.9411, 36.5225, 36.1414, 35.7994, 35.4976, 35.2373, 35.0193, 34.8444, 34.7131, 34.6257, 34.5824, 34.583, 34.6271, 34.7142, 34.8434, 35.0139, 35.2244, 35.4737, 35.7603, 36.0826, 36.4392 ], "change": [ 0.7858, 0.7883, 0.7887, 0.7869, 0.7828, 0.7762, 0.7671, 0.7555, 0.7414, 0.7244, 0.7048, 0.6825, 0.6574, 0.6297, 0.5992, 0.5663, 0.531, 0.4935, 0.4538, 0.4123, 0.3694, 0.3251, 0.2801, 0.2346, 0.1891, 0.1439, 0.0997, 0.0569, 0.016, -0.0226, -0.0585, -0.0911, -0.1201, -0.1451, -0.1659, -0.1823, -0.1939, -0.2009, -0.2031, -0.2003, -0.193 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.339, "rotation": -0.763, "wingChange": -0.046, "rmsChange": 0.495 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.45023028, "daysToExpiry": 164.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63342.32, "previous": 64860.0, "change": -1517.68, "percentChange": -2.34 }, "atmIv": { "current": 40.63, "previous": 40.39, "change": 0.24, "percentChange": 0.59 }, "rr25": { "current": -6.2, "previous": -5.89, "change": -0.31, "percentChange": -5.26 }, "bf25": { "current": 2.82, "previous": 2.69, "change": 0.13, "percentChange": 4.83 }, "svi": { "a": { "current": -0.1914, "previous": -0.2199, "change": 0.0286, "percentChange": 12.99 }, "b": { "current": 0.2893, "previous": 0.3187, "change": -0.0294, "percentChange": -9.23 }, "rho": { "current": -0.3437, "previous": -0.4449, "change": 0.1013, "percentChange": 22.76 }, "m": { "current": -0.0952, "previous": -0.244, "change": 0.1488, "percentChange": 60.97 }, "sigma": { "current": 0.9548, "previous": 1.0085, "change": -0.0538, "percentChange": -5.33 } }, "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": [ 49.7591, 49.2274, 48.7046, 48.1912, 47.6874, 47.1937, 46.7106, 46.2385, 45.7777, 45.3288, 44.8922, 44.4682, 44.0572, 43.6597, 43.2761, 42.9066, 42.5518, 42.2118, 41.8872, 41.578, 41.2847, 41.0075, 40.7466, 40.5023, 40.2746, 40.0639, 39.8702, 39.6936, 39.5341, 39.3919, 39.2668, 39.1589, 39.0682, 38.9944, 38.9375, 38.8974, 38.8739, 38.8667, 38.8756, 38.9003, 38.9407 ], "previous": [ 49.2619, 48.7309, 48.2104, 47.7006, 47.2019, 46.7147, 46.2394, 45.7762, 45.3255, 44.8877, 44.4631, 44.0519, 43.6546, 43.2714, 42.9025, 42.5482, 42.2088, 41.8845, 41.5755, 41.282, 41.0041, 40.7421, 40.4959, 40.2658, 40.0518, 39.8538, 39.6721, 39.5065, 39.3571, 39.2237, 39.1064, 39.0049, 38.9193, 38.8493, 38.7947, 38.7555, 38.7313, 38.7219, 38.7272, 38.7468, 38.7804 ], "change": [ 0.4972, 0.4965, 0.4942, 0.4906, 0.4855, 0.479, 0.4712, 0.4623, 0.4522, 0.4411, 0.4291, 0.4163, 0.4026, 0.3883, 0.3736, 0.3584, 0.343, 0.3273, 0.3117, 0.296, 0.2806, 0.2654, 0.2507, 0.2365, 0.2228, 0.2101, 0.1981, 0.1871, 0.177, 0.1682, 0.1604, 0.154, 0.1489, 0.1451, 0.1428, 0.1419, 0.1426, 0.1448, 0.1484, 0.1535, 0.1603 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.29, "rotation": -0.269, "wingChange": 0.014, "rmsChange": 0.326 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.69954531, "daysToExpiry": 255.