{ "schemaVersion": 3, "reportDate": "2026-07-28", "generatedAt": "2026-07-28T21:51:03+00:00", "currentSnapshotAt": "2026-07-28T21:48:00+00:00", "previousSnapshotAt": "2026-07-27T21:48:00+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": 0.04453992, "previousObjective": 0.13624586, "currentLiveError": 61.89870392, "previousLiveError": 136.74812643 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "1AUG26" ], "removedExpiries": [ "28JUL26" ], "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 firms", "executiveSummary": "Front-end ATM IV increased while long-dated IV eased; RR25 moved toward puts, with the largest ATM move at 1W.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "largest-standard-tenor" ], "newsSummary": "CoinDesk reports that Bitcoin\u2019s recent stability has not sparked a broader altcoin rally.", "marketContextSummary": "BTC options repriced toward higher near-term volatility and more negative put-side skew, while longer-dated ATM volatility declined. The CoinDesk report offers only broader market context, not a direct explanation.", "marketContext": [ { "title": "Near-term volatility repricing", "explanation": "Front-end ATM IV rose, led by a 1W increase, while long-dated ATM IV declined.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "back-atm", "largest-standard-tenor" ], "newsEvidenceIds": [ "news-50204aa16814a855" ] } ], "newsEvidenceIds": [ "news-50204aa16814a855" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.51 volatility points to 35.07% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points to 41.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.69 volatility points to -4.46% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.08 volatility points to 2.53% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.73 volatility points at 1W, to 35.43%.", "tenor": "1W", "value": 0.73 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-28T21:49:43+00:00", "window": { "startAt": "2026-07-27T21:48:00+00:00", "endAt": "2026-07-28T21:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-27T21:48:00+00:00", "endAt": "2026-07-28T21:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 312, "articlesPassingTimeFilter": 64, "articlesPassingSourceRelevanceRules": 11, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 1 }, "items": [ { "id": "news-50204aa16814a855", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin\u2019s recent stability hasn't been enough to spark a broader altcoin rally", "url": "https://www.coindesk.com/daybook-us/2026/07/28/bitcoin-s-recent-stability-hasn-t-been-enough-to-spark-a-broader-altcoin-rally", "publishedAt": "2026-07-28T11:37:31+00:00", "summary": "", "matchedTerms": [ "bitcoin" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD", "ATM IV 1W: up 0.73 points to 35.43%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "event_cluster_id": "market-event-2dc5a2fdfa97" } ], "events": [ { "event_cluster_id": "market-event-2dc5a2fdfa97", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD", "ATM IV 1W: up 0.73 points to 35.43%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "primary_article": { "id": "news-50204aa16814a855", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin\u2019s recent stability hasn't been enough to spark a broader altcoin rally", "url": "https://www.coindesk.com/daybook-us/2026/07/28/bitcoin-s-recent-stability-hasn-t-been-enough-to-spark-a-broader-altcoin-rally", "publishedAt": "2026-07-28T11:37:31+00:00", "summary": "", "matchedTerms": [ "bitcoin" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD", "ATM IV 1W: up 0.73 points to 35.43%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "event_cluster_id": "market-event-2dc5a2fdfa97" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-2dc5a2fdfa97", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD", "ATM IV 1W: up 0.73 points to 35.43%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "primary_article": { "id": "news-50204aa16814a855", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin\u2019s recent stability hasn't been enough to spark a broader altcoin rally", "url": "https://www.coindesk.com/daybook-us/2026/07/28/bitcoin-s-recent-stability-hasn-t-been-enough-to-spark-a-broader-altcoin-rally", "publishedAt": "2026-07-28T11:37:31+00:00", "summary": "", "matchedTerms": [ "bitcoin" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD", "ATM IV 1W: up 0.73 points to 35.43%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 31JUL26: -797.93 USD (-1.23%) to 63976.40 USD; ATM IV 1W: up 0.73 points to 35.43%.", "event_cluster_id": "market-event-2dc5a2fdfa97" }, "additional_coverage": [] } ] }, "marketRead": { "text": "2W RR25 moved 1.55 volatility points toward puts to -4.69%, leaving puts richer than calls; this was a notable move at the 83rd percentile. Front-end ATM IV averaged 35.07%, +0.51 points from the prior snapshot, while the long end averaged 41.33%, -0.18 points. The 1Y-minus-1W ATM slope flattened 0.87 points to 6.85 points. 1W ATM IV rose 0.73 volatility points to 35.43%. 1W BF25 rose 0.40 volatility points to 2.35%. The nearest eligible forward, 31JUL26, fell $797.93 (-1.23%) to $63,976.40. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 94, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.51 volatility points to 35.07% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.18 volatility points to 41.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.69 volatility points to -4.46% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.08 volatility points to 2.53% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.73 volatility points at 1W, to 35.43%.", "tenor": "1W", "value": 0.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.18, "rr25Change": -0.69, "bf25Change": 0.08, "largestAtmMove": { "tenor": "1W", "current": 35.43, "previous": 34.7, "change": 0.73, "historicalSignificance": { "absoluteMove": 0.73, "movePercentile30d": 36.7, "movePercentileFullHistory": 26.3, "currentLevelPercentileFullHistory": 44.8, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } }, "frontEndAverageAtm": { "current": 35.07, "previous": 34.55, "change": 0.51 }, "longEndAverageAtm": { "current": 41.33, "previous": 41.51, "change": -0.18 }, "oneYearMinusOneWeekAtmSlope": { "current": 6.85, "previous": 7.72, "change": -0.87 }, "largestRr25Move": { "tenor": "2W", "current": -4.69, "previous": -3.14, "change": -1.55, "historicalSignificance": { "absoluteMove": 1.55, "movePercentile30d": 80.0, "movePercentileFullHistory": 83.2, "currentLevelPercentileFullHistory": 51.0, "classificationPercentile": 83.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.35, "previous": 1.95, "change": 0.4, "historicalSignificance": { "absoluteMove": 0.4, "movePercentile30d": 86.7, "movePercentileFullHistory": 73.7, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } }, "nearestEligibleForwardMove": { "label": "31JUL26", "daysToExpiry": 2.425, "current": 63976.4, "previous": 64774.33, "change": -797.93, "percentChange": -1.23 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1785880082044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.43, "previous": 34.7, "change": 0.73, "percentChange": 2.1 }, "rr25": { "current": -3.65, "previous": -2.31, "change": -1.34, "percentChange": -58.01 }, "bf25": { "current": 2.35, "previous": 1.95, "change": 0.4, "percentChange": 20.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.73, "movePercentile30d": 36.7, "movePercentileFullHistory": 26.3, "currentLevelPercentileFullHistory": 44.8, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 1.34, "movePercentile30d": 76.7, "movePercentileFullHistory": 78.9, "currentLevelPercentileFullHistory": 57.3, "classificationPercentile": 78.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.4, "movePercentile30d": 86.7, "movePercentileFullHistory": 73.7, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "2W", "targetExpiry": 1786484882044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.94, "previous": 34.39, "change": 0.55, "percentChange": 1.6 }, "rr25": { "current": -4.69, "previous": -3.14, "change": -1.55, "percentChange": -49.36 }, "bf25": { "current": 2.37, "previous": 2.18, "change": 0.19, "percentChange": 8.72 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.55, "movePercentile30d": 33.3, "movePercentileFullHistory": 27.4, "currentLevelPercentileFullHistory": 28.1, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 1.55, "movePercentile30d": 80.0, "movePercentileFullHistory": 83.2, "currentLevelPercentileFullHistory": 51.0, "classificationPercentile": 83.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 70.0, "movePercentileFullHistory": 55.8, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "1M", "targetExpiry": 1787867282044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.83, "previous": 34.57, "change": 0.26, "percentChange": 0.75 }, "rr25": { "current": -5.36, "previous": -4.31, "change": -1.05, "percentChange": -24.36 }, "bf25": { "current": 2.46, "previous": 2.37, "change": 0.09, "percentChange": 3.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.26, "movePercentile30d": 16.7, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 20.8, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 1.05, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.1, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 70.0, "movePercentileFullHistory": 50.5, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "3M", "targetExpiry": 1793137682044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.28, "previous": 38.4, "change": -0.12, "percentChange": -0.31 }, "rr25": { "current": -4.77, "previous": -4.5, "change": -0.27, "percentChange": -6.0 }, "bf25": { "current": 2.67, "previous": 2.72, "change": -0.05, "percentChange": -1.84 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.12, "movePercentile30d": 10.0, "movePercentileFullHistory": 13.7, "currentLevelPercentileFullHistory": 30.2, "classificationPercentile": 13.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 0.27, "movePercentile30d": 50.0, "movePercentileFullHistory": 42.1, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.7, "currentLevelPercentileFullHistory": 69.8, "classificationPercentile": 33.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "6M", "targetExpiry": 1801000082044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.37, "previous": 40.59, "change": -0.22, "percentChange": -0.54 }, "rr25": { "current": -4.43, "previous": -4.35, "change": -0.08, "percentChange": -1.84 }, "bf25": { "current": 2.71, "previous": 2.79, "change": -0.08, "percentChange": -2.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.22, "movePercentile30d": 46.7, "movePercentileFullHistory": 49.5, "currentLevelPercentileFullHistory": 8.3, "classificationPercentile": 49.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 16.7, "movePercentileFullHistory": 22.1, "currentLevelPercentileFullHistory": 90.6, "classificationPercentile": 22.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 56.7, "movePercentileFullHistory": 57.9, "currentLevelPercentileFullHistory": 56.2, "classificationPercentile": 57.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "9M", "targetExpiry": 1808862482044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.5, "previous": 41.65, "change": -0.15, "percentChange": -0.36 }, "rr25": { "current": -4.26, "previous": -4.2, "change": -0.06, "percentChange": -1.43 }, "bf25": { "current": 2.66, "previous": 2.74, "change": -0.08, "percentChange": -2.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.15, "movePercentile30d": 46.7, "movePercentileFullHistory": 44.2, "currentLevelPercentileFullHistory": 3.1, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 16.7, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 80.2, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 73.3, "movePercentileFullHistory": 62.1, "currentLevelPercentileFullHistory": 56.2, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 95, "levelObservationsFullHistory": 96 } } }, { "tenor": "1Y", "targetExpiry": 1816811282044, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.28, "previous": 42.42, "change": -0.14, "percentChange": -0.33 }, "rr25": { "current": -3.89, "previous": -4.04, 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