{ "schemaVersion": 3, "reportDate": "2026-07-29", "generatedAt": "2026-07-29T17:56:45+00:00", "currentSnapshotAt": "2026-07-29T17:53:00+00:00", "previousSnapshotAt": "2026-07-28T17:53:00+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": 0.10520231, "previousObjective": 0.07976127, "currentLiveError": 114.88034947, "previousLiveError": 92.84313374 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "2AUG26" ], "removedExpiries": [ "29JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options volatility rises, led by the front end", "executiveSummary": "ATM IV increased across the curve, with the strongest move at 1W, while RR25 shifted modestly toward puts and BF25 was broadly unchanged.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "CoinDesk reported that the company behind an AI trade linked to $60 million in crypto liquidations would cover all losses.", "marketContextSummary": "The surface shows a front-end-led volatility repricing, with limited movement in convexity. The liquidation-related headline offers possible broader crypto context, but does not directly establish the cause of the options moves.", "marketContext": [ { "title": "Front-end volatility repricing", "explanation": "The liquidation-related report was published during the observation window and concerns crypto markets, while 1W ATM IV recorded the largest standard-tenor increase. This is possible context, not proof of causation.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "largest-standard-tenor" ], "newsEvidenceIds": [ "news-5cef41d8390ba7b0" ] } ], "newsEvidenceIds": [ "news-5cef41d8390ba7b0" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.74 volatility points to 36.92% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.20 volatility points to 41.58% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.43 volatility points to -4.79% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.02 volatility points to 2.48% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.28 volatility points at 1W, to 37.61%.", "tenor": "1W", "value": 2.28 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-29T17:54:23+00:00", "window": { "startAt": "2026-07-28T17:53:00+00:00", "endAt": "2026-07-29T17:53:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-28T17:53:00+00:00", "endAt": "2026-07-29T17:53:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 315, "articlesPassingTimeFilter": 68, "articlesPassingSourceRelevanceRules": 13, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 1 }, "items": [ { "id": "news-5cef41d8390ba7b0", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Company behind AI trade that caused $60 million crypto liquidations to cover all losses", "url": "https://www.coindesk.com/markets/2026/07/29/company-behind-ai-trade-that-caused-usd60-million-crypto-liquidations-to-cover-all-losses", "publishedAt": "2026-07-29T06:03:28+00:00", "summary": "", "matchedTerms": [ "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD", "ATM IV 1W: up 2.28 points to 37.61%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "event_cluster_id": "market-event-f5fe5c17301a" } ], "events": [ { "event_cluster_id": "market-event-f5fe5c17301a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD", "ATM IV 1W: up 2.28 points to 37.61%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "primary_article": { "id": "news-5cef41d8390ba7b0", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Company behind AI trade that caused $60 million crypto liquidations to cover all losses", "url": "https://www.coindesk.com/markets/2026/07/29/company-behind-ai-trade-that-caused-usd60-million-crypto-liquidations-to-cover-all-losses", "publishedAt": "2026-07-29T06:03:28+00:00", "summary": "", "matchedTerms": [ "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD", "ATM IV 1W: up 2.28 points to 37.61%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "event_cluster_id": "market-event-f5fe5c17301a" }, "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-f5fe5c17301a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD", "ATM IV 1W: up 2.28 points to 37.61%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "primary_article": { "id": "news-5cef41d8390ba7b0", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Company behind AI trade that caused $60 million crypto liquidations to cover all losses", "url": "https://www.coindesk.com/markets/2026/07/29/company-behind-ai-trade-that-caused-usd60-million-crypto-liquidations-to-cover-all-losses", "publishedAt": "2026-07-29T06:03:28+00:00", "summary": "", "matchedTerms": [ "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 10, "relevanceReasons": [ "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%." ], "selectionReason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD", "ATM IV 1W: up 2.28 points to 37.61%" ], "selection_reason": "Selected as broader crypto context because the report records Forward 1AUG26: +425.87 USD (+0.67%) to 64014.24 USD; ATM IV 1W: up 2.28 points to 37.61%.", "event_cluster_id": "market-event-f5fe5c17301a" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV rose 2.28 volatility points to 37.61%, a notable move at the 83rd percentile. Front-end ATM IV averaged 36.92%, +1.74 points from the prior snapshot, while the long end averaged 41.58%, +0.20 points. The 1Y-minus-1W ATM slope flattened 2.13 points to 4.85 points. 1W RR25 moved 0.63 volatility points toward puts to -4.01%, leaving puts richer than calls. 2W BF25 fell 0.06 volatility points to 2.21%. The nearest eligible forward, 1AUG26, rose $425.87 (+0.67%) to $64,014.24. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 92, "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 +1.74 volatility points to 36.92% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.20 volatility points to 41.58% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.43 volatility points to -4.79% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.02 volatility points to 2.48% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.28 volatility points at 1W, to 37.61%.", "tenor": "1W", "value": 2.28 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.02, "rr25Change": -0.43, "bf25Change": -0.02, "largestAtmMove": { "tenor": "1W", "current": 37.61, "previous": 35.33, "change": 2.28, "historicalSignificance": { "absoluteMove": 2.28, "movePercentile30d": 83.3, "movePercentileFullHistory": 67.7, "currentLevelPercentileFullHistory": 71.1, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } }, "frontEndAverageAtm": { "current": 36.92, "previous": 35.17, "change": 1.74 }, "longEndAverageAtm": { "current": 41.58, "previous": 41.38, "change": 0.2 }, "oneYearMinusOneWeekAtmSlope": { "current": 4.85, "previous": 6.98, "change": -2.13 }, "largestRr25Move": { "tenor": "1W", "current": -4.01, "previous": -3.38, "change": -0.63, "historicalSignificance": { "absoluteMove": 0.63, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.9, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 46.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.21, "previous": 2.27, "change": -0.06, "historicalSignificance": { "absoluteMove": 0.06, "movePercentile30d": 33.3, "movePercentileFullHistory": 20.8, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } }, "nearestEligibleForwardMove": { "label": "1AUG26", "daysToExpiry": 2.588, "current": 64014.24, "previous": 63588.37, "change": 425.87, "percentChange": 0.67 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1785952382801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.61, "previous": 35.33, "change": 2.28, "percentChange": 6.45 }, "rr25": { "current": -4.01, "previous": -3.38, "change": -0.63, "percentChange": -18.64 }, "bf25": { "current": 2.25, "previous": 2.22, "change": 0.03, "percentChange": 1.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.28, "movePercentile30d": 83.3, "movePercentileFullHistory": 67.7, "currentLevelPercentileFullHistory": 71.1, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.63, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.9, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 46.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 13.3, "movePercentileFullHistory": 9.4, "currentLevelPercentileFullHistory": 74.2, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "2W", "targetExpiry": 1786557182801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.04, "previous": 35.03, "change": 2.01, "percentChange": 5.74 }, "rr25": { "current": -5.05, "previous": -4.55, "change": -0.5, "percentChange": -10.99 }, "bf25": { "current": 2.21, "previous": 2.27, "change": -0.06, "percentChange": -2.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.01, "movePercentile30d": 86.7, "movePercentileFullHistory": 77.1, "currentLevelPercentileFullHistory": 63.9, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.5, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 44.3, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 33.3, "movePercentileFullHistory": 20.8, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "1M", "targetExpiry": 1787939582801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.1, "previous": 35.16, "change": 0.94, "percentChange": 2.67 }, "rr25": { "current": -5.72, "previous": -5.11, "change": -0.61, "percentChange": -11.94 }, "bf25": { "current": 2.42, "previous": 2.45, "change": -0.03, "percentChange": -1.22 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.94, "movePercentile30d": 70.0, "movePercentileFullHistory": 60.4, "currentLevelPercentileFullHistory": 37.1, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.61, "movePercentile30d": 73.3, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 44.3, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.8, "currentLevelPercentileFullHistory": 70.1, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "3M", "targetExpiry": 1793209982801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.86, "previous": 38.38, "change": 0.48, "percentChange": 1.25 }, "rr25": { "current": -5.12, "previous": -4.78, "change": -0.34, "percentChange": -7.11 }, "bf25": { "current": 2.64, "previous": 2.66, "change": -0.02, "percentChange": -0.75 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.48, "movePercentile30d": 80.0, "movePercentileFullHistory": 64.6, "currentLevelPercentileFullHistory": 44.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": 66.7, "movePercentileFullHistory": 52.1, "currentLevelPercentileFullHistory": 63.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 10.0, "movePercentileFullHistory": 7.3, "currentLevelPercentileFullHistory": 62.9, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "6M", "targetExpiry": 1801072382801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.69, "previous": 40.45, "change": 0.24, "percentChange": 0.59 }, "rr25": { "current": -4.75, "previous": -4.44, "change": -0.31, "percentChange": -6.98 }, "bf25": { "current": 2.71, "previous": 2.72, "change": -0.01, "percentChange": -0.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 56.7, "movePercentileFullHistory": 52.1, "currentLevelPercentileFullHistory": 18.6, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 73.3, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 75.3, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 16.7, "movePercentileFullHistory": 7.3, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "9M", "targetExpiry": 1808934782801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.68, "previous": 41.54, "change": 0.14, "percentChange": 0.34 }, "rr25": { "current": -4.45, "previous": -4.27, "change": -0.18, "percentChange": -4.22 }, "bf25": { "current": 2.71, "previous": 2.71, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.14, "movePercentile30d": 40.0, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 8.2, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "rr25": { "absoluteMove": 0.18, "movePercentile30d": 56.7, "movePercentileFullHistory": 51.0, "currentLevelPercentileFullHistory": 73.2, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 1.0, "currentLevelPercentileFullHistory": 64.9, "classificationPercentile": 1.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 96, "levelObservationsFullHistory": 97 } } }, { "tenor": "1Y", "targetExpiry": 1816883582801, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.46, "previous": 42.31, "change": 0.15, "percentChange": 0.35 }, "rr25": { "current": -4.09, "previous": -3.88, 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