{ "schemaVersion": 3, "reportDate": "2026-08-31", "generatedAt": "2026-08-31T21:02:48+00:00", "currentSnapshotAt": "2026-08-31T20:58:00+00:00", "previousSnapshotAt": "2026-08-30T20:58:00+00:00", "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC index databases", "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 and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 13, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-08-31T20:58:00+00:00", "spotMove24hPercent": 0.31, "rv24hPercent": 42.01, "rv7dPercent": 38.01, "rv30dPercent": 36.11, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.67, "oneWeekIvMinus7dRvPoints": -3.34, "oneWeekIvMinus24hRvPoints": -7.34, "oneWeekIvMinus30dRvPoints": -1.44 }, "fitQuality": { "currentObjective": 0.07899634, "previousObjective": 0.10784512, "currentLiveError": 107.28448591, "previousLiveError": 78.59868059 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [], "removedExpiries": [ "31AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "BTC front-end IV rises while call-side skew strengthens", "executiveSummary": "BTC\u2019s principal surface move was a 1.11-point rise in 1W ATM IV to 34.67%, with front-end IV averaging 35.01%, up 0.72 points.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25", "realised-vol" ], "newsSummary": "The news flow included a repricing of September rate expectations, reporting on Iran-related market moves, and a digest covering Solana supply changes and Bitcoin security work.", "marketContextSummary": "The collected news coincided with modest and mixed timed BTC surface reactions, but the available observations do not identify a direct explanation for the end-of-window IV and skew repricing.", "marketContext": [ { "title": "Rate-expectations report and BTC surface", "explanation": "Following the report, BTC rose 0.29% over one hour while ATM IV was 0.07 points lower; the partial reaction window and low causal confidence do not support attributing the later front-end rise to this item.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm" ], "newsEvidenceIds": [ "544298e4-105a-4ca2-85f7-e10c84d42106" ] }, { "title": "Iran report and BTC surface", "explanation": "Timed BTC IV and skew changes around the Iran report were small and mixed, while the event-level assessment remains observational. No direct link to the closing call-side skew shift is established.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "70ae4dd2-178c-43cc-a5fc-400a97318c4d" ] } ], "newsEvidenceIds": [ "544298e4-105a-4ca2-85f7-e10c84d42106", "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 34.67%, 3.34 volatility points below seven-day realised volatility of 38.01%; 24-hour realised volatility was 42.01% and 30-day realised volatility was 36.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.72 volatility points to 35.01% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.06 volatility points to 41.16% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.69 volatility points to 0.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 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 +1.11 volatility points at 1W, to 34.67%.", "tenor": "1W", "value": 1.11 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 3, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 2 }, "items": [ { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" } ], "events": [ { "event_cluster_id": "market-event-8f8301f676d0", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "primary_article": { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-d382a0f91b0b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "primary_article": { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-8f8301f676d0", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "primary_article": { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-d382a0f91b0b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "primary_article": { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV rose 1.11 volatility points to 34.67%, a routine move at the 43rd percentile. At the cutoff, realised volatility measured 42.01% over 24 hours, 38.01% over seven days and 36.11% over 30 days. Front-end ATM IV averaged 35.01%, +0.72 points from the prior snapshot, while the long end averaged 41.16%, +0.05 points. The 1Y-minus-1W ATM slope flattened 1.06 points to 7.61 points. 2W RR25 moved 1.06 volatility points toward calls to 0.71%, leaving calls richer than puts. 1M BF25 rose 0.16 volatility points to 2.25%. The nearest eligible forward, 3SEP26, rose $194.48 (+0.25%) to $78,871.76. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 111, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 34.67%, 3.34 volatility points below seven-day realised volatility of 38.01%; 24-hour realised volatility was 42.01% and 30-day realised volatility was 36.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.72 volatility points to 35.01% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.06 volatility points to 41.16% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.69 volatility points to 0.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 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 +1.11 volatility points at 1W, to 34.67%.", "tenor": "1W", "value": 1.11 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.43, "rr25Change": 0.69, "bf25Change": 0.02, "largestAtmMove": { "tenor": "1W", "current": 34.67, "previous": 33.56, "change": 1.11, "historicalSignificance": { "absoluteMove": 1.11, "movePercentile30d": 43.3, "movePercentileFullHistory": 38.8, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } }, "frontEndAverageAtm": { "current": 35.01, "previous": 34.29, "change": 0.72 }, "longEndAverageAtm": { "current": 41.16, "previous": 41.11, "change": 0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": 7.61, "previous": 8.67, "change": -1.06 }, "largestRr25Move": { "tenor": "2W", "current": 0.71, "previous": -0.35, "change": 1.06, "historicalSignificance": { "absoluteMove": 1.06, "movePercentile30d": 80.0, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.25, "previous": 2.09, "change": 0.16, "historicalSignificance": { "absoluteMove": 0.16, "movePercentile30d": 80.0, "movePercentileFullHistory": 72.1, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } }, "nearestEligibleForwardMove": { "label": "3SEP26", "daysToExpiry": 2.46, "current": 78871.76, "previous": 78677.28, "change": 194.48, "percentChange": 0.25 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788814680415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.67, "previous": 33.56, "change": 1.11, "percentChange": 3.31 }, "rr25": { "current": 1.13, "previous": 0.17, "change": 0.96, "percentChange": 564.71 }, "bf25": { "current": 1.81, "previous": 1.89, "change": -0.08, "percentChange": -4.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.11, "movePercentile30d": 43.3, "movePercentileFullHistory": 38.8, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.96, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.3, "currentLevelPercentileFullHistory": 96.2, "classificationPercentile": 64.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.5, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "2W", "targetExpiry": 1789419480415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.96, "previous": 34.33, "change": 0.63, "percentChange": 1.84 }, "rr25": { "current": 0.71, "previous": -0.35, "change": 1.06, "percentChange": 302.86 }, "bf25": { "current": 1.89, "previous": 1.91, "change": -0.02, "percentChange": -1.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.63, "movePercentile30d": 36.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 39.2, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 1.06, "movePercentile30d": 80.0, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 10.0, "movePercentileFullHistory": 7.8, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "1M", "targetExpiry": 1790801880415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.39, "previous": 34.98, "change": 0.41, "percentChange": 1.17 }, "rr25": { "current": -0.13, "previous": -1.19, "change": 1.06, "percentChange": 89.08 }, "bf25": { "current": 2.25, "previous": 2.09, "change": 0.16, "percentChange": 7.66 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.41, "movePercentile30d": 43.3, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 1.06, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.2, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 80.0, "movePercentileFullHistory": 72.1, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "3M", "targetExpiry": 1796072280415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.02, "previous": 37.69, "change": 0.33, "percentChange": 0.88 }, "rr25": { "current": -0.35, "previous": -0.83, "change": 0.48, "percentChange": 57.83 }, "bf25": { "current": 2.21, "previous": 2.21, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.33, "movePercentile30d": 56.7, "movePercentileFullHistory": 53.5, "currentLevelPercentileFullHistory": 33.8, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 64.3, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.1, "currentLevelPercentileFullHistory": 28.5, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "6M", "targetExpiry": 1803934680415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.05, "previous": 39.99, "change": 0.06, "percentChange": 0.15 }, "rr25": { "current": -0.2, "previous": -0.68, "change": 0.48, "percentChange": 70.59 }, "bf25": { "current": 2.54, "previous": 2.52, "change": 0.02, "percentChange": 0.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 13.3, "movePercentileFullHistory": 10.1, "currentLevelPercentileFullHistory": 10.8, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.3, "currentLevelPercentileFullHistory": 96.9, "classificationPercentile": 78.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 16.7, "movePercentileFullHistory": 12.4, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "9M", "targetExpiry": 1811797080415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.43, "previous": 41.38, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": 0.01, "previous": -0.23, "change": 0.24, "percentChange": 104.35 }, "bf25": { "current": 2.75, "previous": 2.73, "change": 0.02, "percentChange": 0.73 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 23.3, "movePercentileFullHistory": 17.8, "currentLevelPercentileFullHistory": 14.6, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.24, "movePercentile30d": 66.7, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 10.1, "currentLevelPercentileFullHistory": 76.9, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "1Y", "targetExpiry": 1819745880415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.28, "previous": 42.23, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": 0.14, "previous": 0.01, "change": 0.13, "percentChange": 1300.0 }, "bf25": { "current": 2.88, "previous": 2.85, "change": 0.03, "percentChange": 1.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 26.7, "movePercentileFullHistory": 20.2, "currentLevelPercentileFullHistory": 16.9, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.13, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.6, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 42.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.7, "currentLevelPercentileFullHistory": 85.4, "classificationPercentile": 21.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } } ], "listedExpiries": [ { "label": "1SEP26", "expiry": 1788249600000, "tauYears": 0.00125953, "daysToExpiry": 0.46, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78852.15, "previous": 78651.86, "change": 200.29, "percentChange": 0.25 }, "atmIv": { "current": 33.9, "previous": 35.37, "change": -1.47, "percentChange": -4.16 }, "rr25": { "current": -1.97, "previous": 0.18, "change": -2.15, "percentChange": -1194.44 }, "bf25": { "current": 0.97, "previous": 1.44, "change": -0.47, "percentChange": -32.64 }, "svi": { "a": { "current": -0.0526, "previous": -0.0645, "change": 0.0119, "percentChange": 18.43 }, "b": { "current": 0.0806, "previous": 0.1064, "change": -0.0258, "percentChange": -24.22 }, "rho": { "current": -0.1244, "previous": 0.0081, "change": -0.1325, "percentChange": -1639.94 }, "m": { "current": -0.0741, "previous": 0.0042, "change": -0.0784, "percentChange": -1855.22 }, "sigma": { "current": 0.659, "previous": 0.6105, "change": 0.0484, "percentChange": 7.93 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 215.5833, 205.574, 195.5353, 185.4722, 175.3907, 165.2973, 155.1999, 145.1074, 135.0308, 124.9835, 114.9823, 105.0491, 95.2131, 85.5147, 76.0123, 66.7935, 57.9954, 49.8398, 42.6907, 37.123, 33.9075, 33.702, 36.533, 41.763, 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-0.0598, -0.0589, -0.0579, -0.0565, -0.0548, -0.0528, -0.0505, -0.048, -0.0452, -0.042, -0.0385, -0.0349, -0.0309, -0.0266, -0.0221, -0.0173, -0.0124, -0.0072, -0.0017, 0.0039, 0.0097, 0.0156, 0.0217, 0.028, 0.0343, 0.0407, 0.0471, 0.0536, 0.0601, 0.0666, 0.0731, 0.0795, 0.0859, 0.0921, 0.0983, 0.1042, 0.1101, 0.1158, 0.1211, 0.1264, 0.1315 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "headline": "BTC front-end volatility rises as skew turns call-rich", "standfirst": "BTC\u2019s front end firmed into the 20:58 UTC cutoff, while the long end was largely unchanged and the curve flattened. The largest standard-tenor move was a routine 1W ATM IV increase, but 2W RR25 moved notably toward relative call-side volatility. Collected news supplied contemporaneous macro and crypto developments, yet the available reaction evidence does not establish a direct explanation for the closing repricing.", "days": [ { "reportDate": "2026-08-31", "headline": "BTC front end firms into cutoff", "summary": "One-week ATM IV increased while two-week skew shifted toward relative call-side volatility.", "macro": { "summary": "Rate expectations and Iran developments were reported during the window.", "events": [ { "eventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00" }, { "eventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "publisher": "CoinDesk", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00" } ] }, "crypto": { "summary": "A digest also covered Solana supply and Bitcoin security developments.", "events": [ { "eventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "title": "Bitcoin\u2019s new quantum defenses, 18.9M SOL cancelled: Hodler\u2019s Digest", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00" } ] } } ] }, "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-08-28", "asOfTimestamp": "2026-08-28T20:00:00+00:00", "summary": "Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.", "metrics": { "cryptoAtmIv30d": 36.73, "vix": 14.430000305175781, "vix9d": 11.22, "vix3m": 17.48, "ivSpread": 22.299999694824216, "ivRatio": 2.5453914915598173, "cryptoRealisedVol20d": 45.917265399148235, "spxRealisedVol20": 10.580898229376473, "rvSpread": 35.33636716977176, "rvRatio": 4.339637751326724, "rvSpreadPercentile": 74.88789237668162, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 82.95964125560538, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.10386571743681577, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.37621417580062655, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted common US session. BTC realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available." } }