{ "schemaVersion": 3, "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:16+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:27:00+00:00", "sourceSnapshots": { "current": { "id": 238087, "timestamp": "2026-09-01T22:27:00+00:00" }, "previous": { "id": 228060, "timestamp": "2026-08-31T22:27:00+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": "2026-09-01T22:27:00+00:00", "spotMove24hPercent": -2.08, "rv24hPercent": 36.69, "rv7dPercent": 35.17, "rv30dPercent": 36.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.11, "oneWeekIvMinus7dRvPoints": -1.06, "oneWeekIvMinus24hRvPoints": -2.58, "oneWeekIvMinus30dRvPoints": -2.4 }, "fitQuality": { "currentObjective": 0.0480613, "previousObjective": 0.15093098, "currentLiveError": 77.13831581, "previousLiveError": 88.05336235 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "5SEP26" ], "removedExpiries": [ "1SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Btc\u2019s short-dated smile rotates as skew turns put-rich", "executiveSummary": "BTC\u2019s 4SEP26 smile rotation moved lower by 6.16 volatility points, while BTC 1W RR25 fell 1.62 volatility points to -0.54%.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "Bitcoin Magazine reported that bitcoin declined amid escalating US-Iran tensions. The retained reaction has only a five-minute completed horizon.", "marketContextSummary": "The timed report and the options repricing have no established direct causal link.", "marketContext": [ { "title": "Bitcoin report and short-dated skew", "explanation": "BTC had a measured five-minute spot return and small skew change after the report, but longer reaction horizons are unavailable and the reaction assessment is low confidence.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "largest-standard-tenor" ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 34.11%, 1.06 volatility points below seven-day realised volatility of 35.17%; 24-hour realised volatility was 36.69% and 30-day realised volatility was 36.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.11 volatility points to 35.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.16 volatility points to 41.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.83 volatility points to -0.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.27 volatility points to 2.51% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.81 volatility points at 1W, to 34.11%.", "tenor": "1W", "value": -0.81 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 5, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. \u2014 again \u2014 and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" } ], "events": [ { "event_cluster_id": "market-event-8d8ef8ca779c", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. \u2014 again \u2014 and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-8d8ef8ca779c", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. \u2014 again \u2014 and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.62 volatility points toward puts to -0.54%, leaving puts richer than calls; this was a notable move at the 82nd percentile. At the cutoff, realised volatility measured 36.69% over 24 hours, 35.17% over seven days and 36.51% over 30 days. Front-end ATM IV averaged 35.08%, -0.11 points from the prior snapshot, while the long end averaged 41.07%, -0.16 points. The 1Y-minus-1W ATM slope steepened 0.54 points to 7.97 points. 1W ATM IV fell 0.81 volatility points to 34.11%. 2W BF25 rose 0.45 volatility points to 2.36%. The nearest eligible forward, 4SEP26, fell $1,660.58 (-2.11%) to $77,132.21. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 113, "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 22:27 UTC cutoff, 1W ATM IV was 34.11%, 1.06 volatility points below seven-day realised volatility of 35.17%; 24-hour realised volatility was 36.69% and 30-day realised volatility was 36.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.11 volatility points to 35.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.16 volatility points to 41.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.83 volatility points to -0.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.27 volatility points to 2.51% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.81 volatility points at 1W, to 34.11%.", "tenor": "1W", "value": -0.81 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.05, "rr25Change": -0.82, "bf25Change": 0.27, "largestAtmMove": { "tenor": "1W", "current": 34.11, "previous": 34.92, "change": -0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 33.6, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 } }, "frontEndAverageAtm": { "current": 35.08, "previous": 35.19, "change": -0.11 }, "longEndAverageAtm": { "current": 41.07, "previous": 41.23, "change": -0.16 }, "oneYearMinusOneWeekAtmSlope": { "current": 7.97, "previous": 7.43, "change": 0.54 }, "largestRr25Move": { "tenor": "1W", "current": -0.54, "previous": 1.08, "change": -1.62, "historicalSignificance": { "absoluteMove": 1.62, "movePercentile30d": 73.3, "movePercentileFullHistory": 81.5, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 81.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.36, "previous": 1.91, "change": 0.45, "historicalSignificance": { "absoluteMove": 0.45, "movePercentile30d": 90.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 74.8, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 } }, "nearestEligibleForwardMove": { "label": "4SEP26", "daysToExpiry": 2.398, "current": 77132.21, "previous": 78792.79, "change": -1660.58, "percentChange": -2.11 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788906420190, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.11, "previous": 34.92, "change": -0.81, "percentChange": -2.32 }, "rr25": { "current": -0.54, "previous": 1.08, "change": -1.62, "percentChange": -150.0 }, "bf25": { "current": 2.22, "previous": 1.86, "change": 0.36, "percentChange": 19.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.81, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 33.6, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "rr25": { "absoluteMove": 1.62, "movePercentile30d": 73.3, "movePercentileFullHistory": 81.5, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 81.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "bf25": { "absoluteMove": 0.36, "movePercentile30d": 86.7, "movePercentileFullHistory": 74.6, "currentLevelPercentileFullHistory": 73.3, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 } } }, { "tenor": "2W", "targetExpiry": 1789511220190, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.13, "previous": 35.18, "change": -0.05, "percentChange": -0.14 }, 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-0.2039, -0.2154, -0.2254, -0.234, -0.241, -0.2465, -0.2504, -0.2526, -0.2532, -0.2522, -0.2496, -0.2453 ] }, { "label": "25JUN27", "values": [ 0.1432, 0.1331, 0.1222, 0.1105, 0.0981, 0.085, 0.0712, 0.0568, 0.0419, 0.0265, 0.0107, -0.0055, -0.022, -0.0388, -0.0556, -0.0726, -0.0896, -0.1066, -0.1236, -0.1402, -0.1566, -0.1727, -0.1883, -0.2036, -0.2182, -0.2323, -0.2457, -0.2584, -0.2703, -0.2814, -0.2916, -0.3008, -0.3091, -0.3164, -0.3227, -0.3278, -0.332, -0.3349, -0.3368, -0.3375, -0.3371 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "headline": "BTC smile rotation accompanies a sharper put skew", "standfirst": "BTC\u2019s 4SEP26 smile rotation moved lower by 6.16 volatility points. Separately, BTC 1W RR25 fell 1.62 volatility points to -0.54%, leaving relative put-side volatility above call-side volatility. BTC\u2019s 1W ATM IV fell 0.81 volatility points to 34.11%.", "days": [ { "reportDate": "2026-09-01", "headline": "BTC skew turns toward relative puts", "summary": "BTC\u2019s short-dated smile rotation and 1W relative put-side volatility both moved lower.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "Reporting described bitcoin\u2019s decline alongside escalating US-Iran tensions; its timing is associative rather than conclusive.", "events": [ { "eventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00" } ] } } ] }, "headline": "BTC smile rotation accompanies a sharper put skew", "standfirst": "BTC\u2019s 4SEP26 smile rotation moved lower by 6.16 volatility points. Separately, BTC 1W RR25 fell 1.62 volatility points to -0.54%, leaving relative put-side volatility above call-side volatility. BTC\u2019s 1W ATM IV fell 0.81 volatility points to 34.11%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-08-31", "asOfTimestamp": "2026-08-31T20:00:00+00:00", "summary": "BTC context is aligned to the latest completed common session before the report ceiling.", "metrics": { "cryptoAtmIv30d": 35.25, "vix": 14.920000076293945, "vix9d": 12.34, "vix3m": 17.53, "ivSpread": 20.329999923706055, "ivRatio": 2.3626005241117887, "cryptoRealisedVol20d": 43.772782771728174, "spxRealisedVol20": 9.468852277597499, "rvSpread": 34.303930494130675, "rvRatio": 4.622818213701661, "rvSpreadPercentile": 74.10714285714286, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 85.71428571428571, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.10111822868211609, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38696861817775924, "returnCorrelation60SampleCount": 60 }, "methodology": "Crypto realised volatility uses sqrt(365); SPX realised volatility uses sqrt(252), so the annualisation clocks differ." } }