{ "schemaVersion": 2, "reportDate": "2026-07-20", "generatedAt": "2026-07-25T18:45:45+00:00", "currentSnapshotAt": "2026-07-20T23:59:00+00:00", "previousSnapshotAt": "2026-07-19T23:59:00+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": 0.07898146, "previousObjective": 0.07935636, "currentLiveError": 78.49525344, "previousLiveError": 81.41769674 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "20JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC daily surface: 1W ATM IV rises 0.87 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged +0.32 volatility points, RR25 +0.36 volatility points and BF25 +0.02 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.44 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.36 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 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 +0.87 volatility points at 1W.", "tenor": "1W", "value": 0.87 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ], "newsSummary": "No relevant news headlines were collected for this edition.", "marketContextSummary": "No relevant news items were available for the comparison window.", "marketContext": [], "newsEvidenceIds": [] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-25T18:43:35+00:00", "window": { "startAt": "2026-07-19T23:59:00+00:00", "endAt": "2026-07-20T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-19T23:59:00+00:00", "endAt": "2026-07-20T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 315, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6 }, "items": [] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.44 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.36 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 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 +0.87 volatility points at 1W.", "tenor": "1W", "value": 0.87 } ], "summaryMetrics": { "basis": "Average change across 1W, 2W, 1M, 3M, 6M and 1Y", "unit": "volatility points", "atmIvChange": 0.32, "rr25Change": 0.36, "bf25Change": 0.02 }, "tenors": [ { "tenor": "1W", "targetExpiry": 1785196742024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.75, "previous": 33.88, "change": 0.87, "percentChange": 2.57 }, "rr25": { "current": -2.47, "previous": -3.08, "change": 0.61, "percentChange": 19.81 }, "bf25": { "current": 1.71, "previous": 1.74, "change": -0.03, "percentChange": -1.72 } }, { "tenor": "2W", "targetExpiry": 1785801542024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.63, "previous": 34.38, "change": 0.25, "percentChange": 0.73 }, "rr25": { "current": -3.18, "previous": -3.97, "change": 0.79, "percentChange": 19.9 }, "bf25": { "current": 1.88, "previous": 1.91, "change": -0.03, "percentChange": -1.57 } }, { "tenor": "1M", "targetExpiry": 1787183942024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.32, "previous": 34.12, "change": 0.2, "percentChange": 0.59 }, "rr25": { "current": -4.36, "previous": -4.69, "change": 0.33, "percentChange": 7.04 }, "bf25": { "current": 2.28, "previous": 2.21, "change": 0.07, "percentChange": 3.17 } }, { "tenor": "3M", "targetExpiry": 1792454342024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.58, "previous": 37.38, "change": 0.2, "percentChange": 0.54 }, "rr25": { "current": -5.36, "previous": -5.37, "change": 0.01, "percentChange": 0.19 }, "bf25": { "current": 2.68, "previous": 2.59, "change": 0.09, "percentChange": 3.47 } }, { "tenor": "6M", "targetExpiry": 1800316742024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.34, "previous": 40.19, "change": 0.15, "percentChange": 0.37 }, "rr25": { "current": -5.45, "previous": -5.49, "change": 0.04, "percentChange": 0.73 }, "bf25": { "current": 2.77, "previous": 2.69, "change": 0.08, "percentChange": 2.97 } }, { "tenor": "9M", "targetExpiry": 1808179142024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.54, "previous": 41.4, "change": 0.14, "percentChange": 0.34 }, "rr25": { "current": -5.27, "previous": -5.5, "change": 0.23, "percentChange": 4.18 }, "bf25": { "current": 2.71, "previous": 2.66, "change": 0.05, "percentChange": 1.88 } }, { "tenor": "1Y", "targetExpiry": 1816127942024, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.52, "previous": 42.26, "change": 0.26, "percentChange": 0.62 }, "rr25": { "current": -4.98, "previous": -5.35, "change": 0.37, "percentChange": 6.92 }, "bf25": { "current": 2.56, "previous": 2.65, "change": -0.09, "percentChange": -3.4 } } ], "listedExpiries": [ { "label": "21JUL26", "expiry": 1784620800000, "tauYears": 0.00091515, "daysToExpiry": 0.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 65215.63, "previous": 64698.95, "change": 516.68, "percentChange": 0.8 }, "atmIv": { "current": 26.47, "previous": 33.93, "change": -7.46, "percentChange": -21.99 }, "rr25": { "current": -2.96, "previous": -2.53, "change": -0.43, "percentChange": -17.0 }, "bf25": { "current": 0.5, "previous": 1.33, "change": -0.83, "percentChange": -62.41 }, "svi": { "a": { "current": -0.0693, "previous": -0.0383, "change": -0.031, "percentChange": -80.86 }, "b": { "current": 0.0702, "previous": 0.0798, "change": -0.0097, "percentChange": -12.09 }, "rho": { "current": -0.1184, "previous": -0.0716, "change": -0.0468, "percentChange": -65.31 }, "m": { "current": -0.0997, "previous": -0.0213, "change": -0.0784, "percentChange": -367.59 }, "sigma": { "current": 0.995, "previous": 0.4862, "change": 0.5088, "percentChange": 104.65 } }, "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": [ 198.5149, 189.366, 180.2096, 171.0482, 161.8849, 152.7227, 143.5655, 134.4175, 125.284, 116.1713, 107.0873, 98.0423, 89.0501, 80.1299, 71.3092, 62.6301, 54.1595, 46.0099, 38.3814, 31.6454, 26.4804, 23.9115, 24.7439, 28.6667, 34.6308, 41.7572, 49.5345, 57.6886, 66.0695, 74.5908, 83.1999, 91.8632, 100.5579, 109.2686, 117.9837, 126.6948, 135.3955, 144.0806, 152.7462, 161.3888, 170.0057 ], "previous": [ 148.1387, 141.8277, 135.476, 129.0881, 122.669, 116.2253, 109.7644, 103.2957, 96.8306, 90.3833, 83.9716, 77.6184, 71.3532, 65.2153, 59.258, 53.5544, 48.2062, 43.3554, 39.1947, 35.9685, 33.9448, 33.3393, 34.2193, 36.4661, 39.8356, 44.0558, 48.8909, 54.16, 59.7319, 65.5131, 71.4367, 77.4547, 83.5315, 89.641, 95.763, 101.8824, 107.9871, 114.0678, 120.1172, 126.1293, 132.0994 ], "change": [ 50.3762, 47.5383, 44.7336, 41.9601, 39.2159, 36.4974, 33.8011, 31.1218, 28.4534, 25.788, 23.1157, 20.4239, 17.6969, 14.9146, 12.0512, 9.0757, 5.9533, 2.6545, -0.8133, -4.3231, -7.4644, -9.4278, -9.4754, -7.7994, -5.2048, -2.2986, 0.6436, 3.5286, 6.3376, 9.0777, 11.7632, 14.4085, 17.0264, 19.6276, 22.2207, 24.8124, 27.4084, 30.0128, 32.629, 35.2595, 37.9063 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 9.138, "rotation": -11.353, "wingChange": 24.904, "rmsChange": 24.585 } }, { "label": "22JUL26", "expiry": 1784707200000, "tauYears": 0.00365487, "daysToExpiry": 1.334, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 65239.44, "previous": 64703.07, "change": 536.37, "percentChange": 0.83 }, "atmIv": { "current": 31.5, "previous": 33.03, "change": -1.53, "percentChange": -4.63 }, "rr25": { "current": -1.18, "previous": -2.74, "change": 1.56, "percentChange": 56.93 }, "bf25": { "current": 1.08, "previous": 1.4, "change": -0.32, "percentChange": -22.86 }, "svi": { "a": { "current": -0.0575, "previous": -0.0529, "change": -0.0047, "percentChange": -8.81 }, "b": { "current": 0.0929, "previous": 0.097, "change": -0.0041, "percentChange": -4.22 }, "rho": { "current": -0.0847, "previous": -0.0925, "change": 0.0078, "percentChange": 8.48 }, "m": { "current": -0.046, "previous": -0.0331, "change": -0.0129, "percentChange": -38.9 }, "sigma": { "current": 0.6253, "previous": 0.5543, "change": 0.071, "percentChange": 12.81 } }, "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": [ 140.1053, 133.8235, 127.5244, 121.2127, 114.8938, 108.5739, 102.2607, 95.9634, 89.6931, 83.4638, 77.2933, 71.2044, 65.2273, 59.4026, 53.7863, 48.4564, 43.5226, 39.1378, 35.507, 32.8796, 31.5037, 31.5372, 32.9673, 35.6165, 39.2279, 43.5517, 48.386, 53.5813, 59.0313, 64.6606, 70.4153, 76.2568, 82.1563, 88.0924, 94.0487, 100.0127, 105.9743, 111.9255, 117.86, 123.7726, 129.659 ], "previous": [ 119.9554, 114.9551, 109.9386, 104.9104, 99.8756, 94.8404, 89.8121, 84.7994, 79.8131, 74.8659, 69.9739, 65.1572, 60.4412, 55.8584, 51.4511, 47.2744, 43.3998, 39.9193, 36.9468, 34.614, 33.0551, 32.3786, 32.6339, 33.7926, 35.7585, 38.3984, 41.574, 45.1622, 49.0621, 53.1947, 57.4996, 61.9309, 66.4534, 71.0404, 75.671, 80.329, 85.0014, 89.6782, 94.351, 99.0133, 103.6596 ], "change": [ 20.1499, 18.8684, 17.5858, 16.3023, 15.0182, 13.7335, 12.4486, 11.164, 9.88, 8.5979, 7.3194, 6.0472, 4.7861, 3.5442, 2.3352, 1.182, 0.1228, -0.7815, -1.4398, -1.7344, -1.5514, -0.8414, 0.3334, 1.8239, 3.4694, 5.1533, 6.812, 8.4191, 9.9692, 11.4659, 12.9157, 14.3259, 15.7029, 17.052, 18.3777, 19.6837, 20.9729, 22.2473, 23.509, 24.7593, 25.9994 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 6.228, "rotation": 5.596, "wingChange": 11.669, "rmsChange": 13.201 } }, { "label": "23JUL26", "expiry": 1784793600000, "tauYears": 0.0063946, "daysToExpiry": 2.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65248.22, "previous": 64709.85, "change": 538.37, "percentChange": 0.83 }, "atmIv": { "current": 32.62, "previous": 32.52, "change": 0.1, "percentChange": 0.31 }, "rr25": { "current": -1.87, "previous": -2.55, "change": 0.68, "percentChange": 26.67 }, "bf25": { "current": 1.43, "previous": 1.49, "change": -0.06, "percentChange": -4.03 }, "svi": { "a": { "current": -0.0666, "previous": -0.0583, "change": -0.0083, "percentChange": -14.3 }, "b": { "current": 0.1122, "previous": 0.1063, "change": 0.006, "percentChange": 5.62 }, "rho": { "current": -0.0982, "previous": -0.0393, "change": -0.0589, "percentChange": -150.01 }, "m": { "current": -0.0476, "previous": -0.0032, "change": -0.0444, "percentChange": -1396.94 }, "sigma": { "current": 0.6024, "previous": 0.5577, "change": 0.0447, "percentChange": 8.02 } }, "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": [ 121.7288, 116.4801, 111.2209, 105.9561, 100.6912, 95.4328, 90.1885, 84.9678, 79.7819, 74.6449, 69.5741, 64.5914, 59.725, 55.0115, 50.4986, 46.2496, 42.3472, 38.8981, 36.033, 33.8993, 32.6376, 32.345, 33.0408, 34.6575, 37.066, 40.1145, 43.6594, 47.5799, 51.781, 56.19, 60.7522, 65.4261, 70.1805, 74.9913, 79.84, 84.712, 89.5957, 94.482, 99.3634, 104.234, 109.0887 ], "previous": [ 105.1077, 100.8732, 96.6259, 92.3697, 88.1097, 83.8514, 79.6019, 75.3695, 71.1642, 66.9984, 62.8872, 58.8495, 54.9089, 51.0952, 47.4461, 44.0093, 40.8448, 38.0262, 35.6401, 33.782, 32.5442, 31.9993, 32.1814, 33.076, 34.6238, 36.7374, 39.3199, 42.2789, 45.5342, 49.0195, 52.682, 56.4797, 60.3797, 64.3562, 68.3885, 72.4605, 76.5589, 80.6732, 84.7947, 88.9164, 93.0323 ], "change": [ 16.6211, 15.6069, 14.595, 13.5864, 12.5815, 11.5814, 10.5866, 9.5983, 8.6177, 7.6465, 6.6869, 5.7419, 4.8161, 3.9163, 3.0525, 2.2403, 1.5024, 0.8719, 0.3929, 0.1173, 0.0934, 0.3457, 0.8594, 1.5815, 2.4422, 3.3771, 4.3395, 5.301, 6.2468, 7.1705, 8.0702, 8.9464, 9.8008, 10.6351, 11.4515, 12.2515, 13.0368, 13.8088, 14.5687, 15.3176, 16.0564 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 4.95, "rotation": 1.383, "wingChange": 7.285, "rmsChange": 9.291 } }, { "label": "24JUL26", "expiry": 1784880000000, "tauYears": 0.00913432, "daysToExpiry": 3.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65257.0, "previous": 64727.9, "change": 529.1, "percentChange": 0.82 }, "atmIv": { "current": 34.2, "previous": 32.56, "change": 1.64, "percentChange": 5.04 }, "rr25": { "current": -2.43, "previous": -2.44, "change": 0.01, "percentChange": 0.41 }, "bf25": { "current": 1.57, "previous": 1.58, "change": -0.01, "percentChange": -0.63 }, "svi": { "a": { "current": -0.0803, "previous": -0.0598, "change": -0.0206, "percentChange": -34.42 }, "b": { "current": 0.1248, "previous": 0.111, "change": 0.0138, "percentChange": 12.44 }, "rho": { "current": -0.0859, "previous": -0.0029, "change": -0.083, "percentChange": -2826.47 }, "m": { "current": -0.0385, "previous": 0.0177, "change": -0.0562, "percentChange": -317.11 }, "sigma": { "current": 0.6547, "previous": 0.5496, "change": 0.105, "percentChange": 19.11 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 106.8251, 102.4416, 98.0583, 93.68, 89.3119, 84.9604, 80.6331, 76.3388, 72.0883, 67.8946, 63.7734, 59.7445, 55.832, 52.0662, 48.485, 45.1354, 42.0755, 39.3746, 37.112, 35.3721, 34.2332, 33.7542, 33.9597, 34.8333, 36.3218, 38.3483, 40.8266, 43.6737, 46.8158, 50.1912, 53.7494, 57.45, 61.2608, 65.1563, 69.116, 73.1237, 77.1661, 81.2326, 85.3142, 89.4039, 93.4957 ], "previous": [ 95.303, 91.5942, 87.8752, 84.15, 80.4231, 76.7003, 72.9882, 69.295, 65.6303, 62.0061, 58.4369, 54.9404, 51.5388, 48.2594, 45.1358, 42.2099, 39.532, 37.162, 35.1678, 33.6207, 32.5881, 32.1218, 32.2472, 32.9573, 34.2139, 