{ "schemaVersion": 2, "reportDate": "2026-07-23", "generatedAt": "2026-07-25T18:47:13+00:00", "currentSnapshotAt": "2026-07-23T23:59:00+00:00", "previousSnapshotAt": "2026-07-22T23:59:00+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": 0.08425037, "previousObjective": 0.04466311, "currentLiveError": 95.99428564, "previousLiveError": 67.97130238 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "14AUG26", "27JUL26" ], "removedExpiries": [ "23JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC front-end volatility firms as put-side skew deepens", "executiveSummary": "Front-end ATM IV rose, led by a +0.34 volatility-point move at 1W, while RR25 shifted towards puts and BF25 increased; long-dated ATM IV was broadly unchanged.", "evidenceIds": [ "front-atm", "rr25", "bf25", "largest-standard-tenor" ], "newsSummary": "The European Central Bank published \u201cMonetary policy decisions\u201d and \u201cChristine Lagarde, Boris Vuj\u010di\u0107: Monetary policy statement (with Q&A).\u201d", "marketContextSummary": "The surface shows concentrated front-end repricing, with higher relative put-side volatility and convexity while the long end remained broadly stable. ECB monetary-policy publications were contemporaneous macro context, but the headlines do not directly reference BTC.", "marketContext": [ { "title": "ECB monetary-policy publications", "explanation": "The ECB released monetary-policy decisions and a monetary-policy statement during the observation window. Their timing makes them a possible macro context for front-end repricing, but no direct BTC link is established.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "rr25", "bf25" ], "newsEvidenceIds": [ "news-62fb79276d16635a", "news-1f538224e7ee122f" ] } ], "newsEvidenceIds": [ "news-62fb79276d16635a", "news-1f538224e7ee122f" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.20 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.04 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.43 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 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 +0.34 volatility points at 1W.", "tenor": "1W", "value": 0.34 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-25T18:44:12+00:00", "window": { "startAt": "2026-07-22T23:59:00+00:00", "endAt": "2026-07-23T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-22T23:59:00+00:00", "endAt": "2026-07-23T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 315, "articlesPassingTimeFilter": 25, "articlesPassingSourceRelevanceRules": 6, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6 }, "items": [ { "id": "news-62fb79276d16635a", "sourceId": "ecb-press", "publisher": 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