{ "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:02:48+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296121, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286068, "timestamp": "2026-09-06T16:54:00+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": "2026-09-07T16:54:00+00:00", "spotMove24hPercent": -0.89, "rv24hPercent": 25.44, "rv7dPercent": 34.18, "rv30dPercent": 37.75, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.67, "oneWeekIvMinus7dRvPoints": 2.49, "oneWeekIvMinus24hRvPoints": 11.23, "oneWeekIvMinus30dRvPoints": -1.08 }, "fitQuality": { "currentObjective": 0.04979733, "previousObjective": 0.04398861, "currentLiveError": 77.56535675, "previousLiveError": 69.88034029 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin\u2019s short-dated skew becomes put-rich", "executiveSummary": "The principal BTC surface move was a notable one-week RR25 decline, which left put-side volatility modestly above call-side volatility at the cutoff.", "evidenceIds": [ "rr25", "realised-vol" ], "newsSummary": "No qualifying news context was retained for Bitcoin options.", "marketContextSummary": "No retained news item supports a link to Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:54 UTC cutoff, 1W ATM IV was 36.67%, 2.49 volatility points above seven-day realised volatility of 34.18%; 24-hour realised volatility was 25.44% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 36.82% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 39.93% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.90 volatility points to -0.24% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.07 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 -0.63 volatility points at 2W, to 36.77%.", "tenor": "2W", "value": -0.63 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+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": 7, "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": 1, "articlesPassingTimeFilter": 1, "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 RR25 moved 1.38 volatility points toward puts to -0.22%, leaving puts richer than calls; this was a notable move at the 79th percentile among 136 comparable historical observations. At the cutoff, realised volatility measured 25.44% over 24 hours, 34.18% over seven days and 37.75% over 30 days. Front-end ATM IV averaged 36.82%, -0.33 points from the prior snapshot, while the long end averaged 39.93%, -0.21 points. 2W ATM IV fell 0.63 volatility points to 36.77%. 6M BF25 fell 0.13 volatility points to 2.54%. The nearest eligible forward, 10SEP26, fell $722.13 (-0.91%) to $78,993.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 107, "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 16:54 UTC cutoff, 1W ATM IV was 36.67%, 2.49 volatility points above seven-day realised volatility of 34.18%; 24-hour realised volatility was 25.44% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 36.82% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 39.93% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.90 volatility points to -0.24% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.07 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 -0.63 volatility points at 2W, to 36.77%.", "tenor": "2W", "value": -0.63 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.25, "rr25Change": -0.9, "bf25Change": -0.07, "largestAtmMove": { "tenor": "2W", "current": 36.77, "previous": 37.4, "change": -0.63, "historicalSignificance": { "absoluteMove": 0.63, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.9, "currentLevelPercentileFullHistory": 63.5, "classificationPercentile": 30.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } }, "frontEndAverageAtm": { "current": 36.82, "previous": 37.15, "change": -0.33 }, "longEndAverageAtm": { "current": 39.93, "previous": 40.14, "change": -0.21 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.22, "previous": 1.16, "change": -1.38, "historicalSignificance": { "absoluteMove": 1.38, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 88.3, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.54, "previous": 2.67, "change": -0.13, "historicalSignificance": { "absoluteMove": 0.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.6, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } }, "nearestEligibleForwardMove": { "label": "10SEP26", "daysToExpiry": 2.629, "current": 78993.26, "previous": 79715.39, "change": -722.13, "percentChange": -0.91 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789404840364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.67, "previous": 36.71, "change": -0.04, "percentChange": -0.11 }, "rr25": { "current": -0.22, "previous": 1.16, "change": -1.38, "percentChange": -118.97 }, "bf25": { "current": 1.7, "previous": 1.82, "change": -0.12, "percentChange": -6.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 67.9, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 1.38, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 88.3, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 43.4, "currentLevelPercentileFullHistory": 30.7, "classificationPercentile": 43.