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 63996.2, "previous": 65520.7, "change": -1524.5, "percentChange": -2.33 }, "atmIv": { "current": 41.99, "previous": 41.74, "change": 0.25, "percentChange": 0.6 }, "rr25": { "current": -5.75, "previous": -5.62, "change": -0.13, "percentChange": -2.31 }, "bf25": { "current": 2.73, "previous": 2.68, "change": 0.05, "percentChange": 1.87 }, "svi": { "a": { "current": -0.231, "previous": -0.2115, "change": -0.0195, "percentChange": -9.22 }, "b": { "current": 0.349, "previous": 0.3449, "change": 0.0041, "percentChange": 1.19 }, "rho": { "current": -0.4557, "previous": -0.487, "change": 0.0313, "percentChange": 6.43 }, "m": { "current": -0.2357, "previous": -0.2689, "change": 0.0331, "percentChange": 12.33 }, "sigma": { "current": 1.1119, "previous": 1.0795, "change": 0.0324, "percentChange": 3.0 } }, "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": [ 48.9871, 48.5986, 48.2173, 47.8436, 47.4776, 47.1194, 46.7693, 46.4274, 46.0939, 45.769, 45.4527, 45.1454, 44.847, 44.5578, 44.2779, 44.0073, 43.7463, 43.4949, 43.2532, 43.0213, 42.7993, 42.5872, 42.3851, 42.1931, 42.0111, 41.8392, 41.6775, 41.5258, 41.3843, 41.2528, 41.1314, 41.02, 40.9186, 40.8271, 40.7454, 40.6735, 40.6112, 40.5586, 40.5154, 40.4815, 40.4569 ], "previous": [ 48.6421, 48.2553, 47.876, 47.5044, 47.1408, 46.7853, 46.4381, 46.0993, 45.7691, 45.4476, 45.135, 44.8315, 44.5371, 44.252, 43.9763, 43.7101, 43.4535, 43.2066, 42.9694, 42.7421, 42.5247, 42.3172, 42.1197, 41.9321, 41.7546, 41.5871, 41.4296, 41.2821, 41.1445, 41.0169, 40.8992, 40.7912, 40.6931, 40.6046, 40.5258, 40.4564, 40.3965, 40.3458, 40.3043, 40.2719, 40.2485 ], "change": [ 0.345, 0.3433, 0.3413, 0.3392, 0.3368, 0.3341, 0.3312, 0.3281, 0.3248, 0.3214, 0.3177, 0.3139, 0.3099, 0.3058, 0.3016, 0.2972, 0.2928, 0.2883, 0.2838, 0.2792, 0.2746, 0.27, 0.2654, 0.261, 0.2565, 0.2521, 0.2479, 0.2437, 0.2398, 0.2359, 0.2322, 0.2288, 0.2255, 0.2225, 0.2196, 0.2171, 0.2147, 0.2128, 0.2111, 0.2096, 0.2084 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.275, "rotation": -0.086, "wingChange": 0.0, "rmsChange": 0.279 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.94886041, "daysToExpiry": 346.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 64658.77, "previous": 66186.27, "change": -1527.5, "percentChange": -2.31 }, "atmIv": { "current": 42.88, "previous": 42.76, "change": 0.12, "percentChange": 0.28 }, "rr25": { "current": -5.29, "previous": -5.34, "change": 0.05, "percentChange": 0.94 }, "bf25": { "current": 2.69, "previous": 2.58, "change": 0.11, "percentChange": 4.26 }, "svi": { "a": { "current": -0.2436, "previous": -0.2378, "change": -0.0057, "percentChange": -2.42 }, "b": { "current": 0.402, "previous": 0.4029, "change": -0.0009, "percentChange": -0.22 }, "rho": { "current": -0.5272, "previous": -0.5608, "change": 0.0336, "percentChange": 6.0 }, "m": { "current": -0.3511, "previous": -0.4013, "change": 0.0502, "percentChange": 12.51 }, "sigma": { "current": 1.193, "previous": 1.2006, "change": -0.0075, "percentChange": -0.63 } }, "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": [ 48.7639, 48.4514, 48.1451, 47.8451, 47.5516, 47.2646, 46.9842, 46.7105, 46.4435, 46.1834, 45.9302, 45.684, 45.4449, 45.2128, 44.9879, 44.7701, 44.5596, 44.3564, 44.1604, 43.9718, 43.7905, 43.6165, 43.4498, 43.2905, 43.1385, 42.9938, 42.8564, 42.7263, 42.6035, 42.4878, 42.3793, 42.278, 42.1837, 42.0964, 42.0162, 41.9428, 41.8762, 41.8165, 41.7634, 41.7169, 41.677 ], "previous": [ 48.5911, 48.2826, 47.9803, 47.6843, 47.3946, 47.1113, 46.8345, 46.5643, 46.3007, 46.0437, 45.7936, 45.5502, 45.3136, 45.0839, 44.8612, 44.6454, 44.4366, 44.2347, 44.0399, 43.8521, 43.6713, 43.4976, 43.3309, 43.1712, 43.0185, 42.8728, 42.734, 42.6022, 42.4773, 42.3592, 42.2479, 42.1435, 42.0457, 41.9546, 41.8701, 41.7922, 41.7208, 41.6557, 41.597, 41.5446, 41.4983 ], "change": [ 0.1728, 0.1688, 0.1648, 0.1608, 0.157, 0.1533, 0.1497, 0.1462, 0.1428, 0.1397, 0.1366, 0.1338, 0.1313, 0.1289, 0.1267, 0.1247, 0.123, 0.1217, 0.1205, 0.1197, 0.1192, 0.1189, 0.1189, 0.1193, 0.12, 0.121, 0.1224, 0.1241, 0.1262, 0.1286, 0.1314, 0.1345, 0.138, 0.1418, 0.1461, 0.1506, 0.1554, 0.1608, 0.1664, 0.1723, 0.1787 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.129, "rotation": -0.005, "wingChange": 0.015, "rmsChange": 0.141 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "24JUL26", "value": -3.03, "score": 3.03, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -0.9, "score": 0.9, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": 0.83, "score": 0.83, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "31JUL26", "value": -0.1392, "score": 0.1392, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1Y", "value": 0.12, "score": 0.12, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25DEC26", "value": 0.1013, "score": 0.1013, "unit": "parameter units" } ], "expiryEffects": [ { "label": "14JUL26", "daysToExpiry": 0.334, "metric": "Smile rotation", "value": -8.969, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "15JUL26", "daysToExpiry": 1.334, "metric": "Smile rotation", "value": -3.818, "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": 245.84843169, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "14JUL26", "expiry": 1784016000000, "value": 0.000586191314, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "14JUL26", "expiry": 1784016000000, "value": -406.38860918, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00190112, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -25.00717049, "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": "14JUL26", "values": [ 71.3806, 67.7763, 64.1675, 60.5551, 56.9404, 53.3242, 49.707, 46.0897, 42.4721, 38.8543, 35.2359, 31.6162, 27.9941, 24.3694, 20.7439, 17.1244, 13.5322, 10.0203, 6.7116, 3.8608, 1.8965, 1.2913, 2.1994, 4.2977, 7.0904, 10.2054, 13.438, 16.6915, 19.9234, 23.1171, 26.2667, 29.3713, 32.4319, 35.4503, 38.4284, 41.3681, 44.2708, 47.1381, 49.9714, 52.7719, 55.5405 ] }, { "label": "15JUL26", "values": [ 16.6233, 15.9282, 15.2295, 14.5275, 13.8219, 13.1129, 12.4006, 11.6847, 10.9654, 10.2426, 9.5165, 8.7868, 8.0542, 7.3188, 6.5822, 5.8467, 5.1173, 4.4038, 3.7235, 3.1057, 2.5927, 2.2334, 2.0667, 2.1043, 2.3278, 2.7008, 3.1847, 3.7471, 4.3638, 5.018, 5.6982, 6.3964, 7.1073, 7.827, 8.5527, 9.2824, 10.0144, 10.7476, 11.481, 12.2139, 12.9455 ] }, { "label": "16JUL26", "values": [ 7.6085, 7.3348, 7.0522, 6.7603, 6.4588, 6.1476, 5.8265, 5.4954, 5.154, 4.8026, 4.441, 4.0694, 3.6882, 3.2982, 2.9009, 2.4987, 2.0958, 1.6993, 1.3201, 0.9743, 0.683, 0.4692, 0.3524, 0.3414, 0.4317, 0.6077, 0.8492, 1.1365, 1.4536, 1.7886, 2.1328, 2.4806, 2.8279, 3.1723, 3.512, 3.8457, 4.1726, 4.4923, 4.8046, 5.1091, 5.4057 ] }, { "label": "17JUL26", "values": [ 6.3775, 6.2182, 6.0427, 5.8501, 5.6401, 5.4118, 5.1649, 4.8992, 4.6146, 4.3113, 3.9902, 3.6527, 3.3011, 2.9389, 2.5713, 2.2061, 1.8542, 1.5305, 1.2542, 1.0485, 0.9384, 0.9454, 1.0822, 1.3485, 1.731, 2.2078, 2.7549, 3.3502, 3.9764, 4.6207, 5.2741, 5.9304, 6.5853, 7.2359, 7.8802, 8.5164, 9.1435, 9.7607, 10.3674, 10.9628, 11.5468 ] }, { "label": "24JUL26", "values": [ 1.705, 1.7729, 1.831, 1.8787, 1.9149, 1.9392, 1.9505, 1.9482, 1.9312, 1.8988, 1.8498, 1.7837, 1.6996, 1.5967, 1.4747, 1.3332, 1.1724, 0.9931, 0.7969, 0.5862, 0.3649, 0.1376, -0.0896, -0.3097, -0.5156, -0.7006, -0.8592, -0.9872, -1.083, -1.1468, -1.1801, -1.1863, -1.1689, -1.132, -1.0796, -1.0154, -0.9429, -0.8649, -0.7841, -0.7026, -0.6222 ] }, { "label": "31JUL26", "values": [ 0.355, 0.4627, 0.5648, 0.6611, 0.751, 0.8343, 0.9104, 0.9789, 1.0394, 1.0915, 1.1349, 1.1691, 1.194, 1.2095, 1.2153, 1.2115, 1.1986, 1.1769, 1.1472, 1.1105, 1.0683, 1.0223, 0.9745, 0.9273, 0.8832, 0.8447, 0.8144, 0.7946, 0.7869, 0.793, 0.8133, 0.8482, 0.8977, 0.9608, 1.0366, 1.1237, 1.2209, 1.3264, 1.439, 1.5568, 1.6787 ] }, { "label": "28AUG26", "values": [ 1.0405, 1.0442, 1.046, 1.0459, 1.0435, 1.0386, 1.0312, 1.0211, 1.008, 0.9917, 0.9722, 0.9492, 0.9226, 0.8922, 0.8579, 0.8199, 0.778, 0.7323, 0.6831, 0.6308, 0.5757, 0.5185, 0.4599, 0.4008, 0.3422, 0.2855, 0.2317, 0.1824, 0.139, 0.1025, 0.0744, 0.0557, 0.047, 0.0491, 0.062, 0.0858, 0.1201, 0.1646, 0.2183, 0.2806, 0.3504 ] }, { "label": "25SEP26", "values": [ 0.7858, 0.7883, 0.7887, 0.7869, 0.7828, 0.7762, 0.7671, 0.7555, 0.7414, 0.7244, 0.7048, 0.6825, 0.6574, 0.6297, 0.5992, 0.5663, 0.531, 0.4935, 0.4538, 0.4123, 0.3694, 0.3251, 0.2801, 0.2346, 0.1891, 0.1439, 0.0997, 0.0569, 0.016, -0.0226, -0.0585, -0.0911, -0.1201, -0.1451, -0.1659, -0.1823, -0.1939, -0.2009, -0.2031, -0.2003, -0.193 ] }, { "label": "25DEC26", "values": [ 0.4972, 0.4965, 0.4942, 0.4906, 0.4855, 0.479, 0.4712, 0.4623, 0.4522, 0.4411, 0.4291, 0.4163, 0.4026, 0.3883, 0.3736, 0.3584, 0.343, 0.3273, 0.3117, 0.296, 0.2806, 0.2654, 0.2507, 0.2365, 0.2228, 0.2101, 0.1981, 0.1871, 0.177, 0.1682, 0.1604, 0.154, 0.1489, 0.1451, 0.1428, 0.1419, 0.1426, 0.1448, 0.1484, 0.1535, 0.1603 ] }, { "label": "26MAR27", "values": [ 0.345, 0.3433, 0.3413, 0.3392, 0.3368, 0.3341, 0.3312, 0.3281, 0.3248, 0.3214, 0.3177, 0.3139, 0.3099, 0.3058, 0.3016, 0.2972, 0.2928, 0.2883, 0.2838, 0.2792, 0.2746, 0.27, 0.2654, 0.261, 0.2565, 0.2521, 0.2479, 0.2437, 0.2398, 0.2359, 0.2322, 0.2288, 0.2255, 0.2225, 0.2196, 0.2171, 0.2147, 0.2128, 0.2111, 0.2096, 0.2084 ] }, { "label": "25JUN27", "values": [ 0.1728, 0.1688, 0.1648, 0.1608, 0.157, 0.1533, 0.1497, 0.1462, 0.1428, 0.1397, 0.1366, 0.1338, 0.1313, 0.1289, 0.1267, 0.1247, 0.123, 0.1217, 0.1205, 0.1197, 0.1192, 0.1189, 0.1189, 0.1193, 0.12, 0.121, 0.1224, 0.1241, 0.1262, 0.1286, 0.1314, 0.1345, 0.138, 0.1418, 0.1461, 0.1506, 0.1554, 0.1608, 0.1664, 0.1723, 0.1787 ] } ] } }