{ "schemaVersion": 3, "reportDate": "2026-07-30", "generatedAt": "2026-07-30T16:07:15+00:00", "currentSnapshotAt": "2026-07-30T16:03:00+00:00", "previousSnapshotAt": "2026-07-29T16:03:00+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": 0.05726786, "previousObjective": 0.19380704, "currentLiveError": 92.44172911, "previousLiveError": 229.96252598 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "21AUG26", "30OCT26", "3AUG26" ], "removedExpiries": [ "30JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options volatility falls, with skew tilting toward calls", "executiveSummary": "BTC ATM volatility declined across the curve, led by the front end, while RR25 moved toward calls and BF25 softened.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "The BEA reported June increases in personal income, disposable income and consumer spending. Its advance estimate showed second-quarter GDP growth of 1.5%, while the Bank of England maintained Bank Rate at 3.75%.", "marketContextSummary": "The same-day macro releases are plausible but unconfirmed context for the repricing, which was concentrated in front-end ATM volatility while relative call-side volatility increased.", "marketContext": [ { "title": "U.S. macro data releases", "explanation": "The BEA published its June Personal Income and Outlays report and an advance estimate showing second-quarter GDP growth of 1.5%. Their timing and macro subject plausibly align with the observed BTC options repricing, but the headlines do not establish a direct explanation.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "largest-standard-tenor", "headline-tenor-averages" ], "newsEvidenceIds": [ "news-5a0547ffcaa7a57e", "news-9d7146f970cd6602" ] }, { "title": "Bank of England policy decision", "explanation": "The Bank of England maintained Bank Rate at 3.75%. The policy headline is same-day macro context, though its connection to the BTC options changes is indirect.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "back-atm", "rr25", "bf25" ], "newsEvidenceIds": [ "news-5032b8230b3b0553" ] } ], "newsEvidenceIds": [ "news-5a0547ffcaa7a57e", "news-9d7146f970cd6602", "news-5032b8230b3b0553" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.80 volatility points to 32.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 41.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.80 volatility points to -3.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 31.93%.", "tenor": "1W", "value": -5.2 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-30T16:04:24+00:00", "window": { "startAt": "2026-07-29T16:03:00+00:00", "endAt": "2026-07-30T16:03:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-29T16:03:00+00:00", "endAt": "2026-07-30T16:03:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 321, "articlesPassingTimeFilter": 70, "articlesPassingSourceRelevanceRules": 18, "articlesPassingSelectionThreshold": 4, "storiesSelected": 3, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 2 }, "items": [ { "id": "news-5a0547ffcaa7a57e", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "Personal Income and Outlays, June 2026", "url": "https://www.bea.gov/news/2026/personal-income-and-outlays-june-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Personal income increased $54.9 billion (0.2 percent at a monthly rate) in June, according to estimates released today by the U.S. Bureau of Economic Analysis (BEA). Disposable personal income (DPI)-personal income less personal current taxes-increased $48.3 billion (0.2 percent), and personal consumption expenditures (PCE) increased $65.2 billion (0.3 percent). Personal outlays-the sum of PCE, personal interest payments, and personal current transfer payments-increased $70.0 billion in June. Personal saving was $646.1 billion in June, and the personal saving rate-personal saving as a percent\u2026", "matchedTerms": [ "personal income", "personal consumption expenditures", "PCE" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 13, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" }, { "id": "news-9d7146f970cd6602", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "GDP (Advance Estimate), 2nd Quarter 2026", "url": "https://www.bea.gov/news/2026/gdp-advance-estimate-2nd-quarter-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Real gross domestic product (GDP) increased at an annual rate of 1.5 percent in the second quarter of 2026 (April, May, and June), according to the advance estimate released today by the U.S. Bureau of Economic Analysis (BEA). In the first quarter, real GDP increased 2.1 percent. The contributors to the increase in real GDP in the second quarter were increases in consumer spending, investment, and exports that were partly offset by a decrease in government spending. Imports, which are a subtraction in the calculation of GDP, increased. Full Text", "matchedTerms": [ "GDP", "gross domestic product" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" }, { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" } ], "events": [ { "event_cluster_id": "macro-release-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "primary_article": { "id": "news-5a0547ffcaa7a57e", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "Personal Income and Outlays, June 2026", "url": "https://www.bea.gov/news/2026/personal-income-and-outlays-june-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Personal income increased $54.9 billion (0.2 percent at a monthly rate) in June, according to estimates released today by the U.S. Bureau of Economic Analysis (BEA). Disposable personal income (DPI)-personal income less personal current taxes-increased $48.3 billion (0.2 percent), and personal consumption expenditures (PCE) increased $65.2 billion (0.3 percent). Personal outlays-the sum of PCE, personal interest payments, and personal current transfer payments-increased $70.0 billion in June. Personal saving was $646.1 billion in June, and the personal saving rate-personal saving as a percent\u2026", "matchedTerms": [ "personal income", "personal consumption expenditures", "PCE" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 13, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" }, "additional_coverage": [ { "id": "news-9d7146f970cd6602", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "GDP (Advance Estimate), 2nd Quarter 2026", "url": "https://www.bea.gov/news/2026/gdp-advance-estimate-2nd-quarter-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Real gross domestic product (GDP) increased at an annual rate of 1.5 percent in the second quarter of 2026 (April, May, and June), according to the advance estimate released today by the U.S. Bureau of Economic Analysis (BEA). In the first quarter, real GDP increased 2.1 percent. The contributors to the increase in real GDP in the second quarter were increases in consumer spending, investment, and exports that were partly offset by a decrease in government spending. Imports, which are a subtraction in the calculation of GDP, increased. Full Text", "matchedTerms": [ "GDP", "gross domestic product" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" } ] }, { "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "primary_article": { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "macro-release-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "primary_article": { "id": "news-5a0547ffcaa7a57e", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "Personal Income and Outlays, June 2026", "url": "https://www.bea.gov/news/2026/personal-income-and-outlays-june-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Personal income increased $54.9 billion (0.2 percent at a monthly rate) in June, according to estimates released today by the U.S. Bureau of Economic Analysis (BEA). Disposable personal income (DPI)-personal income less personal current taxes-increased $48.3 billion (0.2 percent), and personal consumption expenditures (PCE) increased $65.2 billion (0.3 percent). Personal outlays-the sum of PCE, personal interest payments, and personal current transfer payments-increased $70.0 billion in June. Personal saving was $646.1 billion in June, and the personal saving rate-personal saving as a percent\u2026", "matchedTerms": [ "personal income", "personal consumption expenditures", "PCE" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 13, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" }, "additional_coverage": [ { "id": "news-9d7146f970cd6602", "sourceId": "bea-news", "publisher": "U.S. Bureau of Economic Analysis", "title": "GDP (Advance Estimate), 2nd Quarter 2026", "url": "https://www.bea.gov/news/2026/gdp-advance-estimate-2nd-quarter-2026", "publishedAt": "2026-07-30T12:30:00+00:00", "summary": "Real gross domestic product (GDP) increased at an annual rate of 1.5 percent in the second quarter of 2026 (April, May, and June), according to the advance estimate released today by the U.S. Bureau of Economic Analysis (BEA). In the first quarter, real GDP increased 2.1 percent. The contributors to the increase in real GDP in the second quarter were increases in consumer spending, investment, and exports that were partly offset by a decrease in government spending. Imports, which are a subtraction in the calculation of GDP, increased. Full Text", "matchedTerms": [ "GDP", "gross domestic product" ], "topics": [ "macro", "gdp", "pce" ], "sourceKind": "macro-data", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "macro-release-2026-07" } ] }, { "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "primary_article": { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.20 points to 31.93%", "ATM slope 1Y-minus-1W: +5.07 points to 10.37 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 1W: down 5.20 points to 31.93%; ATM slope 1Y-minus-1W: +5.07 points to 10.37 points.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV fell 5.20 volatility points to 31.93%, an exceptional move at the 100th percentile. Front-end ATM IV averaged 32.61%, -3.80 points from the prior snapshot, while the long end averaged 41.30%, -0.21 points. The 1Y-minus-1W ATM slope steepened 5.07 points to 10.37 points. 2W RR25 moved 1.65 volatility points toward calls to -3.31%, leaving puts richer than calls. 1W BF25 fell 0.40 volatility points to 1.93%. The nearest eligible forward, 2AUG26, rose $843.71 (+1.32%) to $64,728.82. 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 decreased, averaging -3.80 volatility points to 32.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 41.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.80 volatility points to -3.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 31.93%.", "tenor": "1W", "value": -5.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.18, "rr25Change": 0.8, "bf25Change": -0.22, "largestAtmMove": { "tenor": "1W", "current": 31.93, "previous": 37.13, "change": -5.2, "historicalSignificance": { "absoluteMove": 5.2, "movePercentile30d": 100.0, "movePercentileFullHistory": 93.8, "currentLevelPercentileFullHistory": 7.1, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 97, "levelObservationsFullHistory": 98 } }, "frontEndAverageAtm": { "current": 32.61, "previous": 36.41, "change": -3.8 }, "longEndAverageAtm": { "current": 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