{ "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:31:29+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316109, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306029, "timestamp": "2026-09-08T16:30:00+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": "2026-09-09T16:30:00+00:00", "spotWindowStart": "2026-09-08T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.02, "rv24hPercent": 37.01, "rv7dPercent": 33.07, "rv30dPercent": 38.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 40.47, "oneWeekIvMinus7dRvPoints": 7.4, "oneWeekIvMinus24hRvPoints": 3.46, "oneWeekIvMinus30dRvPoints": 2.05 }, "fitQuality": { "currentObjective": 0.05157602, "previousObjective": 0.05668325, "currentLiveError": 73.31170107, "previousLiveError": 92.76118905 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s one-week convexity increase accompanies a firmer front end", "executiveSummary": "Bitcoin’s one-week BF25 reached 2.12% after a 0.25-volatility-point increase, while front-end ATM IV moved higher across the short dated curve. The one-week ATM IV level remained above realised volatility at the cutoff.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Bitcoin’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 40.47%, 7.40 volatility points above seven-day realised volatility of 33.07%; 24-hour realised volatility was 37.01% and 30-day realised volatility was 38.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.69 volatility points to 39.36% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points to 40.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.08 volatility points to 0.34% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.90 volatility points at 1W, to 40.47%.", "tenor": "1W", "value": 0.9 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "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": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "1W ATM IV rose 0.90 volatility points to 40.47%, a routine move at the 31st percentile among 138 comparable historical observations. At the cutoff, realised volatility measured 37.01% over 24 hours, 33.07% over seven days and 38.42% over 30 days. Front-end ATM IV averaged 39.36%, +0.69 points from the prior snapshot, while the long end averaged 40.33%, +0.21 points. 1W RR25 moved 0.53 volatility points toward puts to 0.78%, leaving calls richer than puts. 1W BF25 rose 0.25 volatility points to 2.12%. The nearest eligible forward, 12SEP26, fell $20.22 (-0.03%) to $78,631.38. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 103, "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 40.47%, 7.40 volatility points above seven-day realised volatility of 33.07%; 24-hour realised volatility was 37.01% and 30-day realised volatility was 38.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.69 volatility points to 39.36% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points to 40.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.08 volatility points to 0.34% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.90 volatility points at 1W, to 40.47%.", "tenor": "1W", "value": 0.9 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.5, "rr25Change": -0.08, "bf25Change": 0.14, "largestAtmMove": { "tenor": "1W", "current": 40.47, "previous": 39.57, "change": 0.9, "historicalSignificance": { "absoluteMove": 0.9, "movePercentile30d": 26.7, "movePercentileFullHistory": 31.2, "currentLevelPercentileFullHistory": 82.7, "classificationPercentile": 31.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } }, "frontEndAverageAtm": { "current": 39.36, "previous": 38.67, "change": 0.69 }, "longEndAverageAtm": { "current": 40.33, "previous": 40.12, "change": 0.21 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.78, "previous": 1.31, "change": -0.53, "historicalSignificance": { "absoluteMove": 0.53, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.7, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 37.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.12, "previous": 1.87, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": 70.0, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 70.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } }, "nearestEligibleForwardMove": { "label": "12SEP26", "daysToExpiry": 2.646, "current": 78631.38, "previous": 78651.6, "change": -20.22, "percentChange": -0.03 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.47, "previous": 39.57, "change": 0.9, "percentChange": 2.27 }, "rr25": { "current": 0.78, "previous": 1.31, "change": -0.53, "percentChange": -40.46 }, "bf25": { "current": 2.12, "previous": 1.87, "change": 0.25, "percentChange": 13.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.9, "movePercentile30d": 26.7, "movePercentileFullHistory": 31.2, "currentLevelPercentileFullHistory": 82.7, "classificationPercentile": 31.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.53, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.7, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 37.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": 70.0, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 70.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "2W", "targetExpiry": 1790181000718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.22, "previous": 38.5, "change": 0.72, "percentChange": 1.87 }, "rr25": { "current": 0.86, "previous": 0.87, "change": -0.01, "percentChange": -1.15 }, "bf25": { "current": 2.08, "previous": 1.91, "change": 0.17, "percentChange": 8.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.72, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 82.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 0.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 66.7, "movePercentileFullHistory": 56.5, "currentLevelPercentileFullHistory": 61.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "1M", "targetExpiry": 1791563400718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.4, "previous": 37.95, "change": 0.45, "percentChange": 1.19 }, "rr25": { "current": 0.59, "previous": 0.59, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 2.43, "previous": 2.37, "change": 0.06, "percentChange": 2.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": 36.7, "movePercentileFullHistory": 31.9, "currentLevelPercentileFullHistory": 74.8, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 93.5, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 43.3, "movePercentileFullHistory": 34.8, "currentLevelPercentileFullHistory": 74.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "3M", "targetExpiry": 1796833800718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.56, "previous": 39.36, "change": 0.2, "percentChange": 0.51 }, "rr25": { "current": -0.14, "previous": -0.3, "change": 0.16, "percentChange": 53.33 }, "bf25": { "current": 2.58, "previous": 2.38, "change": 0.2, "percentChange": 8.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.2, "movePercentile30d": 33.3, "movePercentileFullHistory": 28.3, "currentLevelPercentileFullHistory": 69.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 33.3, "movePercentileFullHistory": 29.0, "currentLevelPercentileFullHistory": 95.7, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": 83.3, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "6M", "targetExpiry": 1804696200718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.33, "previous": 40.12, "change": 0.21, "percentChange": 0.52 }, "rr25": { "current": -0.37, "previous": -0.37, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 2.71, "previous": 2.71, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.1, "currentLevelPercentileFullHistory": 23.7, "classificationPercentile": 47.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 0.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 4.3, "currentLevelPercentileFullHistory": 66.9, "classificationPercentile": 4.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "9M", "targetExpiry": 1812558600718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.34, "previous": 41.29, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": -0.3, "previous": -0.29, "change": -0.01, "percentChange": -3.45 }, "bf25": { "current": 2.84, "previous": 2.85, "change": -0.01, "percentChange": -0.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 13.3, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 13.7, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.6, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.4, "currentLevelPercentileFullHistory": 82.0, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "1Y", "targetExpiry": 1820507400718, "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": "10SEP26", "expiry": 1789027200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78602.74, "previous": 78632.18, "change": -29.44, "percentChange": -0.04 }, "atmIv": { "current": 34.52, "previous": 36.19, "change": -1.67, "percentChange": -4.61 }, "rr25": { "current": 0.37, "previous": 2.2, "change": -1.83, "percentChange": -83.18 }, "bf25": { "current": 1.75, "previous": 1.36, "change": 0.39, "percentChange": 28.68 }, "svi": { "a": { "current": -0.0219, "previous": -0.0417, "change": 0.0198, "percentChange": 47.43 }, "b": { "current": 0.0687, "previous": 0.0814, "change": -0.0127, "percentChange": -15.59 }, "rho": { "current": 0.0138, "previous": -0.0015, "change": 0.0153, "percentChange": 1045.71 }, "m": { "current": 0.0035, "previous": -0.0139, "change": 0.0175, "percentChange": 125.38 }, "sigma": { "current": 0.3221, "previous": 0.5192, "change": -0.1971, "percentChange": -37.97 } }, "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": [ 215.3586, 206.1967, 196.8933, 187.4488, 177.8649, 168.1444, 158.2921, 148.3151, 138.2238, 128.0322, 117.76, 107.4347, 97.0946, 86.7948, 76.6172, 66.6882, 57.2118, 48.5307, 41.2253, 36.2036, 34.5219, 36.6605, 42.0349, 49.582, 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0.0231, 0.0237, 0.024, 0.0239, 0.0234, 0.0226, 0.0216, 0.0204, 0.019, 0.0175, 0.0158, 0.0142, 0.0124, 0.0107, 0.0091, 0.0075, 0.0061, 0.0049, 0.0037, 0.0028, 0.0022, 0.0019, 0.0017, 0.0019, 0.0025, 0.0033, 0.0045, 0.0061, 0.0081, 0.0105, 0.0132 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options add convexity as front-end volatility firms", "standfirst": "Bitcoin one-week BF25 increased 0.25 volatility points to 2.12%, the day’s notable surface adjustment, while one-week ATM IV rose 0.90 points to 40.47%. The BF25 measure captures the relative richness of options away from the centre of the distribution. DerivaSys data showed front-end ATM IV averaging 39.36%, up 0.69 points; Bitcoin’s 24-hour spot-index return was 0.02%, and one-week implied volatility remained 7.40 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-09", "headline": "Bitcoin convexity rises with volatility", "summary": "One-week BF25 increased while front-end ATM IV strengthened and call-side richness narrowed.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Bitcoin options add convexity as front-end volatility firms", "standfirst": "Bitcoin one-week BF25 increased 0.25 volatility points to 2.12%, the day’s notable surface adjustment, while one-week ATM IV rose 0.90 points to 40.47%. The BF25 measure captures the relative richness of options away from the centre of the distribution. DerivaSys data showed front-end ATM IV averaging 39.36%, up 0.69 points; Bitcoin’s 24-hour spot-index return was 0.02%, and one-week implied volatility remained 7.40 points above seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 5.53, at the 89.5 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 5.53, at the 89.5 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 38.47, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 22.74999973297119, "ivRatio": 2.4472009762421654, "cryptoRealisedVol20d": 47.167727263541934, "spxRealisedVol20": 8.535776328313373, "rvSpread": 38.63195093522856, "rvRatio": 5.525886041212849, "rvSpreadPercentile": 81.22270742358079, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 89.51965065502183, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": 0.18608566531643414, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.34148166011864517, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }