{ "schemaVersion": 3, "reportDate": "2026-08-06", "generatedAt": "2026-08-06T17:33:33+00:00", "currentSnapshotAt": "2026-08-06T17:27:00+00:00", "previousSnapshotAt": "2026-08-05T17:27:00+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": 0.04891914, "previousObjective": 0.07485226, "currentLiveError": 90.84327542, "previousLiveError": 121.26039825 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "10AUG26" ], "removedExpiries": [ "6AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "openai", "model": "gpt-5.6-luna", "headline": "BTC front-end implied volatility rises while long-dated volatility and surface shape remain stable", "executiveSummary": "Front-end ATM IV increased, led by the 1M tenor, while long-dated ATM IV, RR25 and BF25 were broadly unchanged.", "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ], "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 +0.27 volatility points to 30.26% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was unchanged at 40.88% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to -3.89% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 volatility points to 2.05% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.57 volatility points at 1M, to 32.73%.", "tenor": "1M", "value": 0.57 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-08-06T17:27:13+00:00", "window": { "startAt": "2026-08-05T17:27:00+00:00", "endAt": "2026-08-06T17:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-05T17:27:00+00:00", "endAt": "2026-08-06T17:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 325, "articlesPassingTimeFilter": 68, "articlesPassingSourceRelevanceRules": 12, "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 0.57 volatility points to 32.73%, a routine move at the 57th percentile. Front-end ATM IV averaged 30.26%, +0.27 points from the prior snapshot, while the long end was unchanged at 40.88%. The 1Y-minus-1W ATM slope steepened 0.17 points to 13.56 points. 1W RR25 moved 0.22 volatility points toward puts to -2.40%, leaving puts richer than calls. 2W BF25 fell 0.16 volatility points to 1.52%. The nearest eligible forward, 9AUG26, rose $91.84 (+0.14%) to $64,662.62. 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 +0.27 volatility points to 30.26% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was unchanged at 40.88% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to -3.89% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 volatility points to 2.05% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.57 volatility points at 1M, to 32.73%.", "tenor": "1M", "value": 0.57 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.16, "rr25Change": -0.01, "bf25Change": 0.02, "largestAtmMove": { "tenor": "1M", "current": 32.73, "previous": 32.16, "change": 0.57, "historicalSignificance": { "absoluteMove": 0.57, "movePercentile30d": 56.7, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 3.8, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 } }, "frontEndAverageAtm": { "current": 30.26, "previous": 29.99, "change": 0.27 }, "longEndAverageAtm": { "current": 40.88, "previous": 40.88, "change": 0.0 }, "oneYearMinusOneWeekAtmSlope": { "current": 13.56, "previous": 13.39, "change": 0.17 }, "largestRr25Move": { "tenor": "1W", "current": -2.4, "previous": -2.18, "change": -0.22, "historicalSignificance": { "absoluteMove": 0.22, "movePercentile30d": 10.0, "movePercentileFullHistory": 13.5, "currentLevelPercentileFullHistory": 82.9, "classificationPercentile": 13.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.52, "previous": 1.68, "change": -0.16, "historicalSignificance": { "absoluteMove": 0.16, "movePercentile30d": 70.0, "movePercentileFullHistory": 48.1, "currentLevelPercentileFullHistory": 5.7, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 } }, "nearestEligibleForwardMove": { "label": "9AUG26", "daysToExpiry": 2.606, "current": 64662.62, "previous": 64570.78, "change": 91.84, "percentChange": 0.14 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1786642022133, "availability": "available", "unavailableReason": null, "atmIv": { "current": 28.32, "previous": 28.52, "change": -0.2, "percentChange": -0.7 }, "rr25": { "current": -2.4, "previous": -2.18, "change": -0.22, "percentChange": -10.09 }, "bf25": { "current": 1.46, "previous": 1.36, "change": 0.1, "percentChange": 7.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.2, "movePercentile30d": 10.0, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 1.0, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 10.0, "movePercentileFullHistory": 13.5, "currentLevelPercentileFullHistory": 82.9, "classificationPercentile": 13.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 53.3, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 9.5, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 } } }, { "tenor": "2W", "targetExpiry": 1787246822133, "availability": "available", "unavailableReason": null, "atmIv": { "current": 29.74, "previous": 29.3, "change": 0.44, "percentChange": 1.5 }, "rr25": { "current": -3.78, "previous": -3.72, "change": -0.06, "percentChange": -1.61 }, "bf25": { "current": 1.52, "previous": 1.68, "change": -0.16, "percentChange": -9.52 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.44, "movePercentile30d": 36.7, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 1.9, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 3.3, "movePercentileFullHistory": 4.8, "currentLevelPercentileFullHistory": 74.3, "classificationPercentile": 4.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 70.0, "movePercentileFullHistory": 48.1, "currentLevelPercentileFullHistory": 5.7, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 104, "levelObservationsFullHistory": 105 } } }, { "tenor": "1M", "targetExpiry": 1788629222133, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.73, "previous": 32.16, "change": 0.57, "percentChange": 1.77 }, "rr25": { "current": -4.42, "previous": -4.52, "change": 0.1, "percentChange": 2.21 }, "bf25": { "current": 2.04, "previous": 2.08, "change": -0.04, 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