35.9572, 38.1167, 40.6218, 43.4077, 46.4184, 49.6074, 52.9366, 56.375, 59.8979, 63.485, 67.1201, 70.7898, 74.4834, 78.1919, 81.9078, 85.6249 ], "change": [ 11.5221, 10.8474, 10.1831, 9.53, 8.8888, 8.2601, 7.6449, 7.0438, 6.458, 5.8885, 5.3365, 4.8041, 4.2932, 3.8068, 3.3492, 2.9255, 2.5435, 2.2126, 1.9442, 1.7514, 1.6451, 1.6324, 1.7125, 1.876, 2.1079, 2.3911, 2.7099, 3.0519, 3.4081, 3.7728, 4.142, 4.5134, 4.8858, 5.2584, 5.631, 6.0036, 6.3763, 6.7492, 7.1223, 7.4961, 7.8708 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 3.708, "rotation": -1.194, "wingChange": 3.094, "rmsChange": 5.792 } }, { "label": "31JUL26", "expiry": 1785484800000, "tauYears": 0.0283124, "daysToExpiry": 10.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65318.46, "previous": 64769.79, "change": 548.67, "percentChange": 0.85 }, "atmIv": { "current": 34.91, "previous": 34.67, "change": 0.24, "percentChange": 0.69 }, "rr25": { "current": -2.48, "previous": -3.45, "change": 0.97, "percentChange": 28.12 }, "bf25": { "current": 1.76, "previous": 1.85, "change": -0.09, "percentChange": -4.86 }, "svi": { "a": { "current": -0.0985, "previous": -0.0762, "change": -0.0223, "percentChange": -29.25 }, "b": { "current": 0.148, "previous": 0.1352, "change": 0.0128, "percentChange": 9.48 }, "rho": { "current": 0.0837, "previous": 0.1026, "change": -0.0188, "percentChange": -18.35 }, "m": { "current": 0.0881, "previous": 0.1023, "change": -0.0143, "percentChange": -13.93 }, "sigma": { "current": 0.6908, "previous": 0.5933, "change": 0.0975, "percentChange": 16.43 } }, "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": [ 70.1779, 67.9136, 65.6595, 63.4193, 61.197, 58.9974, 56.8259, 54.6886, 52.5927, 50.5465, 48.5592, 46.6414, 44.8055, 43.0648, 41.4348, 39.9319, 38.5743, 37.3805, 36.3697, 35.5599, 34.9676, 34.6061, 34.4843, 34.6063, 34.9708, 35.571, 36.3958, 37.4304, 38.6577, 40.0597, 41.6178, 43.3143, 45.1323, 47.0564, 49.0726, 51.1682, 53.3322, 55.5546, 57.8269, 60.1413, 62.4912 ], "previous": [ 69.7495, 67.6034, 65.4609, 63.3253, 61.1999, 59.0888, 56.9968, 54.9293, 52.8924, 50.8935, 48.9408, 47.0438, 45.2134, 43.462, 41.8034, 40.2531, 38.8281, 37.5465, 36.4274, 35.4896, 34.7514, 34.2287, 33.9342, 33.8763, 34.0581, 34.4774, 35.1266, 35.9939, 37.0641, 38.32, 39.7433, 41.3156, 43.0194, 44.838, 46.7562, 48.7603, 50.8379, 52.978, 55.1711, 57.4085, 59.6827 ], "change": [ 0.4284, 0.3102, 0.1986, 0.094, -0.0029, -0.0914, -0.1709, -0.2407, -0.2997, -0.347, -0.3816, -0.4024, -0.4079, -0.3972, -0.3686, -0.3212, -0.2538, -0.166, -0.0577, 0.0703, 0.2162, 0.3774, 0.5501, 0.73, 0.9127, 1.0936, 1.2692, 1.4365, 1.5936, 1.7397, 1.8745, 1.9987, 2.1129, 2.2184, 2.3164, 2.4079, 2.4943, 2.5766, 2.6558, 2.7328, 2.8085 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 0.57, "rotation": 2.256, "wingChange": 0.53, "rmsChange": 1.372 } }, { "label": "7AUG26", "expiry": 1786089600000, "tauYears": 0.04749049, "daysToExpiry": 17.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65381.18, "previous": 64819.33, "change": 561.85, "percentChange": 0.87 }, "atmIv": { "current": 34.47, "previous": 34.08, "change": 0.39, "percentChange": 1.14 }, "rr25": { "current": -3.57, "previous": -4.5, "change": 0.93, "percentChange": 20.67 }, "bf25": { "current": 1.95, "previous": 1.96, "change": -0.01, "percentChange": -0.51 }, "svi": { "a": { "current": -0.0909, "previous": -0.0747, "change": -0.0162, "percentChange": -21.72 }, "b": { "current": 0.1517, "previous": 0.139, "change": 0.0126, "percentChange": 9.08 }, "rho": { "current": 0.0576, "previous": 0.0724, "change": -0.0148, "percentChange": -20.41 }, "m": { "current": 0.0867, "previous": 0.1063, "change": -0.0196, "percentChange": -18.41 }, "sigma": { "current": 0.6358, "previous": 0.5774, "change": 0.0585, "percentChange": 10.12 } }, "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": [ 62.5728, 60.8078, 59.0516, 57.3071, 55.5773, 53.8657, 52.1764, 50.5139, 48.8832, 47.29, 45.7407, 44.2422, 42.8025, 41.4301, 40.1344, 38.9255, 37.8141, 36.8114, 35.9285, 35.1766, 34.5659, 34.1059, 33.8039, 33.6655, 33.6935, 33.8883, 34.2472, 34.7653, 35.4354, 36.2486, 37.1949, 38.2635, 39.4434, 40.7235, 42.0935, 43.5432, 45.0632, 46.6451, 48.2809, 49.9636, 51.6865 ], "previous": [ 62.1309, 60.4514, 58.7759, 57.1067, 55.4466, 53.7986, 52.1659, 50.5525, 48.9627, 47.4014, 45.8742, 44.3872, 42.9474, 41.5626, 40.2411, 38.9923, 37.8262, 36.7534, 35.7851, 34.9324, 34.2065, 33.6178, 33.1756, 32.8876, 32.7594, 32.7939, 32.9916, 33.35, 33.8642, 34.5271, 35.3299, 36.2626, 37.3145, 38.4747, 39.7321, 41.0763, 42.4973, 43.9858, 45.5333, 47.1318, 48.7744 ], "change": [ 0.4419, 0.3564, 0.2757, 0.2004, 0.1307, 0.0671, 0.0105, -0.0386, -0.0795, -0.1114, -0.1335, -0.145, -0.1449, -0.1325, -0.1067, -0.0668, -0.0121, 0.058, 0.1434, 0.2442, 0.3594, 0.4881, 0.6283, 0.7779, 0.9341, 1.0944, 1.2556, 1.4153, 1.5712, 1.7215, 1.865, 2.0009, 2.1289, 2.2488, 2.3614, 2.4669, 2.5659, 2.6593, 2.7476, 2.8318, 2.9121 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 0.697, "rotation": 1.998, "wingChange": 0.506, "rmsChange": 1.393 } }, { "label": "28AUG26", "expiry": 1787904000000, "tauYears": 0.10502473, "daysToExpiry": 38.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65537.74, "previous": 64979.62, "change": 558.12, "percentChange": 0.86 }, "atmIv": { "current": 34.28, "previous": 34.14, "change": 0.14, "percentChange": 0.41 }, "rr25": { "current": -4.59, "previous": -4.77, "change": 0.18, "percentChange": 3.77 }, "bf25": { "current": 2.37, "previous": 2.29, "change": 0.08, "percentChange": 3.49 }, "svi": { "a": { "current": -0.0732, "previous": -0.0935, "change": 0.0203, "percentChange": 21.67 }, "b": { "current": 0.1578, "previous": 0.1723, "change": -0.0145, "percentChange": -8.4 }, "rho": { "current": 0.0167, "previous": 0.0271, "change": -0.0104, "percentChange": -38.37 }, "m": { "current": 0.0885, "previous": 0.1034, "change": -0.0149, "percentChange": -14.43 }, "sigma": { "current": 0.5373, "previous": 0.6104, "change": -0.0732, "percentChange": -11.99 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 53.7872, 52.5973, 51.4137, 50.2382, 49.073, 47.9202, 46.7823, 45.6621, 44.5626, 43.4871, 42.4391, 41.4227, 40.4419, 39.5014, 38.6058, 37.7602, 36.9698, 36.24, 35.576, 34.9833, 34.4669, 34.0315, 33.6814, 33.4202, 33.2508, 33.1751, 33.194, 33.3074, 33.5143, 33.8126, 34.1994, 34.6709, 35.2228, 35.8504, 36.5485, 37.3118, 38.135, 39.0127, 39.9399, 40.9114, 41.9225 ], "previous": [ 53.3739, 52.1996, 51.033, 49.8757, 48.7298, 47.5972, 46.4803, 45.3816, 44.304, 43.2502, 42.2238, 41.228, 40.2668, 39.3441, 38.4643, 37.6317, 36.851, 36.127, 35.4644, 34.8682, 34.3427, 33.8925, 33.5216, 33.2333, 33.0306, 32.9156, 32.8896, 32.953, 33.1053, 33.3453, 33.6709, 34.0791, 34.5665, 35.1291, 35.7627, 36.4625, 37.2238, 38.0419, 38.912, 39.8296, 40.7901 ], "change": [ 0.4133, 0.3977, 0.3807, 0.3625, 0.3432, 0.323, 0.302, 0.2805, 0.2586, 0.2369, 0.2153, 0.1947, 0.1751, 0.1573, 0.1415, 0.1285, 0.1188, 0.113, 0.1116, 0.1151, 0.1242, 0.139, 0.1598, 0.1869, 0.2202, 0.2595, 0.3044, 0.3544, 0.409, 0.4673, 0.5285, 0.5918, 0.6563, 0.7213, 0.7858, 0.8493, 0.9112, 0.9708, 1.0279, 1.0818, 1.1324 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.289, "rotation": 0.313, "wingChange": 0.248, "rmsChange": 0.503 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.18173706, "daysToExpiry": 66.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 65746.5, "previous": 65195.05, "change": 551.45, "percentChange": 0.85 }, "atmIv": { "current": 35.44, "previous": 35.35, "change": 0.09, "percentChange": 0.25 }, "rr25": { "current": -5.26, "previous": -5.31, "change": 0.05, "percentChange": 0.94 }, "bf25": { "current": 2.62, "previous": 2.49, "change": 0.13, "percentChange": 5.22 }, "svi": { "a": { "current": -0.1029, "previous": -0.1417, "change": 0.0388, "percentChange": 27.39 }, "b": { "current": 0.1953, "previous": 0.2178, "change": -0.0224, "percentChange": -10.31 }, "rho": { "current": -0.1511, "previous": -0.1386, "change": -0.0125, "percentChange": -9.02 }, "m": { "current": 0.0191, "previous": 0.0196, "change": -0.0004, "percentChange": -2.18 }, "sigma": { "current": 0.6424, "previous": 0.7554, "change": -0.113, "percentChange": -14.96 } }, "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": [ 50.6579, 49.7142, 48.7808, 47.8591, 46.9504, 46.0564, 45.1787, 44.3191, 43.4795, 42.6618, 41.8681, 41.1005, 40.3612, 39.6524, 38.9764, 38.3355, 37.7321, 37.1685, 36.6467, 36.1691, 35.7375, 35.3539, 35.0198, 34.7367, 34.5057, 34.3277, 34.2033, 34.1325, 34.1154, 34.1514, 34.2398, 34.3795, 