{ "schemaVersion": 2, "reportDate": "2026-07-24", "generatedAt": "2026-07-25T18:47:19+00:00", "currentSnapshotAt": "2026-07-24T23:59:00+00:00", "previousSnapshotAt": "2026-07-23T23:59:00+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": 0.36154213, "previousObjective": 0.08425037, "currentLiveError": 319.62844906, "previousLiveError": 95.99428564 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "28JUL26" ], "removedExpiries": [ "24JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options volatility eases, led by the front end, as put-side skew increases", "executiveSummary": "ATM implied volatility declined across maturities, with the largest standard-tenor move at 2W, while RR25 moved modestly toward puts and BF25 was broadly unchanged.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "CoinDesk reported a $5 billion bitcoin-options cluster it characterized as bullish. Deribit Insights discussed the potential growth of bitcoin-backed lending and easier borrowing against bitcoin.", "marketContextSummary": "The collected headlines did not provide a sufficiently direct explanation for the observed BTC options repricing.", "marketContext": [ { "title": "Front-end volatility led the decline", "explanation": "Front-end ATM IV fell more than long-dated ATM IV on average, with the largest standard-tenor move at 2W.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "front-atm", "back-atm", "largest-standard-tenor" ], "newsEvidenceIds": [] }, { "title": "Relative put-side volatility increased modestly", "explanation": "RR25 moved toward puts while BF25 was broadly unchanged, indicating a limited change in relative skew rather than a broad convexity repricing.", "relationship": "no-clear-link", "confidence": "high", "surfaceEvidenceIds": [ "rr25", "bf25", "headline-tenor-averages" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [ "news-21a71eb64dbee887", "news-2344ba141eda0853" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.71 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.23 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 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 -2.08 volatility points at 2W.", "tenor": "2W", "value": -2.08 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-25T18:44:22+00:00", "window": { "startAt": "2026-07-23T23:59:00+00:00", "endAt": "2026-07-24T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-23T23:59:00+00:00", "endAt": "2026-07-24T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 315, "articlesPassingTimeFilter": 60, "articlesPassingSourceRelevanceRules": 19, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6 }, "items": [ { "id": "news-21a71eb64dbee887", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "A $5 billion cluster has formed in bitcoin options. It tells a bullish story", "url": "https://www.coindesk.com/markets/2026/07/24/a-usd5-billion-cluster-has-formed-in-bitcoin-options-it-tells-a-bullish-story", "publishedAt": "2026-07-24T11:34:53+00:00", "summary": "", "matchedTerms": [ "bitcoin", "options" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "BTC options or derivatives activity" ], "selectionReason": "Selected for BTC options or derivatives activity." }, { "id": "news-2344ba141eda0853", "sourceId": "deribit-insights", "publisher": "Deribit Insights", "title": "Episode 120: Borrowing Against Bitcoin Is Getting Easier?", "url": "https://insights.deribit.com/crypto-options-unplugged/episode-120-borrowing-against-bitcoin-is-getting-easier/", "publishedAt": "2026-07-24T11:00:44+00:00", "summary": "In this week\u2019s Crypto Options Unplugged, Imran Lakha and David Brickell are joined by Stan Havryliuk, CEO of SATS Terminal, to discuss the rapidly evolving world of Bitcoin-backed lending and why borrowing against Bitcoin may become one of crypto\u2019s biggest growth markets. Stan shares his journey from building crypto startups to [...] The post Episode 120: Borrowing Against Bitcoin Is Getting Easier? appeared first on Deribit Insights.", "matchedTerms": [ "bitcoin", "options" ], "topics": [ "bitcoin", "options", "volatility" ], "sourceKind": "analysis", "rightsStatus": "review-pending", "selectionScore": 11, "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 decreased, averaging -1.71 volatility points across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.23 volatility points across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 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