{ "schemaVersion": 3, "reportDate": "2026-08-01", "generatedAt": "2026-08-01T13:36:36+00:00", "currentSnapshotAt": "2026-08-01T13:34:00+00:00", "previousSnapshotAt": "2026-07-31T13:34:00+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": 0.34502288, "previousObjective": 0.05269658, "currentLiveError": 207.62206128, "previousLiveError": 162.41266689 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [ "5AUG26" ], "removedExpiries": [ "1AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "Front-end BTC volatility edges higher while longer-dated volatility holds steady", "executiveSummary": "BTC ATM volatility rose modestly at the front end, led by the 1M tenor, while long-dated ATM volatility, skew, and convexity were broadly unchanged.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor", "headline-tenor-averages" ], "newsSummary": "No sufficiently relevant headlines were selected for the report window.", "marketContextSummary": "The collected headlines did not provide a sufficiently direct explanation for the observed BTC options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.12 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 +0.01 volatility points to 41.21% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to -4.60% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.41 volatility points at 1M, to 33.39%.", "tenor": "1M", "value": 0.41 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-08-01T13:35:08+00:00", "window": { "startAt": "2026-07-31T13:34:00+00:00", "endAt": "2026-08-01T13:34:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-31T13:34:00+00:00", "endAt": "2026-08-01T13:34:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 324, "articlesPassingTimeFilter": 38, "articlesPassingSourceRelevanceRules": 7, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1M ATM IV rose 0.41 volatility points to 33.39%, a routine move at the 40th percentile. Front-end ATM IV averaged 32.37%, +0.12 points from the prior snapshot, while the long end averaged 41.21%, +0.02 points. The 1Y-minus-1W ATM slope steepened 0.12 points to 10.68 points. 6M RR25 moved 0.41 volatility points toward puts to -4.85%, leaving puts richer than calls. 1Y BF25 fell 0.21 volatility points to 2.51%. The nearest eligible forward, 4AUG26, fell $553.77 (-0.87%) to $63,045.31. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "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 +0.12 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 +0.01 volatility points to 41.21% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to -4.60% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.41 volatility points at 1M, to 33.39%.", "tenor": "1M", "value": 0.41 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.06, "rr25Change": -0.05, "bf25Change": 0.04, "largestAtmMove": { "tenor": "1M", "current": 33.39, "previous": 32.98, "change": 0.41, "historicalSignificance": { "absoluteMove": 0.41, "movePercentile30d": 40.0, "movePercentileFullHistory": 29.3, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 } }, "frontEndAverageAtm": { "current": 32.37, "previous": 32.25, "change": 0.12 }, "longEndAverageAtm": { "current": 41.21, "previous": 41.19, "change": 0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.68, "previous": 10.56, "change": 0.12 }, "largestRr25Move": { "tenor": "6M", "current": -4.85, "previous": -4.44, "change": -0.41, "historicalSignificance": { "absoluteMove": 0.41, "movePercentile30d": 93.3, "movePercentileFullHistory": 77.8, "currentLevelPercentileFullHistory": 69.0, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1Y", "current": 2.51, "previous": 2.72, "change": -0.21, "historicalSignificance": { "absoluteMove": 0.21, "movePercentile30d": 96.7, "movePercentileFullHistory": 89.9, "currentLevelPercentileFullHistory": 47.0, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 } }, "nearestEligibleForwardMove": { "label": "4AUG26", "daysToExpiry": 2.768, "current": 63045.31, "previous": 63599.08, "change": -553.77, "percentChange": -0.87 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1786196042259, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.65, "previous": 31.67, "change": -0.02, "percentChange": -0.06 }, "rr25": { "current": -3.9, "previous": -4.07, "change": 0.17, "percentChange": 4.18 }, "bf25": { "current": 1.84, "previous": 1.65, "change": 0.19, "percentChange": 11.52 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 6.0, "classificationPercentile": 0.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": 3.3, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 48.0, "classificationPercentile": 11.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 73.3, "movePercentileFullHistory": 56.6, "currentLevelPercentileFullHistory": 46.0, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 } } }, { "tenor": "2W", "targetExpiry": 1786800842259, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.08, "previous": 32.1, "change": -0.02, "percentChange": -0.06 }, "rr25": { "current": -4.48, "previous": -4.8, "change": 0.32, "percentChange": 6.67 }, "bf25": { "current": 1.92, "previous": 1.72, "change": 0.2, "percentChange": 11.63 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 3.3, "movePercentileFullHistory": 3.0, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 }, "rr25": { "absoluteMove": 0.32, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 53.0, "classificationPercentile": 30.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": 80.0, "movePercentileFullHistory": 56.6, "currentLevelPercentileFullHistory": 44.0, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 99, "levelObservationsFullHistory": 100 } } }, { "tenor": "1M", "targetExpiry": 1788183242259, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.39, "previous": 32.98, "change": 0.41, "percentChange": 1.24 }, "rr25": { "current": -5.17, "previous": -5.11, "change": -0.06, "percentChange": -1.17 }, "bf25": { "current": 2.07, 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