{ "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:24+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255742, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245721, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 4.51, "rv24hPercent": 38.38, "rv7dPercent": 34.96, "rv30dPercent": 36.91, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 37.02, "oneWeekIvMinus7dRvPoints": 2.06, "oneWeekIvMinus24hRvPoints": -1.36, "oneWeekIvMinus30dRvPoints": 0.11 }, "fitQuality": { "currentObjective": 0.07775533, "previousObjective": 0.14378648, "currentLiveError": 118.58466151, "previousLiveError": 113.17777891 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin\u2019s two-week skew makes the defining move", "executiveSummary": "The two-week Bitcoin option smile shifted toward richer call-side volatility, with RR25 rising 2.89 points to 1.99%.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "News Check: no qualifying event was sufficiently relevant to retain.", "marketContextSummary": "No collected news supports a direct explanation for the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 37.02%, 2.06 volatility points above seven-day realised volatility of 34.96%; 24-hour realised volatility was 38.38% and 30-day realised volatility was 36.91%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.20 volatility points to 37.40% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.66 volatility points to 41.41% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.68 volatility points to 0.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.50% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.75 volatility points at 1W, to 37.02%.", "tenor": "1W", "value": 5.75 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W ATM IV rose 5.75 volatility points to 37.02%, a large move at the 93rd percentile. At the cutoff, realised volatility measured 38.38% over 24 hours, 34.96% over seven days and 36.91% over 30 days. Front-end ATM IV averaged 37.40%, +4.20 points from the prior snapshot, while the long end averaged 41.41%, +0.66 points. The 1Y-minus-1W ATM slope flattened 5.37 points to 5.30 points. 2W RR25 moved 2.89 volatility points toward calls to 1.99%, leaving calls richer than puts. 2W BF25 rose 0.25 volatility points to 2.27%. The nearest eligible forward, 6SEP26, rose $3,450.12 (+4.46%) to $80,877.25. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 110, "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 16:38 UTC cutoff, 1W ATM IV was 37.02%, 2.06 volatility points above seven-day realised volatility of 34.96%; 24-hour realised volatility was 38.38% and 30-day realised volatility was 36.91%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.20 volatility points to 37.40% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.66 volatility points to 41.41% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.68 volatility points to 0.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.50% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.75 volatility points at 1W, to 37.02%.", "tenor": "1W", "value": 5.75 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.63, "rr25Change": 1.68, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 37.02, "previous": 31.27, "change": 5.75, "historicalSignificance": { "absoluteMove": 5.75, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } }, "frontEndAverageAtm": { "current": 37.4, "previous": 33.2, "change": 4.2 }, "longEndAverageAtm": { "current": 41.41, "previous": 40.75, "change": 0.66 }, "oneYearMinusOneWeekAtmSlope": { "current": 5.3, "previous": 10.67, "change": -5.37 }, "largestRr25Move": { "tenor": "2W", "current": 1.99, "previous": -0.9, "change": 2.89, "historicalSignificance": { "absoluteMove": 2.89, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.27, "previous": 2.02, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } }, "nearestEligibleForwardMove": { "label": "6SEP26", "daysToExpiry": 2.64, "current": 80877.25, "previous": 77427.13, "change": 3450.12, "percentChange": 4.46 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789058280620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.02, "previous": 31.27, "change": 5.75, "percentChange": 18.39 }, "rr25": { "current": 1.94, "previous": -0.92, "change": 2.86, "percentChange": 310.87 }, "bf25": { "current": 2.16, "previous": 1.94, "change": 0.22, "percentChange": 11.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.75, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 2.86, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": 70.0, "movePercentileFullHistory": 60.6, "currentLevelPercentileFullHistory": 70.7, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "2W", "targetExpiry": 1789663080620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.76, "previous": 33.58, "change": 4.18, "percentChange": 12.45 }, "rr25": { "current": 1.99, "previous": -0.9, "change": 2.89, "percentChange": 321.11 }, "bf25": { "current": 2.27, "previous": 2.02, "change": 0.25, "percentChange": 12.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.18, "movePercentile30d": 90.0, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 2.89, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "1M", "targetExpiry": 1791045480620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.42, "previous": 34.76, "change": 2.66, "percentChange": 7.65 }, "rr25": { "current": 1.07, "previous": -0.87, "change": 1.94, "percentChange": 222.99 }, "bf25": { "current": 2.39, "previous": 2.29, "change": 0.1, "percentChange": 4.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.66, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.4, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 92.4, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 1.94, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 66.7, "movePercentileFullHistory": 56.8, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "3M", "targetExpiry": 1796315880620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.31, "previous": 37.44, "change": 1.87, "percentChange": 4.99 }, "rr25": { "current": 0.17, "previous": -1.1, "change": 1.27, "percentChange": 115.45 }, "bf25": { "current": 2.57, "previous": 2.54, "change": 0.03, "percentChange": 1.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.87, "movePercentile30d": 96.7, "movePercentileFullHistory": 94.7, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 1.27, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 13.3, "movePercentileFullHistory": 15.9, "currentLevelPercentileFullHistory": 64.7, "classificationPercentile": 15.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "6M", "targetExpiry": 1804178280620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.5, "previous": 39.57, "change": 0.93, "percentChange": 2.35 }, "rr25": { "current": -0.01, "previous": -0.66, "change": 0.65, "percentChange": 98.48 }, "bf25": { "current": 2.67, "previous": 2.62, "change": 0.05, "percentChange": 1.91 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.93, "movePercentile30d": 96.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.65, "movePercentile30d": 76.7, "movePercentileFullHistory": 90.9, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 90.9, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 43.9, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 43.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "9M", "targetExpiry": 1812040680620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.62, "previous": 41.05, "change": 0.57, "percentChange": 1.39 }, "rr25": { "current": 0.21, "previous": -0.34, "change": 0.55, "percentChange": 161.76 }, "bf25": { "current": 2.83, "previous": 2.8, "change": 0.03, "percentChange": 1.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.57, "movePercentile30d": 83.3, "movePercentileFullHistory": 87.9, "currentLevelPercentileFullHistory": 24.1, "classificationPercentile": 87.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.55, "movePercentile30d": 76.7, "movePercentileFullHistory": 90.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 90.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 26.7, "movePercentileFullHistory": 25.8, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "1Y", "targetExpiry": 1819989480620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.32, "previous": 41.94, "change": 0.38, "percentChange": 0.91 }, "rr25": { "current": 0.35, "previous": -0.14, "change": 0.49, "percentChange": 350.0 }, "bf25": { "current": 2.93, "previous": 2.92, "change": 0.01, "percentChange": 0.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.38, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.6, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 82.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 76.7, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 86.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 7.6, "currentLevelPercentileFullHistory": 86.5, "classificationPercentile": 7.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } } ], "listedExpiries": [ { "label": "4SEP26", "expiry": 1788508800000, "tauYears": 0.0017542, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 80838.84, "previous": 77407.08, "change": 3431.76, "percentChange": 4.43 }, "atmIv": { "current": 49.67, "previous": 32.78, "change": 16.89, "percentChange": 51.53 }, "rr25": { "current": 4.87, "previous": -0.94, "change": 5.81, "percentChange": 618.09 }, "bf25": { "current": 2.49, "previous": 1.88, "change": 0.61, "percentChange": 32.45 }, "svi": { "a": { "current": -0.0353, "previous": -0.0353, "change": -0.0, "percentChange": -0.04 }, "b": { "current": 0.0867, "previous": 0.0929, "change": -0.0062, "percentChange": -6.72 }, "rho": { "current": 0.169, "previous": -0.051, "change": 0.22, "percentChange": 431.28 }, "m": { "current": 0.0575, "previous": -0.0157, "change": 0.0732, "percentChange": 465.28 }, "sigma": { "current": 0.4178, "previous": 0.3852, "change": 0.0326, "percentChange": 8.45 } }, "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": [ 201.8557, 192.9705, 183.9908, 174.9211, 165.7676, 156.5384, 147.2447, 137.9011, 128.5275, 119.1504, 109.8059, 100.544, 91.4344, 82.5767, 74.1151, 66.2595, 59.3135, 53.6961, 49.9223, 48.4842, 49.6358, 53.2488, 58.8996, 66.0854, 74.3715, 83.4329, 93.0396, 103.0309, 113.2935, 123.7452, 134.3252, 144.9874, 155.6957, 166.4216, 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0.3045, 0.3199, 0.3356, 0.3516, 0.3679, 0.3843, 0.4009, 0.4175, 0.4342, 0.4507, 0.4672, 0.4834, 0.4995, 0.5154, 0.5308, 0.546, 0.5608, 0.5751, 0.589, 0.6023, 0.6151, 0.6274, 0.6392, 0.6503, 0.6608, 0.6707, 0.68, 0.6886, 0.6967 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich after sharp two-week skew shift", "standfirst": "Bitcoin two-week RR25 rose 2.89 volatility points to 1.99%, moving call-side volatility above put-side volatility in a large 96.2 percentile move. The adjustment coincided with a 5.75-point rise in one-week ATM IV, while the 1Y-minus-1W ATM slope became less steep.", "days": [ { "reportDate": "2026-09-03", "headline": "Bitcoin skew moves decisively toward calls", "summary": "Two-week RR25 became call-rich as front-end implied volatility rose far faster than longer maturities.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options turn call-rich after sharp two-week skew shift", "standfirst": "Bitcoin two-week RR25 rose 2.89 volatility points to 1.99%, moving call-side volatility above put-side volatility in a large 96.2 percentile move. The adjustment coincided with a 5.75-point rise in one-week ATM IV, while the 1Y-minus-1W ATM slope became less steep.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-02", "asOfTimestamp": "2026-09-02T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session crypto and equity-volatility context. The crypto-to-SPX realised-volatility ratio was 5.98, at the 93.8 percentile across 226 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 5.98, at the 93.8 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.48, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 19.28000019073486, "ivRatio": 2.2684210810965117, "cryptoRealisedVol20d": 45.405413650957954, "spxRealisedVol20": 7.588171409644216, "rvSpread": 37.817242241313735, "rvRatio": 5.983709539461611, "rvSpreadPercentile": 78.76106194690266, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 93.80530973451327, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.11196543780165613, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31895951536093875, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }