{ "schemaVersion": 2, "reportDate": "2026-07-18", "generatedAt": "2026-07-25T18:45:27+00:00", "currentSnapshotAt": "2026-07-18T23:59:00+00:00", "previousSnapshotAt": "2026-07-17T23:59:00+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": 0.11537091, "previousObjective": 0.38763735, "currentLiveError": 93.88171822, "previousLiveError": 183.81312997 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "22JUL26" ], "removedExpiries": [ "18JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options: long-dated volatility eased while front-end pricing held steady", "executiveSummary": "Front-end ATM IV was broadly unchanged, while long-dated ATM IV declined; skew and convexity were also broadly unchanged.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "No collected headlines were available for the period; no clear news driver was found.", "marketContextSummary": "The session featured limited front-end change alongside softer longer-dated ATM volatility, with little movement in relative put-side volatility or convexity.", "marketContext": [ { "title": "Term structure", "explanation": "Front-end ATM IV was broadly unchanged, while long-dated ATM IV decreased. The largest standard-tenor move was a decline at 3M.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "front-atm", "back-atm", "largest-standard-tenor", "headline-tenor-averages" ], "newsEvidenceIds": [] }, { "title": "Relative put-side volatility", "explanation": "RR25 was broadly unchanged across the headline tenors.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "rr25", "headline-tenor-averages" ], "newsEvidenceIds": [] }, { "title": "Convexity", "explanation": "BF25 was broadly unchanged across the headline tenors.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "bf25", "headline-tenor-averages" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV was broadly unchanged, averaging +0.06 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.30 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 -0.04 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 -0.47 volatility points at 3M.", "tenor": "3M", "value": -0.47 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-25T18:43:11+00:00", "window": { "startAt": "2026-07-17T23:59:00+00:00", "endAt": "2026-07-18T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-17T23:59:00+00:00", "endAt": "2026-07-18T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": 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"The largest standard-tenor ATM IV move was -0.47 volatility points at 3M.", "tenor": "3M", "value": -0.47 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": -0.15, "rr25Change": -0.01, "bf25Change": -0.04 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1785023942021, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.93, "previous": 32.48, "change": 0.45, "percentChange": 1.39 }, "rr25": { "current": -2.51, "previous": -1.93, "change": -0.58, "percentChange": -30.05 }, "bf25": { "current": 1.47, "previous": 1.59, "change": -0.12, "percentChange": -7.55 } }, { "tenor": "2W", "targetExpiry": 1785628742021, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.85, "previous": 33.72, "change": 0.13, "percentChange": 0.39 }, "rr25": { "current": -3.32, "previous": -3.08, "change": -0.24, "percentChange": -7.79 }, "bf25": { "current": 1.72, "previous": 1.74, 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