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "2W", "targetExpiry": 1790009640364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.77, "previous": 37.4, "change": -0.63, "percentChange": -1.68 }, "rr25": { "current": 0.08, "previous": 1.23, "change": -1.15, "percentChange": -93.5 }, "bf25": { "current": 1.84, "previous": 1.85, "change": -0.01, "percentChange": -0.54 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.63, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.9, "currentLevelPercentileFullHistory": 63.5, "classificationPercentile": 30.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 1.15, "movePercentile30d": 73.3, "movePercentileFullHistory": 77.2, "currentLevelPercentileFullHistory": 90.5, "classificationPercentile": 77.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 1.5, "currentLevelPercentileFullHistory": 39.4, "classificationPercentile": 1.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "1M", "targetExpiry": 1791392040364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.01, "previous": 37.33, "change": -0.32, "percentChange": -0.86 }, "rr25": { "current": 0.06, "previous": 1.03, "change": -0.97, "percentChange": -94.17 }, "bf25": { "current": 2.2, "previous": 2.21, "change": -0.01, "percentChange": -0.45 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": 26.7, "movePercentileFullHistory": 26.5, "currentLevelPercentileFullHistory": 56.2, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 80.9, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 80.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 13.3, "movePercentileFullHistory": 8.1, "currentLevelPercentileFullHistory": 51.8, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "3M", "targetExpiry": 1796662440364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.82, "previous": 38.88, "change": -0.06, "percentChange": -0.15 }, "rr25": { "current": -0.62, "previous": -0.08, "change": -0.54, "percentChange": -675.0 }, "bf25": { "current": 2.36, "previous": 2.46, "change": -0.1, "percentChange": -4.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 6.7, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 52.6, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.54, "movePercentile30d": 66.7, "movePercentileFullHistory": 70.6, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 70.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 53.3, "movePercentileFullHistory": 65.4, "currentLevelPercentileFullHistory": 45.3, "classificationPercentile": 65.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "6M", "targetExpiry": 1804524840364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.93, "previous": 40.14, "change": -0.21, "percentChange": -0.52 }, "rr25": { "current": -0.52, "previous": -0.05, "change": -0.47, "percentChange": -940.0 }, "bf25": { "current": 2.54, "previous": 2.67, "change": -0.13, "percentChange": -4.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.1, "currentLevelPercentileFullHistory": 8.8, "classificationPercentile": 47.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 66.7, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 93.4, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.6, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "9M", "targetExpiry": 1812387240364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.15, "previous": 41.46, "change": -0.31, "percentChange": -0.75 }, "rr25": { "current": -0.27, "previous": 0.24, "change": -0.51, "percentChange": -212.5 }, "bf25": { "current": 2.69, "previous": 2.8, "change": -0.11, "percentChange": -3.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.31, "movePercentile30d": 60.0, "movePercentileFullHistory": 69.1, "currentLevelPercentileFullHistory": 7.3, "classificationPercentile": 69.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.51, "movePercentile30d": 76.7, "movePercentileFullHistory": 89.7, "currentLevelPercentileFullHistory": 93.4, "classificationPercentile": 89.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 73.3, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 62.8, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "1Y", "targetExpiry": 1820336040364, "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": "8SEP26", "expiry": 1788854400000, "tauYears": 0.00172376, "daysToExpiry": 0.629, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79007.76, "previous": 79697.8, "change": -690.04, "percentChange": -0.87 }, "atmIv": { "current": 27.19, "previous": 30.33, "change": -3.14, "percentChange": -10.35 }, "rr25": { "current": -1.02, "previous": 0.33, "change": -1.35, "percentChange": -409.09 }, "bf25": { "current": 0.7, "previous": 1.47, "change": -0.77, "percentChange": -52.38 }, "svi": { "a": { "current": -0.033, "previous": -0.0419, "change": 0.0088, "percentChange": 21.06 }, "b": { "current": 0.0609, "previous": 0.093, "change": -0.0321, "percentChange": -34.51 }, "rho": { "current": -0.1002, "previous": 0.0134, "change": -0.1136, "percentChange": -847.4 }, "m": { "current": -0.0495, "previous": 0.0047, "change": -0.0542, "percentChange": -1142.74 }, "sigma": { "current": 0.5472, "previous": 0.4544, "change": 0.0928, "percentChange": 20.41 } }, "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": [ 172.8465, 164.9034, 156.9172, 148.8919, 140.8327, 132.7452, 124.6363, 116.514, 108.3881, 100.2705, 92.1764, 84.1253, 76.1432, 68.2661, 60.5461, 53.0615, 45.9353, 39.3675, 33.6874, 29.4094, 27.1925, 27.5225, 30.2966, 34.9156, 40.7353, 47.2931, 54.3012, 61.586, 69.0403, 76.5961, 84.2081, 91.8453, 99.4857, 107.1131, 114.7154, 122.2835, 129.8101, 137.2896, 144.7176, 152.0905, 159.4056 ], "previous": [ 139.2898, 133.163, 126.9841, 120.7568, 114.4858, 108.1767, 101.8369, 95.4755, 89.1042, 82.738, 76.3964, 70.1055, 63.9002, 57.8292, 51.9611, 46.395, 41.2748, 36.808, 33.2774, 31.0195, 30.3299, 31.3169, 33.8331, 37.5672, 42.1885, 47.4275, 53.089, 59.0379, 65.1811, 71.4537, 77.8097, 84.2154, 90.6458, 97.0819, 103.509, 109.9156, 116.2925, 122.6325, 128.9298, 135.1795, 141.3781 ], "change": [ 33.5567, 31.7404, 29.9331, 28.1351, 26.3469, 24.5685, 22.7994, 21.0385, 19.2839, 17.5325, 15.78, 14.0198, 12.243, 10.4369, 8.585, 6.6665, 4.6605, 2.5595, 0.41, -1.6101, -3.1374, -3.7944, -3.5365, -2.6516, -1.4532, -0.1344, 1.2122, 2.5481, 3.8592, 5.1424, 6.3984, 7.6299, 8.8399, 10.0312, 11.2064, 12.3679, 13.5176, 14.6571, 15.7878, 16.911, 18.0275 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 6.347, "rotation": -9.382, "wingChange": 14.227, "rmsChange": 15.241 } }, { "label": "9SEP26", "expiry": 1788940800000, "tauYears": 0.00446349, "daysToExpiry": 1.629, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78985.14, "previous": 79722.68, "change": -737.54, "percentChange": -0.93 }, "atmIv": { "current": 31.26, "previous": 32.15, "change": -0.89, "percentChange": -2.77 }, "rr25": { "current": -1.29, "previous": 0.57, "change": -1.86, "percentChange": -326.32 }, "bf25": { "current": 1.45, "previous": 1.67, "change": -0.22, "percentChange": -13.17 }, "svi": { "a": { "current": -0.0412, "previous": -0.0532, "change": 0.012, "percentChange": 22.49 }, "b": { "current": 0.0906, "previous": 0.1084, "change": -0.0177, "percentChange": -16.37 }, "rho": { "current": -0.0485, "previous": -0.0047, "change": -0.0438, "percentChange": -926.4 }, "m": { "current": -0.0159, "previous": -0.0051, "change": -0.0109, "percentChange": -213.9 }, "sigma": { "current": 0.4603, "previous": 0.4978, "change": -0.0375, "percentChange": -7.53 } }, "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": [ 142.2593, 136.0948, 129.8837, 123.6298, 117.3381, 111.0147, 104.6671, 98.3045, 91.9384, 85.5832, 79.2573, 72.9848, 66.7972, 60.7372, 54.8638, 49.26, 44.0439, 39.3831, 35.5079, 32.7057, 31.2684, 31.3813, 33.0212, 35.9688, 39.9219, 44.5989, 49.7799, 55.3067, 61.0687, 66.9886, 73.0115, 79.098, 85.2191, 91.3532, 97.4836, 103.5978, 109.6857, 115.7397, 121.7534, 127.7222, 133.6421 ], "previous": [ 115.7529, 110.7242, 105.6693, 100.5928, 95.5007, 90.3998, 85.2989, 80.2087, 75.1427, 70.1178, 65.1557, 60.2842, 55.5401, 50.9716, 46.643, 42.6399, 39.0738, 36.0849, 33.8349, 32.484, 32.1489, 32.8613, 34.5542, 37.0889, 40.3007, 44.0338, 48.1584, 52.5729, 57.2003, 61.9827, 66.8766, 71.8489, 76.8743, 81.9332, 87.01, 92.0926, 97.1709, 102.2372, 107.2848, 112.3086, 117.3041 ], "change": [ 26.5064, 25.3706, 24.2144, 23.037, 21.8374, 20.6149, 19.3682, 18.0958, 16.7957, 15.4654, 14.1016, 12.7006, 11.2571, 9.7656, 8.2208, 6.6201, 4.9701, 3.2982, 1.673, 0.2217, -0.8805, -1.48, -1.533, -1.1201, -0.3788, 0.5651, 1.6215, 2.7338, 3.8684, 5.0059, 6.1349, 7.2491, 8.3448, 9.42, 10.4736, 11.5052, 12.5148, 13.5025, 14.4686, 15.4136, 16.338 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 6.452, "rotation": -7.967, "wingChange": 10.999, "rmsChange": 12.993 } }, { "label": "10SEP26", "expiry": 1789027200000, "tauYears": 0.00720321, "daysToExpiry": 2.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78993.26, "previous": 79715.39, "change": -722.13, "percentChange": -0.91 }, "atmIv": { "current": 33.09, "previous": 34.27, "change": -1.18, "percentChange": -3.44 }, "rr25": { "current": -0.63, "previous": 1.18, "change": -1.81, "percentChange": -153.39 }, "bf25": { "current": 1.57, "previous": 1.48, "change": 0.09, "percentChange": 6.08 }, "svi": { "a": { "current": -0.0646, "previous": -0.0706, "change": 0.006, "percentChange": 8.5 }, "b": { "current": 0.1149, "previous": 0.115, "change": -0.0001, "percentChange": -0.1 }, "rho": { "current": -0.045, "previous": -0.0622, "change": 0.0172, "percentChange": 27.71 }, "m": { "current": -0.0215, "previous": -0.0475, "change": 0.0261, "percentChange": 54.83 }, "sigma": { "current": 0.5694, "previous": 0.6249, "change": -0.0555, "percentChange": -8.88 } }, "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": [ 116.0371, 111.0359, 106.0209, 100.9971, 95.9702, 90.9475, 85.9374, 80.9501, 75.9984, 71.098, 66.2688, 61.5359, 56.9316, 52.4978, 48.2894, 44.3777, 40.8543, 37.8331, 35.4465, 33.8313, 33.1007, 33.311, 34.4414, 36.4012, 39.0592, 42.2767, 45.9283, 49.9104, 54.1416, 58.5591, 63.1152, 67.7731, 72.5049, 77.2885, 82.1069, 86.9463, 91.7959, 96.6468, 101.4919, 106.3253, 111.142 ], "previous": [ 93.8012, 89.7644, 85.7358, 81.7216, 77.7291, 73.7669, 69.8452, 65.9766, 62.1759, 58.4616, 54.8562, 51.3873, 48.089, 45.0029, 42.1791, 39.6768, 37.5624, 35.9059, 34.7731, 34.2153, 34.2589, 34.899, 36.1002, 37.8048, 39.9435, 42.4456, 45.245, 48.2844, 51.5154, 54.8981, 58.4004, 61.996, 65.6638, 69.3867, 73.1507, 76.9445, 80.7587, 84.5854, 88.4182, 92.2516, 96.0813 ], "change": [ 22.2359, 21.2715, 20.2851, 19.2755, 18.2411, 17.1806, 16.0922, 14.9735, 13.8225, 12.6364, 11.4126, 10.1486, 8.8426, 7.4949, 6.1103, 4.7009, 3.2919, 1.9272, 0.6734, -0.384, -1.1582, -1.588, -1.6588, -1.4036, -0.8843, -0.1689, 0.6833, 1.626, 2.6262, 3.661, 4.7148, 5.7771, 6.8411, 7.9018, 8.9562, 10.0018, 11.0372, 12.0614, 13.0737, 14.0737, 15.0607 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 4.99, "rotation": -6.698, "wingChange": 9.222, "rmsChange": 10.904 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00994294, "daysToExpiry": 3.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79000.2, "previous": 79710.3, "change": -710.1, "percentChange": -0.89 }, "atmIv": { "current": 35.14, "previous": 35.46, "change": -0.32, "percentChange": -0.9 }, "rr25": { "current": -0.49, "previous": 1.08, "change": -1.57, "percentChange": -145.37 }, "bf25": { "current": 1.59, "previous": 1.84, "change": -0.25, "percentChange": -13.59 }, "svi": { "a": { "current": -0.0786, "previous": -0.063, "change": -0.0156, "percentChange": -24.76 }, "b": { "current": 0.1252, "previous": 0.1204, "change": 0.0048, "percentChange": 3.95 }, "rho": { "current": -0.11, "previous": -0.1042, "change": -0.0058, "percentChange": -5.58 }, "m": { "current": -0.0668, "previous": -0.0636, "change": -0.0032, "percentChange": -5.04 }, "sigma": { "current": 0.6419, "previous": 0.5395, "change": 0.1024, "percentChange": 18.97 } }, "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": [ 100.5966, 96.3625, 92.137, 87.9259, 83.7358, 79.5745, 75.4513, 71.3773, 67.3658, 63.4327, 59.5977, 55.8845, 52.3227, 48.948, 45.8043, 42.944, 40.4284, 38.3252, 36.7047, 35.6306, 35.1502, 35.2837, 36.0196, 37.3166, 39.1131, 41.3375, 43.9183, 46.7899, 49.8953, 53.1868, 56.6254, 60.1793, 63.823, 67.5357, 71.3008, 75.1045, 78.9358, 82.7855, 86.6461, 90.5112, 94.3757 ], "previous": [ 92.5713, 88.6847, 84.8048, 80.9382, 77.0926, 73.277, 69.5025, 65.7819, 62.1306, 58.5675, 55.1149, 51.8003, 48.6564, 45.7228, 43.0456, 40.6783, 38.6791, 37.1079, 36.0199, 35.4574, 35.4418, 35.9692, 37.0109, 38.5186, 40.4334, 42.693, 45.2381, 48.0157, 50.9798, 54.0922, 57.321, 60.6404, 64.0291, 67.4696, 70.948, 74.4524, 77.9734, 81.503, 85.0348, 88.5633, 92.0839 ], "change": [ 8.0253, 7.6778, 7.3322, 6.9877, 6.6432, 6.2975, 5.9488, 5.5954, 5.2352, 4.8652, 4.4828, 4.0842, 3.6663, 3.2252, 2.7587, 2.2657, 1.7493, 1.2173, 0.6848, 0.1732, -0.2916, -0.6855, -0.9913, -1.202, -1.3203, -1.3555, -1.3198, -1.2258, -1.0845, -0.9054, -0.6956, -0.4611, -0.2061, 0.0661, 0.3528, 0.6521, 0.9624, 1.2825, 1.6113, 1.9479, 2.2918 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 1.165, "rotation": -5.178, "wingChange": 2.185, "rmsChange": 3.606 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.02912102, "daysToExpiry": 10.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79053.33, "previous": 79790.68, "change": -737.35, "percentChange": -0.92 }, "atmIv": { "current": 37.22, "previous": 37.66, "change": -0.44, "percentChange": -1.17 }, "rr25": { "current": -0.13, "previous": 1.21, "change": -1.34, "percentChange": -110.74 }, "bf25": { "current": 1.73, "previous": 1.79, "change": -0.06, "percentChange": -3.35 }, "svi": { "a": { "current": -0.0857, "previous": -0.083, "change": -0.0027, "percentChange": -3.3 }, "b": { "current": 0.1377, "previous": 0.1424, "change": -0.0047, "percentChange": -3.3 }, "rho": { "current": -0.1909, "previous": -0.2424, "change": 0.0515, "percentChange": 21.25 }, "m": { "current": -0.1257, "previous": -0.1713, "change": 0.0456, "percentChange": 26.6 }, "sigma": { "current": 0.6641, "previous": 0.6332, "change": 0.0309, "percentChange": 4.88 } }, "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": [ 67.8146, 65.5036, 63.2247, 60.9831, 58.7849, 56.6368, 54.5461, 52.521, 50.5708, 48.7052, 46.9354, 45.2729, 43.7305, 42.3213, 41.0587, 39.9561, 39.0261, 38.28, 37.7274, 37.3748, 37.226, 37.2808, 37.5358, 37.9841, 38.616, 39.4196, 40.3815, 41.4874, 42.7228, 44.0737, 45.5264, 47.0685, 48.6881, 50.375, 52.1194, 53.913, 55.7483, 57.6185, 59.5178, 61.441, 63.3837 ], "previous": [ 65.0214, 62.7636, 60.5466, 58.3767, 56.2605, 54.2057, 52.2204, 50.3138, 48.4955, 46.7764, 45.1677, 43.6813, 42.3295, 41.1247, 40.0788, 39.2029, 38.5068, 37.9979, 37.6813, 37.5591, 37.63, 37.8897, 38.3309, 38.9439, 39.7172, 40.6379, 41.6926, 42.8679, 44.1504, 45.5276, 46.9878, 48.5202, 50.1149, 51.763, 53.4567, 55.1888, 56.9532, 58.7443, 60.5573, 62.3878, 64.2323 ], "change": [ 2.7932, 2.74, 2.6781, 2.6064, 2.5244, 2.4311, 2.3257, 2.2072, 2.0753, 1.9288, 1.7677, 1.5916, 1.401, 1.1966, 0.9799, 0.7532, 0.5193, 0.2821, 0.0461, -0.1843, -0.404, -0.6089, -0.7951, -0.9598, -1.1012, -1.2183, -1.3111, -1.3805, -1.4276, -1.4539, -1.4614, -1.4517, -1.4268, -1.388, -1.3373, -1.2758, -1.2049, -1.1258, -1.0395, -0.9468, -0.8486 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": -0.033, "rotation": -3.229, "wingChange": 0.557, "rmsChange": 1.565 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.0482991, "daysToExpiry": 17.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79096.43, "previous": 79837.71, "change": -741.28, "percentChange": -0.93 }, "atmIv": { "current": 36.48, "previous": 37.07, "change": -0.59, "percentChange": -1.59 }, "rr25": { "current": 0.21, "previous": 1.24, "change": -1.03, "percentChange": -83.06 }, "bf25": { "current": 1.91, "previous": 1.94, "change": -0.03, "percentChange": -1.55 }, "svi": { "a": { "current": -0.0759, "previous": -0.0762, "change": 0.0003, "percentChange": 0.36 }, "b": { "current": 0.1393, "previous": 0.1467, "change": -0.0074, "percentChange": -5.07 }, "rho": { "current": -0.1773, "previous": -0.2648, "change": 0.0876, "percentChange": 33.06 }, "m": { "current": -0.1081, "previous": -0.1762, "change": 0.0681, "percentChange": 38.65 }, "sigma": { "current": 0.6005, "previous": 0.5876, "change": 0.0129, "percentChange": 2.19 } }, "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": [ 58.7231, 56.963, 55.2331, 53.5382, 51.8833, 50.274, 48.7165, 47.2173, 45.7834, 44.4223, 43.1418, 41.9501, 40.8557, 39.8667, 38.9913, 38.2371, 37.6109, 37.1186, 36.7644, 36.5511, 36.4798, 36.5494, 36.7574, 37.0991, 37.5688, 38.1593, 38.8626, 39.6703, 40.5733, 41.563, 42.6307, 43.7682, 44.9675, 46.2213, 47.523, 48.8663, 50.2456, 51.6558, 53.0923, 54.551, 56.0282 ], "previous": [ 57.3011, 55.5476, 53.8341, 52.166, 50.5488, 48.9886, 47.4919, 46.0654, 44.7163, 43.4521, 42.2802, 41.2083, 40.2436, 39.3933, 38.6637, 38.0603, 37.5876, 37.2485, 37.0447, 36.976, 37.0407, 37.2353, 37.5551, 37.9941, 38.5453, 39.201, 39.9531, 40.7934, 41.7137, 42.706, 43.7626, 44.8763, 46.0404, 47.2487, 48.4955, 49.7755, 51.0842, 52.4173, 53.771, 55.1418, 56.5269 ], "change": [ 1.422, 1.4154, 1.399, 1.3722, 1.3345, 1.2854, 1.2246, 1.1519, 1.0671, 0.9702, 0.8616, 0.7418, 0.6121, 0.4734, 0.3276, 0.1768, 0.0233, -0.1299, -0.2803, -0.4249, -0.5609, -0.6859, -0.7977, -0.895, -0.9765, -1.0417, -1.0905, -1.1231, -1.1404, -1.143, -1.1319, -1.1081, -1.0729, -1.0274, -0.9725, -0.9092, -0.8386, -0.7615, -0.6787, -0.5908, -0.4987 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.277, "rotation": -1.994, "wingChange": 0.426, "rmsChange": 0.946 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.14418951, "daysToExpiry": 52.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79441.16, "previous": 80184.46, "change": -743.3, "percentChange": -0.93 }, "atmIv": { "current": 37.33, "previous": 37.52, "change": -0.19, "percentChange": -0.51 }, "rr25": { "current": -0.02, "previous": 0.87, "change": -0.89, "percentChange": -102.3 }, "bf25": { "current": 2.38, "previous": 2.39, "change": -0.01, "percentChange": -0.42 }, "svi": { "a": { "current": -0.0658, "previous": -0.0543, "change": -0.0115, "percentChange": -21.19 }, "b": { "current": 0.1713, "previous": 0.1619, "change": 0.0094, "percentChange": 5.78 }, "rho": { "current": -0.3308, "previous": -0.333, "change": 0.0021, "percentChange": 0.64 }, "m": { "current": -0.1779, "previous": -0.1827, "change": 0.0047, "percentChange": 2.59 }, "sigma": { "current": 0.5313, "previous": 0.4907, "change": 0.0406, "percentChange": 8.27 } }, "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": [ 48.9129, 47.9164, 46.9493, 46.014, 45.1135, 44.2503, 43.4272, 42.6469, 41.9119, 41.2249, 40.5882, 40.004, 39.4742, 39.0006, 38.5847, 38.2274, 37.9295, 37.6914, 37.513, 37.3939, 37.3334, 37.3303, 37.383, 37.4899, 37.6489, 37.8577, 38.1141, 38.4153, 38.7588, 39.142, 39.5621, 40.0166, 40.5028, 41.0183, 41.5605, 42.1273, 42.7163, 43.3254, 43.9529, 44.5966, 45.2551 ], "previous": [ 47.9146, 46.9541, 46.025, 45.1302, 44.2726, 43.455, 42.6802, 41.9511, 41.2703, 40.6403, 40.0632, 39.5413, 39.0761, 38.6692, 38.3214, 38.0335, 37.8058, 37.6379, 37.5295, 37.4794, 37.4864, 37.5488, 37.6647, 37.8318, 38.0478, 38.3101, 38.616, 38.9628, 39.3479, 39.7683, 40.2216, 40.705, 41.216, 41.7523, 42.3115, 42.8915, 43.4901, 44.1056, 44.736, 45.3799, 46.0355 ], "change": [ 0.9983, 0.9623, 0.9243, 0.8838, 0.8409, 0.7953, 0.747, 0.6958, 0.6416, 0.5846, 0.525, 0.4627, 0.3981, 0.3314, 0.2633, 0.1939, 0.1237, 0.0535, -0.0165, -0.0855, -0.153, -0.2185, -0.2817, -0.3419, -0.3989, -0.4524, -0.5019, -0.5475, -0.5891, -0.6263, -0.6595, -0.6884, -0.7132, -0.734, -0.751, -0.7642, -0.7738, -0.7802, -0.7831, -0.7833, -0.7804 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.096, "rotation": -1.184, "wingChange": 0.086, "rmsChange": 0.618 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.22090184, "daysToExpiry": 80.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79749.02, "previous": 80493.35, "change": -744.33, "percentChange": -0.92 }, "atmIv": { "current": 38.69, "previous": 38.73, "change": -0.04, "percentChange": -0.1 }, "rr25": { "current": -0.35, "previous": 0.26, "change": -0.61, "percentChange": -234.62 }, "bf25": { "current": 2.31, "previous": 2.38, "change": -0.07, "percentChange": -2.94 }, "svi": { "a": { "current": -0.0965, "previous": -0.1563, "change": 0.0598, "percentChange": 38.28 }, "b": { "current": 0.2205, "previous": 0.2604, "change": -0.0398, "percentChange": -15.29 }, "rho": { "current": -0.4309, "previous": -0.3817, "change": -0.0492, "percentChange": -12.89 }, "m": { "current": -0.2887, "previous": -0.3181, "change": 0.0294, "percentChange": 9.24 }, "sigma": { "current": 0.6509, "previous": 0.7889, "change": -0.138, "percentChange": -17.49 } }, "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": [ 46.6977, 45.9922, 45.3137, 44.6635, 44.0427, 43.4525, 42.8938, 42.3676, 41.8747, 41.416, 40.992, 40.6034, 40.2506, 39.9339, 39.6534, 39.4093, 39.2014, 39.0295, 38.8934, 38.7924, 38.7261, 38.6938, 38.6947, 38.7278, 38.7923, 38.8871, 39.011, 39.1631, 39.342, 39.5467, 39.7758, 40.0282, 40.3027, 40.5981, 40.9131, 41.2466, 41.5976, 41.9648, 42.3473, 42.744, 43.1539 ], "previous": [ 46.0115, 45.3438, 44.7033, 44.0909, 43.5077, 42.9546, 42.4327, 41.9428, 41.4857, 41.0621, 40.6728, 40.3183, 39.999, 39.7152, 39.4673, 39.2553, 39.0793, 38.9391, 38.8345, 38.7651, 38.7304, 38.73, 38.763, 38.8287, 38.9264, 39.0549, 39.2134, 39.4009, 39.6161, 39.858, 40.1254, 40.4172, 40.7321, 41.0691, 41.427, 41.8046, 42.2009, 42.6146, 43.0448, 43.4904, 43.9504 ], "change": [ 0.6862, 0.6484, 0.6104, 0.5726, 0.535, 0.4979, 0.4611, 0.4248, 0.389, 0.3539, 0.3192, 0.2851, 0.2516, 0.2187, 0.1861, 0.154, 0.1221, 0.0904, 0.0589, 0.0273, -0.0043, -0.0362, -0.0683, -0.1009, -0.1341, -0.1678, -0.2024, -0.2378, -0.2741, -0.3113, -0.3496, -0.389, -0.4294, -0.471, -0.5139, -0.558, -0.6033, -0.6498, -0.6975, -0.7464, -0.7965 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.012, "rotation": -0.669, "wingChange": -0.011, "rmsChange": 0.42 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.29761417, "daysToExpiry": 108.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80067.49, "previous": 80811.54, "change": -744.05, "percentChange": -0.92 }, "atmIv": { "current": 38.98, "previous": 39.11, "change": -0.13, "percentChange": -0.33 }, "rr25": { "current": -0.95, "previous": -0.56, "change": -0.39, "percentChange": -69.64 }, "bf25": { "current": 2.43, "previous": 2.56, "change": -0.13, "percentChange": -5.08 }, "svi": { "a": { "current": -0.1764, "previous": -0.2295, "change": 0.0531, "percentChange": 23.14 }, "b": { "current": 0.2648, "previous": 0.2933, "change": -0.0285, "percentChange": -9.72 }, "rho": { "current": -0.304, "previous": -0.2524, "change": -0.0516, "percentChange": -20.42 }, "m": { "current": -0.232, "previous": -0.2158, "change": -0.0162, "percentChange": -7.5 }, "sigma": { "current": 0.8783, "previous": 0.9706, "change": -0.0923, "percentChange": -9.51 } }, "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": [ 45.7507, 45.2039, 44.6758, 44.1671, 43.6786, 43.2109, 42.7647, 42.3407, 41.9395, 41.5618, 41.208, 40.8786, 40.5742, 40.2951, 40.0416, 39.8141, 39.6127, 39.4376, 39.2888, 39.1664, 39.0704, 39.0005, 38.9566, 38.9384, 38.9456, 38.9777, 39.0344, 39.1152, 39.2194, 39.3465, 39.4959, 39.6669, 39.8588, 40.0708, 40.3024, 40.5526, 40.8208, 41.1062, 41.408, 41.7256, 42.058 ], "previous": [ 45.5916, 45.0565, 44.5402, 44.0434, 43.5669, 43.1114, 42.6775, 42.2659, 41.8773, 41.5122, 41.1713, 40.8551, 40.564, 40.2986, 40.059, 39.8458, 39.659, 39.499, 39.3658, 39.2595, 39.18, 39.1272, 39.1011, 39.1013, 39.1275, 39.1795, 39.2567, 39.3588, 39.4851, 39.6351, 39.8082, 40.0038, 40.2211, 40.4594, 40.7181, 40.9964, 41.2934, 41.6085, 41.9409, 42.2899, 42.6546 ], "change": [ 0.1591, 0.1474, 0.1356, 0.1237, 0.1117, 0.0995, 0.0872, 0.0748, 0.0622, 0.0496, 0.0367, 0.0235, 0.0102, -0.0035, -0.0174, -0.0317, -0.0463, -0.0614, -0.077, -0.0931, -0.1096, -0.1267, -0.1445, -0.1629, -0.1819, -0.2018, -0.2223, -0.2436, -0.2657, -0.2886, -0.3123, -0.3369, -0.3623, -0.3886, -0.4157, -0.4438, -0.4726, -0.5023, -0.5329, -0.5643, -0.5966 ], "classification": [ "limited movement" ], "parallelShift": -0.128, "rotation": -0.349, "wingChange": -0.028, "rmsChange": 0.264 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.54692924, "daysToExpiry": 199.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81030.19, "previous": 81752.51, "change": -722.32, "percentChange": -0.88 }, "atmIv": { "current": 40.05, "previous": 40.28, "change": -0.23, "percentChange": -0.57 }, "rr25": { "current": -0.46, "previous": 0.01, "change": -0.47, "percentChange": -4700.0 }, "bf25": { "current": 2.56, "previous": 2.69, "change": -0.13, "percentChange": -4.83 }, "svi": { "a": { "current": -0.1941, "previous": -0.2357, "change": 0.0416, "percentChange": 17.65 }, "b": { "current": 0.2876, "previous": 0.3217, "change": -0.034, "percentChange": -10.58 }, "rho": { "current": -0.2041, "previous": -0.2396, "change": 0.0355, "percentChange": 14.81 }, "m": { "current": -0.1483, "previous": -0.2143, "change": 0.0659, "percentChange": 30.77 }, "sigma": { "current": 1.0007, "previous": 1.0402, "change": -0.0395, "percentChange": -3.8 } }, "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": [ 44.0156, 43.7038, 43.403, 43.1135, 42.8356, 42.5696, 42.3158, 42.0745, 41.8458, 41.6301, 41.4275, 41.2382, 41.0625, 40.9005, 40.7523, 40.618, 40.4978, 40.3917, 40.2997, 40.2219, 40.1584, 40.109, 40.0737, 40.0525, 40.0452, 40.0518, 40.0722, 40.106, 40.1533, 40.2138, 40.2872, 40.3734, 40.4722, 40.5831, 40.7061, 40.8408, 40.9869, 41.1442, 41.3122, 41.4908, 41.6795 ], "previous": [ 44.0518, 43.7373, 43.4349, 43.145, 42.8679, 42.6038, 42.353, 42.1157, 41.8922, 41.6827, 41.4873, 41.3063, 41.1397, 40.9876, 40.8503, 40.7277, 40.6199, 40.5269, 40.4488, 40.3854, 40.3369, 40.303, 40.2838, 40.279, 40.2886, 40.3124, 40.3502, 40.4018, 40.4671, 40.5456, 40.6374, 40.7419, 40.8591, 40.9885, 41.1299, 41.2831, 41.4476, 41.6231, 41.8094, 42.0061, 42.2128 ], "change": [ -0.0362, -0.0335, -0.0319, -0.0315, -0.0323, -0.0342, -0.0372, -0.0412, -0.0464, -0.0526, -0.0598, -0.0681, -0.0772, -0.0871, -0.098, -0.1097, -0.1221, -0.1352, -0.1491, -0.1635, -0.1785, -0.194, -0.2101, -0.2265, -0.2434, -0.2606, -0.278, -0.2958, -0.3138, -0.3318, -0.3502, -0.3685, -0.3869, -0.4054, -0.4238, -0.4423, -0.4607, -0.4789, -0.4972, -0.5153, -0.5333 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.196, "rotation": -0.29, "wingChange": -0.026, "rmsChange": 0.27 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.79624431, "daysToExpiry": 290.629, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81992.51, "previous": 82699.36, "change": -706.85, "percentChange": -0.85 }, "atmIv": { "current": 41.33, "previous": 41.66, "change": -0.33, "percentChange": -0.79 }, "rr25": { "current": -0.23, "previous": 0.28, "change": -0.51, "percentChange": -182.14 }, "bf25": { "current": 2.71, "previous": 2.82, "change": -0.11, "percentChange": -3.9 }, "svi": { "a": { "current": -0.193, "previous": -0.2494, "change": 0.0563, "percentChange": 22.59 }, "b": { "current": 0.3108, "previous": 0.3516, "change": -0.0409, "percentChange": -11.62 }, "rho": { "current": -0.1596, "previous": -0.2272, "change": 0.0677, "percentChange": 29.78 }, "m": { "current": -0.0953, "previous": -0.209, "change": 0.1137, "percentChange": 54.41 }, "sigma": { "current": 1.0726, "previous": 1.1333, "change": -0.0607, "percentChange": -5.35 } }, "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": [ 44.3249, 44.0995, 43.8819, 43.6722, 43.4707, 43.2774, 43.0925, 42.9162, 42.7486, 42.5899, 42.4402, 42.2995, 42.1681, 42.0461, 41.9334, 41.8302, 41.7366, 41.6526, 41.5782, 41.5134, 41.4584, 41.4131, 41.3775, 41.3515, 41.3352, 41.3284, 41.3312, 41.3435, 41.3652, 41.3962, 41.4364, 41.4857, 41.544, 41.6111, 41.687, 41.7714, 41.8643, 41.9655, 42.0748, 42.192, 42.317 ], "previous": [ 44.4195, 44.1955, 43.9802, 43.7738, 43.5765, 43.3883, 43.2093, 43.0398, 42.8798, 42.7295, 42.5888, 42.4579, 42.3369, 42.2257, 42.1245, 42.0333, 41.9521, 41.8809, 41.8197, 41.7685, 41.7273, 41.696, 41.6745, 41.6629, 41.661, 41.6688, 41.6861, 41.7129, 41.7491, 41.7945, 41.8489, 41.9124, 41.9846, 42.0655, 42.155, 42.2527, 42.3587, 42.4726, 42.5944, 42.7238, 42.8606 ], "change": [ -0.0946, -0.096, -0.0983, -0.1016, -0.1058, -0.1109, -0.1168, -0.1236, -0.1312, -0.1396, -0.1486, -0.1584, -0.1688, -0.1796, -0.1911, -0.2031, -0.2155, -0.2283, -0.2415, -0.2551, -0.2689, -0.2829, -0.297, -0.3114, -0.3258, -0.3404, -0.3549, -0.3694, -0.3839, -0.3983, -0.4125, -0.4267, -0.4406, -0.4544, -0.468, -0.4813, -0.4944, -0.5071, -0.5196, -0.5318, -0.5436 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.277, "rotation": -0.264, "wingChange": -0.012, "rmsChange": 0.321 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "10SEP26", "value": -6.698, "score": 6.698, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -1.38, "score": 1.38, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": -0.63, "score": 0.63, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "27NOV26", "value": -0.138, "score": 0.138, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "6M", "value": -0.13, "score": 0.13, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": 0.0876, "score": 0.0876, "unit": "parameter units" } ], "expiryEffects": [ { "label": "8SEP26", "daysToExpiry": 0.629, "metric": "Smile rotation", "value": -9.382, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "9SEP26", "daysToExpiry": 1.629, "metric": "Smile rotation", "value": -7.967, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 286.96158421, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "8SEP26", "expiry": 1788854400000, "value": 0.000447286532, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "8SEP26", "expiry": 1788854400000, "value": -282.76188894, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00174993, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -23.60888713, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -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 ], "rows": [ { "label": "8SEP26", "values": [ 33.5567, 31.7404, 29.9331, 28.1351, 26.3469, 24.5685, 22.7994, 21.0385, 19.2839, 17.5325, 15.78, 14.0198, 12.243, 10.4369, 8.585, 6.6665, 4.6605, 2.5595, 0.41, -1.6101, -3.1374, -3.7944, -3.5365, -2.6516, -1.4532, -0.1344, 1.2122, 2.5481, 3.8592, 5.1424, 6.3984, 7.6299, 8.8399, 10.0312, 11.2064, 12.3679, 13.5176, 14.6571, 15.7878, 16.911, 18.0275 ] }, { "label": "9SEP26", "values": [ 26.5064, 25.3706, 24.2144, 23.037, 21.8374, 20.6149, 19.3682, 18.0958, 16.7957, 15.4654, 14.1016, 12.7006, 11.2571, 9.7656, 8.2208, 6.6201, 4.9701, 3.2982, 1.673, 0.2217, -0.8805, -1.48, -1.533, -1.1201, -0.3788, 0.5651, 1.6215, 2.7338, 3.8684, 5.0059, 6.1349, 7.2491, 8.3448, 9.42, 10.4736, 11.5052, 12.5148, 13.5025, 14.4686, 15.4136, 16.338 ] }, { "label": "10SEP26", "values": [ 22.2359, 21.2715, 20.2851, 19.2755, 18.2411, 17.1806, 16.0922, 14.9735, 13.8225, 12.6364, 11.4126, 10.1486, 8.8426, 7.4949, 6.1103, 4.7009, 3.2919, 1.9272, 0.6734, -0.384, -1.1582, -1.588, -1.6588, -1.4036, -0.8843, -0.1689, 0.6833, 1.626, 2.6262, 3.661, 4.7148, 5.7771, 6.8411, 7.9018, 8.9562, 10.0018, 11.0372, 12.0614, 13.0737, 14.0737, 15.0607 ] }, { "label": "11SEP26", "values": [ 8.0253, 7.6778, 7.3322, 6.9877, 6.6432, 6.2975, 5.9488, 5.5954, 5.2352, 4.8652, 4.4828, 4.0842, 3.6663, 3.2252, 2.7587, 2.2657, 1.7493, 1.2173, 0.6848, 0.1732, -0.2916, -0.6855, -0.9913, -1.202, -1.3203, -1.3555, -1.3198, -1.2258, -1.0845, -0.9054, -0.6956, -0.4611, -0.2061, 0.0661, 0.3528, 0.6521, 0.9624, 1.2825, 1.6113, 1.9479, 2.2918 ] }, { "label": "18SEP26", "values": [ 2.7932, 2.74, 2.6781, 2.6064, 2.5244, 2.4311, 2.3257, 2.2072, 2.0753, 1.9288, 1.7677, 1.5916, 1.401, 1.1966, 0.9799, 0.7532, 0.5193, 0.2821, 0.0461, -0.1843, -0.404, -0.6089, -0.7951, -0.9598, -1.1012, -1.2183, -1.3111, -1.3805, -1.4276, -1.4539, -1.4614, -1.4517, -1.4268, -1.388, -1.3373, -1.2758, -1.2049, -1.1258, -1.0395, -0.9468, -0.8486 ] }, { "label": "25SEP26", "values": [ 1.422, 1.4154, 1.399, 1.3722, 1.3345, 1.2854, 1.2246, 1.1519, 1.0671, 0.9702, 0.8616, 0.7418, 0.6121, 0.4734, 0.3276, 0.1768, 0.0233, -0.1299, -0.2803, -0.4249, -0.5609, -0.6859, -0.7977, -0.895, -0.9765, -1.0417, -1.0905, -1.1231, -1.1404, -1.143, -1.1319, -1.1081, -1.0729, -1.0274, -0.9725, -0.9092, -0.8386, -0.7615, -0.6787, -0.5908, -0.4987 ] }, { "label": "30OCT26", "values": [ 0.9983, 0.9623, 0.9243, 0.8838, 0.8409, 0.7953, 0.747, 0.6958, 0.6416, 0.5846, 0.525, 0.4627, 0.3981, 0.3314, 0.2633, 0.1939, 0.1237, 0.0535, -0.0165, -0.0855, -0.153, -0.2185, -0.2817, -0.3419, -0.3989, -0.4524, -0.5019, -0.5475, -0.5891, -0.6263, -0.6595, -0.6884, -0.7132, -0.734, -0.751, -0.7642, -0.7738, -0.7802, -0.7831, -0.7833, -0.7804 ] }, { "label": "27NOV26", "values": [ 0.6862, 0.6484, 0.6104, 0.5726, 0.535, 0.4979, 0.4611, 0.4248, 0.389, 0.3539, 0.3192, 0.2851, 0.2516, 0.2187, 0.1861, 0.154, 0.1221, 0.0904, 0.0589, 0.0273, -0.0043, -0.0362, -0.0683, -0.1009, -0.1341, -0.1678, -0.2024, -0.2378, -0.2741, -0.3113, -0.3496, -0.389, -0.4294, -0.471, -0.5139, -0.558, -0.6033, -0.6498, -0.6975, -0.7464, -0.7965 ] }, { "label": "25DEC26", "values": [ 0.1591, 0.1474, 0.1356, 0.1237, 0.1117, 0.0995, 0.0872, 0.0748, 0.0622, 0.0496, 0.0367, 0.0235, 0.0102, -0.0035, -0.0174, -0.0317, -0.0463, -0.0614, -0.077, -0.0931, -0.1096, -0.1267, -0.1445, -0.1629, -0.1819, -0.2018, -0.2223, -0.2436, -0.2657, -0.2886, -0.3123, -0.3369, -0.3623, -0.3886, -0.4157, -0.4438, -0.4726, -0.5023, -0.5329, -0.5643, -0.5966 ] }, { "label": "26MAR27", "values": [ -0.0362, -0.0335, -0.0319, -0.0315, -0.0323, -0.0342, -0.0372, -0.0412, -0.0464, -0.0526, -0.0598, -0.0681, -0.0772, -0.0871, -0.098, -0.1097, -0.1221, -0.1352, -0.1491, -0.1635, -0.1785, -0.194, -0.2101, -0.2265, -0.2434, -0.2606, -0.278, -0.2958, -0.3138, -0.3318, -0.3502, -0.3685, -0.3869, -0.4054, -0.4238, -0.4423, -0.4607, -0.4789, -0.4972, -0.5153, -0.5333 ] }, { "label": "25JUN27", "values": [ -0.0946, -0.096, -0.0983, -0.1016, -0.1058, -0.1109, -0.1168, -0.1236, -0.1312, -0.1396, -0.1486, -0.1584, -0.1688, -0.1796, -0.1911, -0.2031, -0.2155, -0.2283, -0.2415, -0.2551, -0.2689, -0.2829, -0.297, -0.3114, -0.3258, -0.3404, -0.3549, -0.3694, -0.3839, -0.3983, -0.4125, -0.4267, -0.4406, -0.4544, -0.468, -0.4813, -0.4944, -0.5071, -0.5196, -0.5318, -0.5436 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn put-rich after notable short-dated shift", "standfirst": "Bitcoin\u2019s one-week RR25 fell 1.38 volatility points to -0.22%, making put-side volatility richer than call-side volatility. The move ranked at the 78.7 percentile among comparable observations. One-week ATM IV stood 2.49 volatility points above seven-day realised volatility, even as the front end eased modestly.", "days": [ { "reportDate": "2026-09-07", "headline": "Bitcoin skew shifts toward richer put volatility", "summary": "One-week put-side volatility overtook call-side volatility as the front-end volatility surface softened.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options turn put-rich after notable short-dated shift", "standfirst": "Bitcoin\u2019s one-week RR25 fell 1.38 volatility points to -0.22%, making put-side volatility richer than call-side volatility. The move ranked at the 78.7 percentile among comparable observations. One-week ATM IV stood 2.49 volatility points above seven-day realised volatility, even as the front end eased modestly.", "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-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }