{ "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:41:05+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276761, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266682, "timestamp": "2026-09-04T18:43:00+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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "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": 48, "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": "2026-09-05T18:43:00+00:00", "spotMove24hPercent": 0.4, "rv24hPercent": 16.9, "rv7dPercent": 36.54, "rv30dPercent": 37.65, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.95, "oneWeekIvMinus7dRvPoints": -1.59, "oneWeekIvMinus24hRvPoints": 18.05, "oneWeekIvMinus30dRvPoints": -2.7 }, "fitQuality": { "currentObjective": 0.50755473, "previousObjective": 0.05458305, "currentLiveError": 356.89046146, "previousLiveError": 82.10706194 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin\u2019s one-week volatility move dominates the surface", "executiveSummary": "The 3.24-point rise in Bitcoin one-week ATM IV was the session\u2019s principal surface adjustment, lifting the short end ahead of the long end.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "rr25" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 18:43 UTC cutoff, 1W ATM IV was 34.95%, 1.59 volatility points below seven-day realised volatility of 36.54%; 24-hour realised volatility was 16.90% and 30-day realised volatility was 37.65%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.02 volatility points to 36.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 40.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.37 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 2.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.24 volatility points at 1W, to 34.95%.", "tenor": "1W", "value": 3.24 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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 3.24 volatility points to 34.95%, a notable move at the 83rd percentile among 134 comparable historical observations. At the cutoff, realised volatility measured 16.90% over 24 hours, 36.54% over seven days and 37.65% over 30 days. Front-end ATM IV averaged 36.22%, +2.02 points from the prior snapshot, while the long end averaged 40.15%, +0.24 points. 1W RR25 moved 1.02 volatility points toward calls to 1.62%, leaving calls richer than puts. 1W BF25 rose 0.08 volatility points to 1.76%. The nearest eligible forward, 8SEP26, rose $266.87 (+0.34%) to $79,914.47. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 18:43 UTC cutoff, 1W ATM IV was 34.95%, 1.59 volatility points below seven-day realised volatility of 36.54%; 24-hour realised volatility was 16.90% and 30-day realised volatility was 37.65%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.02 volatility points to 36.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 40.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.37 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 2.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.24 volatility points at 1W, to 34.95%.", "tenor": "1W", "value": 3.24 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.37, "rr25Change": 0.37, "bf25Change": 0.03, "largestAtmMove": { "tenor": "1W", "current": 34.95, "previous": 31.71, "change": 3.24, "historicalSignificance": { "absoluteMove": 3.24, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 82.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } }, "frontEndAverageAtm": { "current": 36.22, "previous": 34.2, "change": 2.02 }, "longEndAverageAtm": { "current": 40.15, "previous": 39.91, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.62, "previous": 0.6, "change": 1.02, "historicalSignificance": { "absoluteMove": 1.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.9, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 64.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.76, "previous": 1.68, "change": 0.08, "historicalSignificance": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.9, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } }, "nearestEligibleForwardMove": { "label": "8SEP26", "daysToExpiry": 2.553, "current": 79914.47, "previous": 79647.6, "change": 266.87, "percentChange": 0.34 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.95, "previous": 31.71, "change": 3.24, "percentChange": 10.22 }, "rr25": { "current": 1.62, "previous": 0.6, "change": 1.02, "percentChange": 170.0 }, "bf25": { "current": 1.76, "previous": 1.68, "change": 0.08, "percentChange": 4.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.24, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 82.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.9, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 64.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.9, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "2W", "targetExpiry": 1789843380645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.73, "previous": 34.92, "change": 1.81, "percentChange": 5.18 }, "rr25": { "current": 1.61, "previous": 1.08, "change": 0.53, "percentChange": 49.07 }, "bf25": { "current": 1.81, "previous": 1.78, "change": 0.03, "percentChange": 1.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.81, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.1, "currentLevelPercentileFullHistory": 63.7, "classificationPercentile": 70.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.53, "movePercentile30d": 43.3, "movePercentileFullHistory": 42.5, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 3.3, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 9.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "1M", "targetExpiry": 1791225780645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.98, "previous": 35.97, "change": 1.01, "percentChange": 2.81 }, "rr25": { "current": 0.89, "previous": 0.69, "change": 0.2, "percentChange": 28.99 }, "bf25": { "current": 2.13, "previous": 2.13, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.01, "movePercentile30d": 70.0, "movePercentileFullHistory": 67.9, "currentLevelPercentileFullHistory": 56.3, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 26.7, "movePercentileFullHistory": 21.6, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 3.0, "currentLevelPercentileFullHistory": 46.7, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "3M", "targetExpiry": 1796496180645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.93, "previous": 38.4, "change": 0.53, "percentChange": 1.38 }, "rr25": { "current": -0.04, "previous": -0.07, "change": 0.03, "percentChange": 42.86 }, "bf25": { "current": 2.42, "previous": 2.39, "change": 0.03, "percentChange": 1.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.53, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 54.8, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 3.3, "movePercentileFullHistory": 5.2, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 5.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 10.0, "movePercentileFullHistory": 15.7, "currentLevelPercentileFullHistory": 48.9, "classificationPercentile": 15.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "6M", "targetExpiry": 1804358580645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.15, "previous": 39.91, "change": 0.24, "percentChange": 0.6 }, "rr25": { "current": -0.09, "previous": -0.18, "change": 0.09, "percentChange": 50.0 }, "bf25": { "current": 2.53, "previous": 2.52, "change": 0.01, "percentChange": 0.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 43.3, "movePercentileFullHistory": 51.5, "currentLevelPercentileFullHistory": 17.0, "classificationPercentile": 51.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.09, "movePercentile30d": 20.0, "movePercentileFullHistory": 23.1, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 23.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 13.3, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "9M", "targetExpiry": 1812220980645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.4, "previous": 41.24, "change": 0.16, "percentChange": 0.39 }, "rr25": { "current": 0.1, "previous": -0.01, "change": 0.11, "percentChange": 1100.0 }, "bf25": { "current": 2.78, "previous": 2.61, "change": 0.17, "percentChange": 6.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 30.0, "movePercentileFullHistory": 43.3, "currentLevelPercentileFullHistory": 16.3, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 23.3, "movePercentileFullHistory": 30.6, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 30.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.5, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 92.5, "label": "large", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "1Y", "targetExpiry": 1820169780645, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "6SEP26", "expiry": 1788681600000, "tauYears": 0.00151641, "daysToExpiry": 0.553, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79935.12, "previous": 79637.43, "change": 297.69, "percentChange": 0.37 }, "atmIv": { "current": 20.74, "previous": 18.76, "change": 1.98, "percentChange": 10.55 }, "rr25": { "current": 0.08, "previous": -0.39, "change": 0.47, "percentChange": 120.51 }, "bf25": { "current": 0.34, "previous": 0.63, "change": -0.29, "percentChange": -46.03 }, "svi": { "a": { "current": -0.0158, "previous": -0.0262, "change": 0.0104, "percentChange": 39.77 }, "b": { "current": 0.0339, "previous": 0.0616, "change": -0.0277, "percentChange": -44.93 }, "rho": { "current": 0.011, "previous": -0.0427, "change": 0.0537, "percentChange": 125.78 }, "m": { "current": 0.0045, "previous": -0.0156, "change": 0.0202, "percentChange": 128.87 }, "sigma": { "current": 0.467, "previous": 0.428, "change": 0.039, "percentChange": 9.11 } }, "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": [ 141.1648, 134.7752, 128.3252, 121.817, 115.2535, 108.6383, 101.9759, 95.2718, 88.5333, 81.7695, 74.9921, 68.2171, 61.4663, 54.7705, 48.1761, 41.755, 35.6263, 29.9949, 25.2207, 21.8932, 20.7359, 22.0986, 25.5804, 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0.1351, 0.1352, 0.1361, 0.1377, 0.1399, 0.1428, 0.1464, 0.1504, 0.155, 0.1601, 0.1655, 0.1715, 0.1776, 0.1842, 0.191, 0.198, 0.2052, 0.2124, 0.2199, 0.2273, 0.2348, 0.2422, 0.2495 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 3.24 volatility points to 34.95%, a notable move at the 82.8 percentile of comparable history. The front end lifted more than longer maturities, while one-week RR25 moved toward call-side volatility. Bitcoin one-week implied volatility nevertheless remained 1.59 points below seven-day realised volatility.", "days": [ { "reportDate": "2026-09-05", "headline": "One-week volatility leads Bitcoin repricing", "summary": "The front end rose while longer-dated Bitcoin implied volatility changed only modestly.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Bitcoin context was retained.", "events": [] } } ] }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 3.24 volatility points to 34.95%, a notable move at the 82.8 percentile of comparable history. The front end lifted more than longer maturities, while one-week RR25 moved toward call-side volatility. Bitcoin one-week implied volatility nevertheless remained 1.59 points below seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: BTC 30D ATM IV 36.2 volatility points; VIX 14.53; IV spread 21.67. BTC 20D realised volatility 50.3162 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 6.06, at the 96.1 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.06, at the 96.1 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.2, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 21.67000026702881, "ivRatio": 2.4913971552150596, "cryptoRealisedVol20d": 50.316183545862955, "spxRealisedVol20": 8.300077397171014, "rvSpread": 42.01610614869194, "rvRatio": 6.062134259496501, "rvSpreadPercentile": 87.71929824561404, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 96.05263157894737, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": 0.15826627536982374, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3517323049645112, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }