{ "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:03+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245665, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235590, "timestamp": "2026-09-01T16:30:00+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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -0.05, "rv24hPercent": 39.4, "rv7dPercent": 35.07, "rv30dPercent": 36.62, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 31.03, "oneWeekIvMinus7dRvPoints": -4.04, "oneWeekIvMinus24hRvPoints": -8.37, "oneWeekIvMinus30dRvPoints": -5.59 }, "fitQuality": { "currentObjective": 0.17180175, "previousObjective": 0.05320443, "currentLiveError": 159.34344475, "previousLiveError": 142.02044027 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options cheapen as short-term put volatility rises", "executiveSummary": "Bitcoin\u2019s front-end options surface repriced lower, but the one-week skew shift left relative put-side volatility richer than call-side volatility.", "evidenceIds": [ "realised-vol", "front-atm", "rr25", "largest-standard-tenor" ], "newsSummary": "Reporting during the window described Bitcoin\u2019s decline amid escalating US-Iran tensions. Timed reaction data were partial and do not establish causation.", "marketContextSummary": "The collected news and the broader one-week surface repricing have no clear direct link; the event-time reaction was small and the evidence is observational.", "marketContext": [ { "title": "US-Iran tensions and Bitcoin reaction", "explanation": "Bitcoin spot declined 0.20% in the first five minutes after the article\u2019s information timestamp, while 1-hour ATM IV changed -0.02 volatility points. This partial timed association does not explain the full daily surface move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "rr25" ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 31.03%, 4.04 volatility points below seven-day realised volatility of 35.07%; 24-hour realised volatility was 39.40% and 30-day realised volatility was 36.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.55 volatility points to 33.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.24 volatility points to 40.78% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.56 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was unchanged at 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.33 volatility points at 1W, to 31.03%.", "tenor": "1W", "value": -2.33 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" } ], "events": [ { "event_cluster_id": "market-event-4a1a79aba97f", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" }, "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-4a1a79aba97f", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV fell 2.33 volatility points to 31.03%, a routine move at the 69th percentile. At the cutoff, realised volatility measured 39.40% over 24 hours, 35.07% over seven days and 36.62% over 30 days. Front-end ATM IV averaged 33.10%, -1.55 points from the prior snapshot, while the long end averaged 40.78%, -0.23 points. The 1Y-minus-1W ATM slope steepened 2.32 points to 10.97 points. 1W RR25 moved 1.07 volatility points toward puts to -1.02%, leaving puts richer than calls. 1Y BF25 fell 0.13 volatility points to 2.91%. The nearest eligible forward, 5SEP26, fell $195.75 (-0.25%) to $77,427.16. 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 16:30 UTC cutoff, 1W ATM IV was 31.03%, 4.04 volatility points below seven-day realised volatility of 35.07%; 24-hour realised volatility was 39.40% and 30-day realised volatility was 36.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.55 volatility points to 33.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.24 volatility points to 40.78% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.56 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was unchanged at 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.33 volatility points at 1W, to 31.03%.", "tenor": "1W", "value": -2.33 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.98, "rr25Change": -0.56, "bf25Change": 0.0, "largestAtmMove": { "tenor": "1W", "current": 31.03, "previous": 33.36, "change": -2.33, "historicalSignificance": { "absoluteMove": 2.33, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.7, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 68.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 } }, "frontEndAverageAtm": { "current": 33.1, "previous": 34.65, "change": -1.55 }, "longEndAverageAtm": { "current": 40.78, "previous": 41.02, "change": -0.23 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.97, "previous": 8.65, "change": 2.32 }, "largestRr25Move": { "tenor": "1W", "current": -1.02, "previous": 0.05, "change": -1.07, "historicalSignificance": { "absoluteMove": 1.07, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 88.6, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1Y", "current": 2.91, "previous": 3.04, "change": -0.13, "historicalSignificance": { "absoluteMove": 0.13, "movePercentile30d": 73.3, "movePercentileFullHistory": 71.8, "currentLevelPercentileFullHistory": 84.8, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 } }, "nearestEligibleForwardMove": { "label": "5SEP26", "daysToExpiry": 2.646, "current": 77427.16, "previous": 77622.91, "change": -195.75, "percentChange": -0.25 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788971400165, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.03, "previous": 33.36, "change": -2.33, "percentChange": -6.98 }, "rr25": { "current": -1.02, "previous": 0.05, "change": -1.07, "percentChange": -2140.0 }, "bf25": { "current": 1.92, "previous": 1.81, "change": 0.11, "percentChange": 6.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.33, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.7, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 68.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "rr25": { "absoluteMove": 1.07, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 88.6, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.5, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 40.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 } } }, { "tenor": "2W", "targetExpiry": 1789576200165, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.54, "previous": 34.77, "change": -1.23, "percentChange": -3.54 }, "rr25": { "current": -0.93, "previous": 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"2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options cheapen as short-term put volatility rises", "standfirst": "Bitcoin one-week implied volatility fell 2.33 volatility points to 31.03%, leaving it 4.04 volatility points below seven-day realised volatility. At the same tenor, relative put-side volatility increased: 1W RR25 fell 1.07 volatility points to -1.02%. The longer-dated curve remained higher than the front end as the 1Y-minus-1W ATM IV slope widened to 10.97 volatility points.", "days": [ { "reportDate": "2026-09-02", "headline": "Short-term bitcoin volatility falls", "summary": "One-week Bitcoin implied volatility fell while relative put-side volatility became richer than call-side volatility.", "macro": { "summary": "US-Iran tensions featured in Bitcoin reporting during the window.", "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" } ] }, "crypto": { "summary": "No additional qualifying crypto-specific event was retained.", "events": [] } } ] }, "headline": "Bitcoin options cheapen as short-term put volatility rises", "standfirst": "Bitcoin one-week implied volatility fell 2.33 volatility points to 31.03%, leaving it 4.04 volatility points below seven-day realised volatility. At the same tenor, relative put-side volatility increased: 1W RR25 fell 1.07 volatility points to -1.02%. The longer-dated curve remained higher than the front end as the 1Y-minus-1W ATM IV slope widened to 10.97 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): BTC 30-day ATM IV was 36.05 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 36.05, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 19.709999847412107, "ivRatio": 2.2062423294586373, "cryptoRealisedVol20d": 45.45791351054472, "spxRealisedVol20": 7.367486433677291, "rvSpread": 38.09042707686743, "rvRatio": 6.170070880993204, "rvSpreadPercentile": 80.88888888888889, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 97.33333333333333, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.12052298976227697, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3204971973663935, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }