{ "schemaVersion": 3, "reportDate": "2026-07-31", "generatedAt": "2026-07-31T22:58:28+00:00", "currentSnapshotAt": "2026-07-31T19:29:00+00:00", "previousSnapshotAt": "2026-07-30T19:29:00+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": 0.18404189, "previousObjective": 0.04732032, "currentLiveError": 141.7346511, "previousLiveError": 95.19408548 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [ "4AUG26" ], "removedExpiries": [ "31JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options stay broadly steady as put-side volatility firms", "executiveSummary": "ATM volatility was little changed across maturities, while RR25 shifted toward puts and BF25 declined; the largest standard-tenor move was a 1W ATM IV decrease.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "Bitcoin, ether fall as equities rally, with broader crypto on track for its best month in a year. Bitcoin is also reported flat near $64,000 despite a record Kospi surge.", "marketContextSummary": "The surface shows limited ATM repricing but a modest move toward put-side volatility and lower convexity, with the clearest ATM change at 1W. Contemporaneous reports of Bitcoin weakness provide possible near-term context, but do not establish a cause.", "marketContext": [ { "title": "Bitcoin weakness and short-dated repricing", "explanation": "The report of Bitcoin and ether falling is directionally consistent with the 1W ATM IV decline and the move toward put-side volatility, although the relationship remains uncertain.", "relationship": "possible-driver", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "rr25" ], "newsEvidenceIds": [ "news-b8b14bea0242f58a" ] }, { "title": "Broader market backdrop", "explanation": "The report of Bitcoin remaining flat despite a record Kospi surge provides contemporaneous market context but no clear explanation for the options surface changes.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "back-atm", "bf25" ], "newsEvidenceIds": [ "news-67e28281ce69b59d" ] } ], "newsEvidenceIds": [ "news-b8b14bea0242f58a", "news-67e28281ce69b59d" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV was broadly unchanged, averaging +0.05 volatility points to 32.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.07 volatility points to 41.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.17 volatility points to -4.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.14 volatility points to 2.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.32 volatility points at 1W, to 31.49%.", "tenor": "1W", "value": -0.32 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-31T19:30:10+00:00", "window": { "startAt": "2026-07-30T19:29:00+00:00", "endAt": "2026-07-31T19:29:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-30T19:29:00+00:00", "endAt": "2026-07-31T19:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 335, "articlesPassingTimeFilter": 56, "articlesPassingSourceRelevanceRules": 12, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 1 }, "items": [ { "id": "news-b8b14bea0242f58a", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin, ether fall, equities rally with broader crypto market on track for best month in a year", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-ether-fall-equities-rally-with-broader-crypto-market-on-track-for-best-month-in-a-year", "publishedAt": "2026-07-31T11:07:52+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" }, { "id": "news-67e28281ce69b59d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin flat near $64,000 as Kospi's record 17% surge leaves crypto untouched", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-flat-near-usd64-000-as-kospi-s-record-17-surge-leaves-crypto-untouched", "publishedAt": "2026-07-31T05:43:39+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "additional coverage", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" } ], "events": [ { "event_cluster_id": "btc-price-context-2026-07-31", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-b8b14bea0242f58a", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin, ether fall, equities rally with broader crypto market on track for best month in a year", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-ether-fall-equities-rally-with-broader-crypto-market-on-track-for-best-month-in-a-year", "publishedAt": "2026-07-31T11:07:52+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" }, "additional_coverage": [ { "id": "news-67e28281ce69b59d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin flat near $64,000 as Kospi's record 17% surge leaves crypto untouched", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-flat-near-usd64-000-as-kospi-s-record-17-surge-leaves-crypto-untouched", "publishedAt": "2026-07-31T05:43:39+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "additional coverage", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" } ] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "btc-price-context-2026-07-31", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-b8b14bea0242f58a", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin, ether fall, equities rally with broader crypto market on track for best month in a year", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-ether-fall-equities-rally-with-broader-crypto-market-on-track-for-best-month-in-a-year", "publishedAt": "2026-07-31T11:07:52+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" }, "additional_coverage": [ { "id": "news-67e28281ce69b59d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin flat near $64,000 as Kospi's record 17% surge leaves crypto untouched", "url": "https://www.coindesk.com/markets/2026/07/31/bitcoin-flat-near-usd64-000-as-kospi-s-record-17-surge-leaves-crypto-untouched", "publishedAt": "2026-07-31T05:43:39+00:00", "summary": "", "matchedTerms": [ "bitcoin", "crypto" ], "topics": [ "crypto", "bitcoin", "markets" ], "sourceKind": "newsroom", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "status": "additional coverage", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD", "ATM IV 1W: down 0.32 points to 31.49%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3AUG26: -1885.98 USD (-2.91%) to 62979.07 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "btc-price-context-2026-07-31" } ] } ] }, "marketRead": { "text": "2W RR25 moved 0.73 volatility points toward puts to -4.03%, leaving puts richer than calls; this was a routine move at the 63rd percentile. Front-end ATM IV averaged 32.37%, +0.05 points from the prior snapshot, while the long end averaged 41.27%, +0.07 points. The 1Y-minus-1W ATM slope steepened 0.48 points to 10.88 points. 1W ATM IV fell 0.32 volatility points to 31.49%. 1M BF25 fell 0.23 volatility points to 1.94%. The nearest eligible forward, 3AUG26, fell $1,885.98 (-2.91%) to $62,979.07. 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 was broadly unchanged, averaging +0.05 volatility points to 32.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.07 volatility points to 41.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.17 volatility points to -4.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.14 volatility points to 2.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.32 volatility points at 1W, to 31.49%.", "tenor": "1W", "value": -0.32 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.02, "rr25Change": -0.17, "bf25Change": -0.14, "largestAtmMove": { "tenor": "1W", "current": 31.49, "previous": 31.81, "change": -0.32, "historicalSignificance": { "absoluteMove": 0.32, "movePercentile30d": 16.7, "movePercentileFullHistory": 11.2, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 } }, "frontEndAverageAtm": { "current": 32.37, "previous": 32.32, "change": 0.05 }, "longEndAverageAtm": { "current": 41.27, "previous": 41.2, "change": 0.07 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.88, "previous": 10.4, "change": 0.48 }, "largestRr25Move": { "tenor": "2W", "current": -4.03, "previous": -3.3, "change": -0.73, "historicalSignificance": { "absoluteMove": 0.73, "movePercentile30d": 63.3, "movePercentileFullHistory": 53.1, "currentLevelPercentileFullHistory": 64.6, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 1.94, "previous": 2.17, "change": -0.23, "historicalSignificance": { "absoluteMove": 0.23, "movePercentile30d": 90.0, "movePercentileFullHistory": 77.6, "currentLevelPercentileFullHistory": 14.1, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 } }, "nearestEligibleForwardMove": { "label": "3AUG26", "daysToExpiry": 2.522, "current": 62979.07, "previous": 64865.05, "change": -1885.98, "percentChange": -2.91 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1786130942247, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.49, "previous": 31.81, "change": -0.32, "percentChange": -1.01 }, "rr25": { "current": -3.04, "previous": -2.85, "change": -0.19, "percentChange": -6.67 }, "bf25": { "current": 1.7, "previous": 1.79, "change": -0.09, "percentChange": -5.03 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": 16.7, "movePercentileFullHistory": 11.2, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": 6.7, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 70.7, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 40.0, "movePercentileFullHistory": 30.6, "currentLevelPercentileFullHistory": 28.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 } } }, { "tenor": "2W", "targetExpiry": 1786735742247, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.1, "previous": 31.94, "change": 0.16, "percentChange": 0.5 }, "rr25": { "current": -4.03, "previous": -3.3, "change": -0.73, "percentChange": -22.12 }, "bf25": { "current": 1.75, "previous": 1.94, "change": -0.19, "percentChange": -9.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 13.3, "movePercentileFullHistory": 11.2, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 63.3, "movePercentileFullHistory": 53.1, "currentLevelPercentileFullHistory": 64.6, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 76.7, "movePercentileFullHistory": 56.1, "currentLevelPercentileFullHistory": 27.3, "classificationPercentile": 76.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 } } }, { "tenor": "1M", "targetExpiry": 1788118142247, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.52, "previous": 33.22, "change": 0.3, "percentChange": 0.9 }, "rr25": { "current": -4.7, "previous": -4.95, "change": 0.25, "percentChange": 5.05 }, "bf25": { "current": 1.94, "previous": 2.17, "change": -0.23, "percentChange": -10.6 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 23.3, "movePercentileFullHistory": 22.4, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 0.25, "movePercentile30d": 30.0, "movePercentileFullHistory": 22.4, "currentLevelPercentileFullHistory": 62.6, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": 90.0, "movePercentileFullHistory": 77.6, "currentLevelPercentileFullHistory": 14.1, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 98, "levelObservationsFullHistory": 99 } } }, { "tenor": "3M", "targetExpiry": 1793388542247, "availability": 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