{ "schemaVersion": 2, "reportDate": "2026-07-22", "generatedAt": "2026-07-25T18:47:08+00:00", "currentSnapshotAt": "2026-07-22T23:59:00+00:00", "previousSnapshotAt": "2026-07-21T23:59:00+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": 0.04466311, "previousObjective": 0.02706674, "currentLiveError": 67.97130238, "previousLiveError": 43.74776571 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "26JUL26" ], "removedExpiries": [ "22JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC Front-End Volatility Rises as Put-Side Skew Deepens", "executiveSummary": "BTC options repriced higher at the front end, led by a +0.83 volatility-point move at 2W, while long-dated ATM volatility was broadly unchanged and RR25 shifted towards puts.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "largest-standard-tenor" ], "newsSummary": "Deribit Insights\u2019 \u201cCrypto Derivatives: Analytics Report \u2013 Week 30\u201d recapped crypto derivatives markets, noting signs of rebounding sentiment, increased risk-appetite indices and options positioning, while short-dated put-call skew had slowly recovered through July.", "marketContextSummary": "The collected headlines did not provide a sufficiently direct explanation for the observed BTC options repricing.", "marketContext": [ { "title": "Front-end repricing", "explanation": "Front-end ATM IV increased across 1W, 2W and 1M, with the largest standard-tenor move at 2W.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "front-atm", "largest-standard-tenor" ], "newsEvidenceIds": [] }, { "title": "Relative put-side volatility", "explanation": "RR25 moved towards puts across the headline tenors, while the collected report described short-dated skew as recovering, leaving no direct match with the observed surface move.", "relationship": "no-clear-link", "confidence": "medium", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "news-b3f436f376db13a9" ] } ], "newsEvidenceIds": [ "news-b3f436f376db13a9" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.09 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.26 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 +0.83 volatility points at 2W.", "tenor": "2W", "value": 0.83 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-25T18:44:00+00:00", "window": { "startAt": "2026-07-21T23:59:00+00:00", "endAt": "2026-07-22T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-21T23:59:00+00:00", "endAt": "2026-07-22T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 315, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6 }, "items": [ { "id": "news-b3f436f376db13a9", "sourceId": "deribit-insights", "publisher": "Deribit Insights", "title": "Crypto Derivatives: Analytics Report \u2013 Week 30", "url": "https://insights.deribit.com/industry/crypto-derivatives-analytics-report-week-30-2026/", "publishedAt": "2026-07-22T20:02:42+00:00", "summary": "Weekly recap of the crypto derivatives markets by BlockScholes. Key Insights: Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for [...] The post Crypto Derivatives: Analytics Report \u2013 Week 30 appeared first on Deribit Insights.", "matchedTerms": [ "options", "skew", "derivatives" ], "topics": [ "bitcoin", "options", "volatility" ], "sourceKind": "analysis", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "BTC options or derivatives activity" ], "selectionReason": "Selected for BTC options or derivatives activity." } ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.09 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.26 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was 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