{ "schemaVersion": 2, "reportDate": "2026-07-27", "generatedAt": "2026-07-27T17:18:32+00:00", "currentSnapshotAt": "2026-07-27T17:17:00+00:00", "previousSnapshotAt": "2026-07-26T17:17:00+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": 0.02548455, "previousObjective": 0.07909056, "currentLiveError": 49.23334021, "previousLiveError": 80.224752 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "27JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC front-end volatility eases as 25-delta skew shifts toward calls", "executiveSummary": "Front-end ATM IV fell, including a 2.25-point decline at 1W, while long-dated IV was broadly unchanged and RR25 moved modestly toward calls.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "largest-standard-tenor" ], "newsSummary": "CoinDesk reports that Bitcoin options traders are dropping hedges ahead of the Fed meeting.", "marketContextSummary": "BTC options repricing was concentrated in the front end, with little change in long-dated volatility and a modest call-side shift in relative volatility.", "marketContext": [ { "title": "Fed-meeting positioning may align with the repricing", "explanation": "The report on traders dropping hedges ahead of the Fed meeting is temporally and thematically consistent with the front-end volatility decline and callward RR25 move, but the headline does not establish a causal link to either change.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "rr25", "largest-standard-tenor" ], "newsEvidenceIds": [ "news-34dcc4ef748864ec" ] } ], "newsEvidenceIds": [ "news-34dcc4ef748864ec" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.38 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