{ "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:00:57+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306029, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295950, "timestamp": "2026-09-07T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are 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": "2026-09-08T16:30:00+00:00", "spotMove24hPercent": -0.27, "rv24hPercent": 27.74, "rv7dPercent": 33.47, "rv30dPercent": 38.06, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 39.57, "oneWeekIvMinus7dRvPoints": 6.1, "oneWeekIvMinus24hRvPoints": 11.83, "oneWeekIvMinus30dRvPoints": 1.51 }, "fitQuality": { "currentObjective": 0.05668325, "previousObjective": 0.04101444, "currentLiveError": 92.76118905, "previousLiveError": 58.37877849 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin\u2019s short-dated call-side premium becomes the main signal", "executiveSummary": "Bitcoin options repriced most clearly through skew: one-week RR25 shifted from put-rich to call-rich territory. The accompanying rise in one-week ATM IV left implied volatility above both seven-day and 24-hour realised volatility.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "News Check: CoinDesk reported Bitcoin recovering from session lows as oil prices pulled back. The report appeared during the observation window, but the recorded reaction does not establish that it drove the options move.", "marketContextSummary": "The retained Bitcoin market report coincided with later options changes, but available evidence does not support a direct explanation.", "marketContext": [ { "title": "Bitcoin market update", "explanation": "Bitcoin\u2019s recovery from session lows was reported within the window. Subsequent spot and options observations are associative only, leaving no clear link to the call-rich skew rotation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "6c229768-8418-4898-be46-c32514acb779" ] } ], "newsEvidenceIds": [ "6c229768-8418-4898-be46-c32514acb779" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 39.57%, 6.10 volatility points above seven-day realised volatility of 33.47%; 24-hour realised volatility was 27.74% and 30-day realised volatility was 38.06%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.87 volatility points to 38.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.17 volatility points to 40.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.25% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.86 volatility points at 1W, to 39.57%.", "tenor": "1W", "value": 2.86 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 9, "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": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" } ], "events": [ { "event_cluster_id": "market-event-048f45c94b94", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "primary_article": { "id": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-048f45c94b94", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "primary_article": { "id": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV rose 2.86 volatility points to 39.57%, a notable move at the 77th percentile among 137 comparable historical observations. At the cutoff, realised volatility measured 27.74% over 24 hours, 33.47% over seven days and 38.06% over 30 days. Front-end ATM IV averaged 38.67%, +1.87 points from the prior snapshot, while the long end averaged 40.12%, +0.17 points. 1W RR25 moved 1.52 volatility points toward calls to 1.31%, leaving calls richer than puts. 1M BF25 rose 0.22 volatility points to 2.37%. The nearest eligible forward, 11SEP26, fell $185.98 (-0.24%) to $78,643.03. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "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 16:30 UTC cutoff, 1W ATM IV was 39.57%, 6.10 volatility points above seven-day realised volatility of 33.47%; 24-hour realised volatility was 27.74% and 30-day realised volatility was 38.06%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.87 volatility points to 38.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.17 volatility points to 40.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.25% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.86 volatility points at 1W, to 39.57%.", "tenor": "1W", "value": 2.86 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.27, "rr25Change": 0.63, "bf25Change": 0.13, "largestAtmMove": { "tenor": "1W", "current": 39.57, "previous": 36.71, "change": 2.86, "historicalSignificance": { "absoluteMove": 2.86, "movePercentile30d": 60.0, "movePercentileFullHistory": 76.6, "currentLevelPercentileFullHistory": 81.9, "classificationPercentile": 76.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 } }, "frontEndAverageAtm": { "current": 38.67, "previous": 36.8, "change": 1.87 }, "longEndAverageAtm": { "current": 40.12, "previous": 39.95, "change": 0.17 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.31, "previous": -0.21, "change": 1.52, "historicalSignificance": { "absoluteMove": 1.52, "movePercentile30d": 66.7, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 94.9, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.37, "previous": 2.15, "change": 0.22, "historicalSignificance": { "absoluteMove": 0.22, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.0, "currentLevelPercentileFullHistory": 72.5, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 2.646, "current": 78643.03, "previous": 78829.01, "change": -185.98, "percentChange": -0.24 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789489800414, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.57, "previous": 36.71, "change": 2.86, "percentChange": 7.79 }, "rr25": { "current": 1.31, "previous": -0.21, "change": 1.52, "percentChange": 723.81 }, "bf25": { "current": 1.87, "previous": 1.67, "change": 0.2, "percentChange": 11.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.86, "movePercentile30d": 60.0, "movePercentileFullHistory": 76.6, "currentLevelPercentileFullHistory": 81.9, "classificationPercentile": 76.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 }, "rr25": { "absoluteMove": 1.52, "movePercentile30d": 66.7, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 94.9, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.6, "currentLevelPercentileFullHistory": 51.4, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 } } }, { "tenor": "2W", "targetExpiry": 1790094600414, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.5, "previous": 36.72, "change": 1.78, "percentChange": 4.85 }, "rr25": { "current": 0.87, "previous": 0.05, 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0.307 ] }, { "label": "25JUN27", "values": [ 0.3412, 0.3268, 0.3127, 0.299, 0.2857, 0.2729, 0.2605, 0.2484, 0.2369, 0.2258, 0.2151, 0.2049, 0.1952, 0.1858, 0.1771, 0.1688, 0.1609, 0.1536, 0.1468, 0.1404, 0.1346, 0.1292, 0.1243, 0.1199, 0.1159, 0.1124, 0.1094, 0.1068, 0.1047, 0.1029, 0.1016, 0.1007, 0.1003, 0.1002, 0.1005, 0.1012, 0.1022, 0.1035, 0.1052, 0.1071, 0.1095 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich as front-end skew jumps", "standfirst": "Bitcoin one-week RR25 rose 1.52 volatility points to 1.31%, leaving call-side volatility richer than put-side volatility after the 16:30 UTC cutoff. One-week ATM IV simultaneously rose 2.86 points to 39.57%, while Bitcoin spot fell 0.24% over 24 hours. DerivaSys data put one-week implied volatility 6.10 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-08", "headline": "Bitcoin skew moves decisively toward calls", "summary": "One-week skew and implied volatility rose as Bitcoin\u2019s nearest forward edged lower.", "macro": { "summary": "No qualifying macro event was retained.", "events": [] }, "crypto": { "summary": "Bitcoin recovered from session lows as oil prices pulled back; timing alone does not establish a link.", "events": [ { "eventId": "6c229768-8418-4898-be46-c32514acb779", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00" } ] } } ] }, "headline": "Bitcoin options turn call-rich as front-end skew jumps", "standfirst": "Bitcoin one-week RR25 rose 1.52 volatility points to 1.31%, leaving call-side volatility richer than put-side volatility after the 16:30 UTC cutoff. One-week ATM IV simultaneously rose 2.86 points to 39.57%, while Bitcoin spot fell 0.24% over 24 hours. DerivaSys data put one-week implied volatility 6.10 points above 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): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "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 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }