{ "schemaVersion": 3, "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:23:29+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "sourceSnapshots": { "current": { "id": 286103, "timestamp": "2026-09-06T16:59:00+00:00" }, "previous": { "id": 276029, "timestamp": "2026-09-05T16:59:00+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": "2026-09-06T16:59:00+00:00", "spotMove24hPercent": -0.46, "rv24hPercent": 18.76, "rv7dPercent": 36.36, "rv30dPercent": 37.53, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.83, "oneWeekIvMinus7dRvPoints": 0.47, "oneWeekIvMinus24hRvPoints": 18.07, "oneWeekIvMinus30dRvPoints": -0.7 }, "fitQuality": { "currentObjective": 0.04228083, "previousObjective": 0.15710442, "currentLiveError": 70.99173542, "previousLiveError": 227.42301968 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "6SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin\u2019s curve adds convexity without a broad long-end reset", "executiveSummary": "The six-month BF25 increase stood out as Bitcoin\u2019s most notable surface move, while the front end moved higher.", "evidenceIds": [ "bf25", "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "No qualifying news context was retained for Bitcoin options.", "marketContextSummary": "No retained news item supports a direct explanation for the Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:59 UTC cutoff, 1W ATM IV was 36.83%, broadly in line with seven-day realised volatility of 36.36%; 24-hour realised volatility was 18.76% and 30-day realised volatility was 37.53%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.28 volatility points to 37.24% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.07 volatility points to 40.13% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.36 volatility points at 1W, to 36.83%.", "tenor": "1W", "value": 2.36 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 1, "discoveryEventsScanned": 2, "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": 1, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 2.36 volatility points to 36.83%, a routine move at the 67th percentile among 135 comparable historical observations. At the cutoff, realised volatility measured 18.76% over 24 hours, 36.36% over seven days and 37.53% over 30 days. Front-end ATM IV averaged 37.24%, +1.28 points from the prior snapshot, while the long end averaged 40.13%, -0.07 points. 3M RR25 moved 0.12 volatility points toward puts to -0.05%, leaving puts richer than calls. 6M BF25 rose 0.12 volatility points to 2.68%. The nearest eligible forward, 9SEP26, fell $431.03 (-0.54%) to $79,674.93. 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 16:59 UTC cutoff, 1W ATM IV was 36.83%, broadly in line with seven-day realised volatility of 36.36%; 24-hour realised volatility was 18.76% and 30-day realised volatility was 37.53%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.28 volatility points to 37.24% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.07 volatility points to 40.13% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.36 volatility points at 1W, to 36.83%.", "tenor": "1W", "value": 2.36 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.75, "rr25Change": -0.05, "bf25Change": 0.01, "largestAtmMove": { "tenor": "1W", "current": 36.83, "previous": 34.47, "change": 2.36, "historicalSignificance": { "absoluteMove": 2.36, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 69.1, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } }, "frontEndAverageAtm": { "current": 37.24, "previous": 35.96, "change": 1.28 }, "longEndAverageAtm": { "current": 40.13, "previous": 40.2, "change": -0.07 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "3M", "current": -0.05, "previous": 0.07, "change": -0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 13.3, "movePercentileFullHistory": 19.3, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 19.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.68, "previous": 2.56, "change": 0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 83.3, "movePercentileFullHistory": 78.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } }, "nearestEligibleForwardMove": { "label": "9SEP26", "daysToExpiry": 2.626, "current": 79674.93, "previous": 80105.96, "change": -431.03, "percentChange": -0.54 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789318740482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.83, "previous": 34.47, "change": 2.36, "percentChange": 6.85 }, "rr25": { "current": 1.2, "previous": 1.28, "change": -0.08, "percentChange": -6.25 }, "bf25": { "current": 1.82, "previous": 1.86, "change": -0.04, "percentChange": -2.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.36, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 69.1, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 94.1, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 45.6, "classificationPercentile": 14.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "2W", "targetExpiry": 1789923540482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.46, "previous": 36.52, "change": 0.94, "percentChange": 2.57 }, "rr25": { "current": 1.25, "previous": 1.31, "change": -0.06, "percentChange": -4.58 }, "bf25": { "current": 1.85, "previous": 1.87, "change": -0.02, "percentChange": -1.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.94, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.0, "currentLevelPercentileFullHistory": 71.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 3.3, "movePercentileFullHistory": 4.4, "currentLevelPercentileFullHistory": 94.1, "classificationPercentile": 4.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 3.3, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "1M", "targetExpiry": 1791305940482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.42, "previous": 36.89, "change": 0.53, "percentChange": 1.44 }, "rr25": { "current": 1.04, "previous": 0.96, "change": 0.08, "percentChange": 8.33 }, "bf25": { "current": 2.18, "previous": 2.22, "change": -0.04, "percentChange": -1.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.53, "movePercentile30d": 43.3, "movePercentileFullHistory": 35.6, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 13.3, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 97.1, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 23.3, "movePercentileFullHistory": 20.7, "currentLevelPercentileFullHistory": 52.2, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "3M", "targetExpiry": 1796576340482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.88, "previous": 38.87, "change": 0.01, "percentChange": 0.03 }, "rr25": { "current": -0.05, "previous": 0.07, "change": -0.12, "percentChange": -171.43 }, "bf25": { "current": 2.45, "previous": 2.43, "change": 0.02, "percentChange": 0.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 53.7, "classificationPercentile": 0.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.12, "movePercentile30d": 13.3, "movePercentileFullHistory": 19.3, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 19.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 8.1, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 8.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "6M", "targetExpiry": 1804438740482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.13, "previous": 40.2, "change": -0.07, "percentChange": -0.17 }, "rr25": { "current": -0.06, "previous": 0.0, "change": -0.06, "percentChange": null }, "bf25": { "current": 2.68, "previous": 2.56, "change": 0.12, "percentChange": 4.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.07, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.6, "currentLevelPercentileFullHistory": 14.0, "classificationPercentile": 12.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 3.3, "movePercentileFullHistory": 16.3, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 16.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 83.3, "movePercentileFullHistory": 78.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "9M", "targetExpiry": 1812301140482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.46, "previous": 41.4, "change": 0.06, "percentChange": 0.14 }, "rr25": { "current": 0.24, "previous": 0.12, "change": 0.12, "percentChange": 100.0 }, "bf25": { "current": 2.8, "previous": 2.8, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 13.3, "movePercentileFullHistory": 18.5, "currentLevelPercentileFullHistory": 16.9, "classificationPercentile": 18.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.12, "movePercentile30d": 26.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 32.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 1.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "1Y", "targetExpiry": 1820249940482, "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": "7SEP26", "expiry": 1788768000000, "tauYears": 0.00171425, "daysToExpiry": 0.626, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79664.42, "previous": 80101.24, "change": -436.82, "percentChange": -0.55 }, "atmIv": { "current": 28.5, "previous": 24.89, "change": 3.61, "percentChange": 14.5 }, "rr25": { "current": -0.23, "previous": -0.56, "change": 0.33, "percentChange": 58.93 }, "bf25": { "current": 0.85, "previous": 1.1, "change": -0.25, "percentChange": -22.73 }, "svi": { "a": { "current": -0.0291, "previous": -0.0377, "change": 0.0085, "percentChange": 22.69 }, "b": { "current": 0.0613, "previous": 0.0849, "change": -0.0235, "percentChange": -27.72 }, "rho": { "current": -0.0203, "previous": -0.0468, "change": 0.0266, "percentChange": 56.74 }, "m": { "current": -0.0085, "previous": -0.0181, "change": 0.0095, "percentChange": 52.83 }, "sigma": { "current": 0.4771, "previous": 0.4476, "change": 0.0295, "percentChange": 6.59 } }, "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": [ 179.7115, 171.5887, 163.3966, 155.1386, 146.8192, 138.4436, 130.0184, 121.5518, 113.0541, 104.5381, 96.0205, 87.5234, 79.0766, 70.7224, 62.5224, 54.5713, 47.0203, 40.1195, 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-0.0541, -0.0493, -0.0443, -0.0391, -0.0338, -0.0283, -0.0228, -0.0172, -0.0115, -0.0058, -0.0001, 0.0057, 0.0114, 0.017, 0.0227, 0.0281, 0.0336, 0.0389, 0.0442, 0.0493, 0.0543, 0.0591, 0.0638, 0.0684, 0.0727, 0.0769, 0.081, 0.085, 0.0888, 0.0923, 0.0958, 0.0991, 0.1023, 0.1054, 0.1082, 0.111, 0.1137, 0.1163, 0.1187, 0.1212, 0.1235 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "headline": "Bitcoin options add six-month convexity as front-end volatility rises", "standfirst": "Bitcoin\u2019s six-month BF25 rose 0.12 volatility points to 2.68%, the day\u2019s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.", "days": [ { "reportDate": "2026-09-06", "headline": "Bitcoin convexity firms at six months", "summary": "Six-month BF25 increased while one-week implied volatility rose and longer maturities held broadly steady.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options add six-month convexity as front-end volatility rises", "standfirst": "Bitcoin\u2019s six-month BF25 rose 0.12 volatility points to 2.68%, the day\u2019s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.", "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 SPX/VIX session. BTC 30-day ATM IV was 36.2 volatility points; VIX was 14.529999732971191. Sources: DerivaSys 30-day fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, and ^GSPC via Yahoo Finance. 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": "market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252)." } }