{ "schemaVersion": 3, "reportDate": "2026-08-02", "generatedAt": "2026-08-03T00:14:47+00:00", "currentSnapshotAt": "2026-08-02T23:59:00+00:00", "previousSnapshotAt": "2026-08-01T23:59:00+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": 0.14272517, "previousObjective": 0.24470394, "currentLiveError": 151.94431053, "previousLiveError": 10000119.81216752 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [ "6AUG26" ], "removedExpiries": [ "2AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC options volatility eases across the curve", "executiveSummary": "ATM implied volatility declined across front- and long-dated tenors, while RR25 shifted modestly toward calls and BF25 was 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 decreased, averaging -0.54 volatility points to 32.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.29 volatility points to 41.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.34 volatility points to -4.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.02 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.64 volatility points at 2W, to 31.95%.", "tenor": "2W", "value": -0.64 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-08-03T00:13:02+00:00", "window": { "startAt": "2026-08-01T23:59:00+00:00", "endAt": "2026-08-02T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-01T23:59:00+00:00", "endAt": "2026-08-02T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 320, "articlesPassingTimeFilter": 22, "articlesPassingSourceRelevanceRules": 4, "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": "1W RR25 moved 1.08 volatility points toward calls to -3.27%, leaving puts richer than calls; this was a notable move at the 83rd percentile. Front-end ATM IV averaged 32.32%, -0.54 points from the prior snapshot, while the long end averaged 41.03%, -0.29 points. The 1Y-minus-1W ATM slope steepened 0.18 points to 10.16 points. 2W ATM IV fell 0.64 volatility points to 31.95%. 1W BF25 fell 0.10 volatility points to 1.79%. The nearest eligible forward, 5AUG26, rose $728.34 (+1.16%) to $63,510.64. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "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 -0.54 volatility points to 32.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.29 volatility points to 41.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.34 volatility points to -4.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.02 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.64 volatility points at 2W, to 31.95%.", "tenor": "2W", "value": -0.64 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.4, "rr25Change": 0.34, "bf25Change": -0.02, "largestAtmMove": { "tenor": "2W", "current": 31.95, "previous": 32.59, "change": -0.64, "historicalSignificance": { "absoluteMove": 0.64, "movePercentile30d": 43.3, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 } }, "frontEndAverageAtm": { "current": 32.32, "previous": 32.86, "change": -0.54 }, "longEndAverageAtm": { "current": 41.03, "previous": 41.31, "change": -0.29 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.16, "previous": 9.98, "change": 0.18 }, "largestRr25Move": { "tenor": "1W", "current": -3.27, "previous": -4.35, "change": 1.08, "historicalSignificance": { "absoluteMove": 1.08, "movePercentile30d": 83.3, "movePercentileFullHistory": 72.0, "currentLevelPercentileFullHistory": 67.3, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.79, "previous": 1.89, "change": -0.1, "historicalSignificance": { "absoluteMove": 0.1, "movePercentile30d": 50.0, "movePercentileFullHistory": 37.0, "currentLevelPercentileFullHistory": 39.6, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 } }, "nearestEligibleForwardMove": { "label": "5AUG26", "daysToExpiry": 2.334, "current": 63510.64, "previous": 62782.3, "change": 728.34, "percentChange": 1.16 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1786319944300, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.04, "previous": 32.46, "change": -0.42, "percentChange": -1.29 }, "rr25": { "current": -3.27, "previous": -4.35, "change": 1.08, "percentChange": 24.83 }, "bf25": { "current": 1.79, "previous": 1.89, "change": -0.1, "percentChange": -5.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.42, "movePercentile30d": 30.0, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 9.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "rr25": { "absoluteMove": 1.08, "movePercentile30d": 83.3, "movePercentileFullHistory": 72.0, "currentLevelPercentileFullHistory": 67.3, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 50.0, "movePercentileFullHistory": 37.0, "currentLevelPercentileFullHistory": 39.6, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 } } }, { "tenor": "2W", "targetExpiry": 1786924744300, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.95, "previous": 32.59, "change": -0.64, "percentChange": -1.96 }, "rr25": { "current": -4.35, "previous": -5.24, "change": 0.89, "percentChange": 16.98 }, "bf25": { "current": 1.91, "previous": 1.84, "change": 0.07, "percentChange": 3.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": 43.3, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 3.0, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "rr25": { "absoluteMove": 0.89, "movePercentile30d": 73.3, "movePercentileFullHistory": 62.0, "currentLevelPercentileFullHistory": 57.4, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 40.0, "movePercentileFullHistory": 27.0, "currentLevelPercentileFullHistory": 44.6, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 } } }, { "tenor": "1M", "targetExpiry": 1788307144300, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.97, "previous": 33.53, "change": -0.56, "percentChange": -1.67 }, "rr25": { "current": -4.96, "previous": -5.57, "change": 0.61, "percentChange": 10.95 }, "bf25": { "current": 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1793577544300, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.88, "previous": 37.1, "change": -0.22, "percentChange": -0.59 }, "rr25": { "current": -5.37, "previous": -5.36, "change": -0.01, "percentChange": -0.19 }, "bf25": { "current": 2.17, "previous": 2.14, "change": 0.03, "percentChange": 1.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.22, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.0, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.0, "currentLevelPercentileFullHistory": 54.5, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 100, "levelObservationsFullHistory": 101 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 20.0, 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