34.5692, 34.8072, 35.0918, 35.4209, 35.7924, 36.2041, 36.6537, 37.1388, 37.6571 ], "previous": [ 50.2343, 49.3087, 48.3943, 47.4924, 46.6044, 45.7317, 44.8758, 44.0382, 43.2205, 42.4246, 41.6521, 40.905, 40.1852, 39.4945, 38.8351, 38.2089, 37.618, 37.0643, 36.5498, 36.0764, 35.6459, 35.26, 34.9202, 34.6278, 34.384, 34.1897, 34.0456, 33.952, 33.9091, 33.9166, 33.9741, 34.0809, 34.2361, 34.4383, 34.6863, 34.9783, 35.3127, 35.6876, 36.1009, 36.5508, 37.035 ], "change": [ 0.4236, 0.4055, 0.3865, 0.3667, 0.346, 0.3247, 0.3029, 0.2809, 0.259, 0.2372, 0.216, 0.1955, 0.176, 0.1579, 0.1413, 0.1266, 0.1141, 0.1042, 0.0969, 0.0927, 0.0916, 0.0939, 0.0996, 0.1089, 0.1217, 0.138, 0.1577, 0.1805, 0.2063, 0.2348, 0.2657, 0.2986, 0.3331, 0.3689, 0.4055, 0.4426, 0.4797, 0.5165, 0.5528, 0.588, 0.6221 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.191, "rotation": 0.05, "wingChange": 0.149, "rmsChange": 0.308 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.43105213, "daysToExpiry": 157.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 66416.81, "previous": 65852.72, "change": 564.09, "percentChange": 0.86 }, "atmIv": { "current": 39.86, "previous": 39.7, "change": 0.16, "percentChange": 0.4 }, "rr25": { "current": -5.49, "previous": -5.45, "change": -0.04, "percentChange": -0.73 }, "bf25": { "current": 2.77, "previous": 2.71, "change": 0.06, "percentChange": 2.21 }, "svi": { "a": { "current": -0.1671, "previous": -0.2392, "change": 0.0721, "percentChange": 30.13 }, "b": { "current": 0.2811, "previous": 0.3231, "change": -0.042, "percentChange": -13.0 }, "rho": { "current": -0.3923, "previous": -0.398, "change": 0.0056, "percentChange": 1.41 }, "m": { "current": -0.1582, "previous": -0.2188, "change": 0.0606, "percentChange": 27.69 }, "sigma": { "current": 0.8933, "previous": 1.0218, "change": -0.1285, "percentChange": -12.58 } }, "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": [ 48.8205, 48.2756, 47.7412, 47.2177, 46.7056, 46.2054, 45.7175, 45.2425, 44.7806, 44.3325, 43.8985, 43.4791, 43.0746, 42.6855, 42.3121, 41.9547, 41.6138, 41.2896, 40.9824, 40.6925, 40.42, 40.1653, 39.9283, 39.7093, 39.5084, 39.3256, 39.1609, 39.0144, 38.8859, 38.7755, 38.6829, 38.6081, 38.5509, 38.511, 38.4883, 38.4824, 38.493, 38.5199, 38.5628, 38.6211, 38.6946 ], "previous": [ 48.5894, 48.0462, 47.514, 46.9931, 46.484, 45.9871, 45.5027, 45.0314, 44.5735, 44.1293, 43.6993, 43.2839, 42.8834, 42.4981, 42.1284, 41.7746, 41.437, 41.1159, 40.8115, 40.524, 40.2538, 40.0008, 39.7654, 39.5476, 39.3474, 39.1651, 39.0006, 38.8539, 38.725, 38.6138, 38.5203, 38.4443, 38.3856, 38.3442, 38.3198, 38.3121, 38.3209, 38.346, 38.387, 38.4437, 38.5156 ], "change": [ 0.2311, 0.2294, 0.2272, 0.2246, 0.2216, 0.2183, 0.2148, 0.2111, 0.2071, 0.2032, 0.1992, 0.1952, 0.1912, 0.1874, 0.1837, 0.1801, 0.1768, 0.1737, 0.1709, 0.1685, 0.1662, 0.1645, 0.1629, 0.1617, 0.161, 0.1605, 0.1603, 0.1605, 0.1609, 0.1617, 0.1626, 0.1638, 0.1653, 0.1668, 0.1685, 0.1703, 0.1721, 0.1739, 0.1758, 0.1774, 0.179 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.176, "rotation": -0.037, "wingChange": 0.015, "rmsChange": 0.185 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.6803672, "daysToExpiry": 248.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 67133.92, "previous": 66637.38, "change": 496.54, "percentChange": 0.75 }, "atmIv": { "current": 41.15, "previous": 41.07, "change": 0.08, "percentChange": 0.19 }, "rr25": { "current": -5.39, "previous": -5.56, "change": 0.17, "percentChange": 3.06 }, "bf25": { "current": 2.77, "previous": 2.66, "change": 0.11, "percentChange": 4.14 }, "svi": { "a": { "current": -0.1738, "previous": -0.2264, "change": 0.0526, "percentChange": 23.23 }, "b": { "current": 0.3274, "previous": 0.3332, "change": -0.0057, "percentChange": -1.73 }, "rho": { "current": -0.4779, "previous": -0.413, "change": -0.0649, "percentChange": -15.7 }, "m": { "current": -0.2346, "previous": -0.1845, "change": -0.0502, "percentChange": -27.21 }, "sigma": { "current": 0.9796, "previous": 1.0989, "change": -0.1192, "percentChange": -10.85 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 48.1727, 47.7687, 47.373, 46.9857, 46.607, 46.2371, 45.8763, 45.5248, 45.1828, 44.8504, 44.5278, 44.2153, 43.9129, 43.6208, 43.3392, 43.0682, 42.8079, 42.5584, 42.3197, 42.092, 41.8754, 41.6698, 41.4753, 41.292, 41.1198, 40.9587, 40.8087, 40.6698, 40.5419, 40.4249, 40.3189, 40.2237, 40.1391, 40.0652, 40.0017, 39.9486, 39.9057, 39.8728, 39.8499, 39.8366, 39.833 ], "previous": [ 48.0399, 47.6493, 47.266, 46.89, 46.5217, 46.1612, 45.8087, 45.4645, 45.1287, 44.8016, 44.4832, 44.1739, 43.8737, 43.5829, 43.3015, 43.0298, 42.7679, 42.5158, 42.2738, 42.042, 41.8203, 41.6091, 41.4082, 41.2178, 41.0379, 40.8686, 40.7099, 40.5618, 40.4244, 40.2975, 40.1813, 40.0756, 39.9805, 39.8959, 39.8216, 39.7577, 39.7041, 39.6606, 39.6271, 39.6036, 39.5898 ], "change": [ 0.1328, 0.1194, 0.107, 0.0957, 0.0853, 0.0759, 0.0676, 0.0603, 0.0541, 0.0488, 0.0446, 0.0414, 0.0392, 0.0379, 0.0377, 0.0384, 0.04, 0.0426, 0.0459, 0.05, 0.0551, 0.0607, 0.0671, 0.0742, 0.0819, 0.0901, 0.0988, 0.108, 0.1175, 0.1274, 0.1376, 0.1481, 0.1586, 0.1693, 0.1801, 0.1909, 0.2016, 0.2122, 0.2228, 0.233, 0.2432 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.079, "rotation": 0.093, "wingChange": 0.036, "rmsChange": 0.12 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.92968226, "daysToExpiry": 339.334, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 67861.49, "previous": 67416.93, "change": 444.56, "percentChange": 0.66 }, "atmIv": { "current": 42.3, "previous": 42.08, "change": 0.22, "percentChange": 0.52 }, "rr25": { "current": -5.04, "previous": -5.38, "change": 0.34, "percentChange": 6.32 }, "bf25": { "current": 2.6, "previous": 2.64, "change": -0.04, "percentChange": -1.52 }, "svi": { "a": { "current": -0.2233, "previous": -0.2407, "change": 0.0174, "percentChange": 7.24 }, "b": { "current": 0.4119, "previous": 0.3789, "change": 0.033, "percentChange": 8.71 }, "rho": { "current": -0.585, "previous": -0.4837, "change": -0.1013, "percentChange": -20.95 }, "m": { "current": -0.4415, "previous": -0.2743, "change": -0.1672, "percentChange": -60.97 }, "sigma": { "current": 1.1377, "previous": 1.1913, "change": -0.0536, "percentChange": -4.5 } }, "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": [ 48.0723, 47.7566, 47.4478, 47.146, 46.8513, 46.5636, 46.2832, 46.01, 45.7441, 45.4855, 45.2344, 44.9907, 44.7545, 44.5259, 44.3047, 44.0911, 43.8851, 43.6867, 43.4958, 43.3125, 43.1368, 42.9686, 42.808, 42.6548, 42.5091, 42.3708, 42.2399, 42.1163, 42.0, 41.8909, 41.789, 41.6942, 41.6063, 41.5255, 41.4515, 41.3843, 41.3237, 41.2698, 41.2225, 41.1815, 41.1469 ], "previous": [ 48.0713, 47.7539, 47.4425, 47.1371, 46.838, 46.5451, 46.2587, 45.9788, 45.7055, 45.439, 45.1793, 44.9265, 44.6806, 44.4418, 44.2102, 43.9858, 43.7686, 43.5587, 43.3562, 43.1611, 42.9735, 42.7933, 42.6206, 42.4555, 42.2979, 42.1478, 42.0053, 41.8703, 41.7428, 41.6228, 41.5103, 41.4052, 41.3075, 41.2172, 41.1342, 41.0585, 40.99, 40.9286, 40.8743, 40.827, 40.7866 ], "change": [ 0.001, 0.0027, 0.0053, 0.0089, 0.0133, 0.0185, 0.0245, 0.0312, 0.0386, 0.0465, 0.0551, 0.0642, 0.0739, 0.0841, 0.0945, 0.1053, 0.1165, 0.128, 0.1396, 0.1514, 0.1633, 0.1753, 0.1874, 0.1993, 0.2112, 0.223, 0.2346, 0.246, 0.2572, 0.2681, 0.2787, 0.289, 0.2988, 0.3083, 0.3173, 0.3258, 0.3337, 0.3412, 0.3482, 0.3545, 0.3603 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.166, "rotation": 0.224, "wingChange": 0.004, "rmsChange": 0.207 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "31JUL26", "value": 2.256, "score": 2.256, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 0.87, "score": 0.87, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": 0.79, "score": 0.79, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": -0.1285, "score": 0.1285, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25JUN27", "value": -0.1013, "score": 0.1013, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": 0.09, "score": 0.09, "unit": "volatility points" } ], "expiryEffects": [ { "label": "21JUL26", "daysToExpiry": 0.334, "metric": "Smile rotation", "value": -11.353, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "22JUL26", "daysToExpiry": 1.334, "metric": "Smile rotation", "value": 5.596, "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": 255.66440958, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "21JUL26", "expiry": 1784620800000, "value": 0.000763934022, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "21JUL26", "expiry": 1784620800000, "value": -311.84893279, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00188372, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -25.13536503, "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": "21JUL26", "values": [ 50.3762, 47.5383, 44.7336, 41.9601, 39.2159, 36.4974, 33.8011, 31.1218, 28.4534, 25.788, 23.1157, 20.4239, 17.6969, 14.9146, 12.0512, 9.0757, 5.9533, 2.6545, -0.8133, -4.3231, -7.4644, -9.4278, -9.4754, -7.7994, -5.2048, -2.2986, 0.6436, 3.5286, 6.3376, 9.0777, 11.7632, 14.4085, 17.0264, 19.6276, 22.2207, 24.8124, 27.4084, 30.0128, 32.629, 35.2595, 37.9063 ] }, { "label": "22JUL26", "values": [ 20.1499, 18.8684, 17.5858, 16.3023, 15.0182, 13.7335, 12.4486, 11.164, 9.88, 8.5979, 7.3194, 6.0472, 4.7861, 3.5442, 2.3352, 1.182, 0.1228, -0.7815, -1.4398, -1.7344, -1.5514, -0.8414, 0.3334, 1.8239, 3.4694, 5.1533, 6.812, 8.4191, 9.9692, 11.4659, 12.9157, 14.3259, 15.7029, 17.052, 18.3777, 19.6837, 20.9729, 22.2473, 23.509, 24.7593, 25.9994 ] }, { "label": "23JUL26", "values": [ 16.6211, 15.6069, 14.595, 13.5864, 12.5815, 11.5814, 10.5866, 9.5983, 8.6177, 7.6465, 6.6869, 5.7419, 4.8161, 3.9163, 3.0525, 2.2403, 1.5024, 0.8719, 0.3929, 0.1173, 0.0934, 0.3457, 0.8594, 1.5815, 2.4422, 3.3771, 4.3395, 5.301, 6.2468, 7.1705, 8.0702, 8.9464, 9.8008, 10.6351, 11.4515, 12.2515, 13.0368, 13.8088, 14.5687, 15.3176, 16.0564 ] }, { "label": "24JUL26", "values": [ 11.5221, 10.8474, 10.1831, 9.53, 8.8888, 8.2601, 7.6449, 7.0438, 6.458, 5.8885, 5.3365, 4.8041, 4.2932, 3.8068, 3.3492, 2.9255, 2.5435, 2.2126, 1.9442, 1.7514, 1.6451, 1.6324, 1.7125, 1.876, 2.1079, 2.3911, 2.7099, 3.0519, 3.4081, 3.7728, 4.142, 4.5134, 4.8858, 5.2584, 5.631, 6.0036, 6.3763, 6.7492, 7.1223, 7.4961, 7.8708 ] }, { "label": "31JUL26", "values": [ 0.4284, 0.3102, 0.1986, 0.094, -0.0029, -0.0914, -0.1709, -0.2407, -0.2997, -0.347, -0.3816, -0.4024, -0.4079, -0.3972, -0.3686, -0.3212, -0.2538, -0.166, -0.0577, 0.0703, 0.2162, 0.3774, 0.5501, 0.73, 0.9127, 1.0936, 1.2692, 1.4365, 1.5936, 1.7397, 1.8745, 1.9987, 2.1129, 2.2184, 2.3164, 2.4079, 2.4943, 2.5766, 2.6558, 2.7328, 2.8085 ] }, { "label": "7AUG26", "values": [ 0.4419, 0.3564, 0.2757, 0.2004, 0.1307, 0.0671, 0.0105, -0.0386, -0.0795, -0.1114, -0.1335, -0.145, -0.1449, -0.1325, -0.1067, -0.0668, -0.0121, 0.058, 0.1434, 0.2442, 0.3594, 0.4881, 0.6283, 0.7779, 0.9341, 1.0944, 1.2556, 1.4153, 1.5712, 1.7215, 1.865, 2.0009, 2.1289, 2.2488, 2.3614, 2.4669, 2.5659, 2.6593, 2.7476, 2.8318, 2.9121 ] }, { "label": "28AUG26", "values": [ 0.4133, 0.3977, 0.3807, 0.3625, 0.3432, 0.323, 0.302, 0.2805, 0.2586, 0.2369, 0.2153, 0.1947, 0.1751, 0.1573, 0.1415, 0.1285, 0.1188, 0.113, 0.1116, 0.1151, 0.1242, 0.139, 0.1598, 0.1869, 0.2202, 0.2595, 0.3044, 0.3544, 0.409, 0.4673, 0.5285, 0.5918, 0.6563, 0.7213, 0.7858, 0.8493, 0.9112, 0.9708, 1.0279, 1.0818, 1.1324 ] }, { "label": "25SEP26", "values": [ 0.4236, 0.4055, 0.3865, 0.3667, 0.346, 0.3247, 0.3029, 0.2809, 0.259, 0.2372, 0.216, 0.1955, 0.176, 0.1579, 0.1413, 0.1266, 0.1141, 0.1042, 0.0969, 0.0927, 0.0916, 0.0939, 0.0996, 0.1089, 0.1217, 0.138, 0.1577, 0.1805, 0.2063, 0.2348, 0.2657, 0.2986, 0.3331, 0.3689, 0.4055, 0.4426, 0.4797, 0.5165, 0.5528, 0.588, 0.6221 ] }, { "label": "25DEC26", "values": [ 0.2311, 0.2294, 0.2272, 0.2246, 0.2216, 0.2183, 0.2148, 0.2111, 0.2071, 0.2032, 0.1992, 0.1952, 0.1912, 0.1874, 0.1837, 0.1801, 0.1768, 0.1737, 0.1709, 0.1685, 0.1662, 0.1645, 0.1629, 0.1617, 0.161, 0.1605, 0.1603, 0.1605, 0.1609, 0.1617, 0.1626, 0.1638, 0.1653, 0.1668, 0.1685, 0.1703, 0.1721, 0.1739, 0.1758, 0.1774, 0.179 ] }, { "label": "26MAR27", "values": [ 0.1328, 0.1194, 0.107, 0.0957, 0.0853, 0.0759, 0.0676, 0.0603, 0.0541, 0.0488, 0.0446, 0.0414, 0.0392, 0.0379, 0.0377, 0.0384, 0.04, 0.0426, 0.0459, 0.05, 0.0551, 0.0607, 0.0671, 0.0742, 0.0819, 0.0901, 0.0988, 0.108, 0.1175, 0.1274, 0.1376, 0.1481, 0.1586, 0.1693, 0.1801, 0.1909, 0.2016, 0.2122, 0.2228, 0.233, 0.2432 ] }, { "label": "25JUN27", "values": [ 0.001, 0.0027, 0.0053, 0.0089, 0.0133, 0.0185, 0.0245, 0.0312, 0.0386, 0.0465, 0.0551, 0.0642, 0.0739, 0.0841, 0.0945, 0.1053, 0.1165, 0.128, 0.1396, 0.1514, 0.1633, 0.1753, 0.1874, 0.1993, 0.2112, 0.223, 0.2346, 0.246, 0.2572, 0.2681, 0.2787, 0.289, 0.2988, 0.3083, 0.3173, 0.3258, 0.3337, 0.3412, 0.3482, 0.3545, 0.3603 ] } ] } }