{ "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:20+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326190, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316109, "timestamp": "2026-09-09T16:30:00+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": "2026-09-10T16:30:00+00:00", "spotWindowStart": "2026-09-09T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -2.3, "rv24hPercent": 32.58, "rv7dPercent": 32.18, "rv30dPercent": 38.7, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 38.99, "oneWeekIvMinus7dRvPoints": 6.81, "oneWeekIvMinus24hRvPoints": 6.41, "oneWeekIvMinus30dRvPoints": 0.29 }, "fitQuality": { "currentObjective": 0.07127466, "previousObjective": 0.05157602, "currentLiveError": 104.98304503, "previousLiveError": 73.31170107 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "14SEP26", "2OCT26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s lower front-end volatility came with a defensive skew shift", "executiveSummary": "The key change was the one-month RR25 reversal from 0.59% to minus 0.38%, making put-side volatility richer than call-side volatility. One-week implied volatility remained 6.81 points above seven-day realised volatility at the cutoff.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 38.99%, 6.81 volatility points above seven-day realised volatility of 32.18%; 24-hour realised volatility was 32.58% and 30-day realised volatility was 38.70%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 38.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.26 volatility points to 40.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.18% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 volatility points to 2.28% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.48 volatility points at 1W, to 38.99%.", "tenor": "1W", "value": -1.48 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "MACRO" ], "completedScopes": [ "BTC", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "59f33147f8638cb631f5efad2265b473ded7321de3a09ebdcb14dad511e0b7e1" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 4, "publishersRepresented": 3, "discoveryEventsScanned": 4, "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": 4, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 4, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV fell 1.48 volatility points to 38.99%, a routine move at the 47th percentile among 30 comparable historical observations. At the cutoff, realised volatility measured 32.58% over 24 hours, 32.18% over seven days and 38.70% over 30 days. Front-end ATM IV averaged 38.22%, -1.14 points from the prior snapshot, while the long end averaged 40.07%, -0.26 points. 1M RR25 moved 0.97 volatility points toward puts to -0.38%, leaving puts richer than calls. 1M BF25 fell 0.19 volatility points to 2.24%. The nearest eligible forward, 13SEP26, fell $1,712.29 (-2.18%) to $76,924.56. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 38.99%, 6.81 volatility points above seven-day realised volatility of 32.18%; 24-hour realised volatility was 32.58% and 30-day realised volatility was 38.70%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 38.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.26 volatility points to 40.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.18% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 volatility points to 2.28% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.48 volatility points at 1W, to 38.99%.", "tenor": "1W", "value": -1.48 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.83, "rr25Change": -0.52, "bf25Change": -0.1, "largestAtmMove": { "tenor": "1W", "current": 38.99, "previous": 40.47, "change": -1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } }, "frontEndAverageAtm": { "current": 38.22, "previous": 39.36, "change": -1.14 }, "longEndAverageAtm": { "current": 40.07, "previous": 40.33, "change": -0.26 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": -0.38, "previous": 0.59, "change": -0.97, "historicalSignificance": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 81.3, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 81.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.24, "previous": 2.43, "change": -0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": 80.0, "movePercentileFullHistory": 77.0, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } }, "nearestEligibleForwardMove": { "label": "13SEP26", "daysToExpiry": 2.646, "current": 76924.56, "previous": 78636.85, "change": -1712.29, "percentChange": -2.18 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789662600492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.99, "previous": 40.47, "change": -1.48, "percentChange": -3.66 }, "rr25": { "current": 0.79, "previous": 0.78, "change": 0.01, "percentChange": 1.28 }, "bf25": { "current": 2.05, "previous": 2.12, "change": -0.07, "percentChange": -3.3 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.48, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 90.0, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 26.7, "movePercentileFullHistory": 27.3, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 27.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "2W", "targetExpiry": 1790267400492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.18, "previous": 39.22, "change": -1.04, "percentChange": -2.65 }, "rr25": { "current": 0.04, "previous": 0.86, "change": -0.82, "percentChange": -95.35 }, "bf25": { "current": 2.06, "previous": 2.08, "change": -0.02, "percentChange": -0.96 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.04, "movePercentile30d": 46.7, "movePercentileFullHistory": 45.3, "currentLevelPercentileFullHistory": 76.4, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.82, "movePercentile30d": 63.3, "movePercentileFullHistory": 60.4, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 7.2, "currentLevelPercentileFullHistory": 59.3, "classificationPercentile": 7.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "1M", "targetExpiry": 1791649800492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.49, "previous": 38.4, "change": -0.91, "percentChange": -2.37 }, "rr25": { "current": -0.38, "previous": 0.59, "change": -0.97, "percentChange": -164.41 }, "bf25": { "current": 2.24, "previous": 2.43, "change": -0.19, "percentChange": -7.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.91, "movePercentile30d": 56.7, "movePercentileFullHistory": 61.9, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 61.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 81.3, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 81.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 80.0, "movePercentileFullHistory": 77.0, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "3M", "targetExpiry": 1796920200492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.09, "previous": 39.56, "change": -0.47, "percentChange": -1.19 }, "rr25": { "current": -0.66, "previous": -0.14, "change": -0.52, "percentChange": -371.43 }, "bf25": { "current": 2.4, "previous": 2.58, "change": -0.18, "percentChange": -6.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 60.0, "movePercentileFullHistory": 66.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 66.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 66.7, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 90.7, "classificationPercentile": 70.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.7, "currentLevelPercentileFullHistory": 45.7, "classificationPercentile": 82.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "6M", "targetExpiry": 1804782600492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.07, "previous": 40.33, "change": -0.26, "percentChange": -0.64 }, "rr25": { "current": -0.68, "previous": -0.37, "change": -0.31, "percentChange": -83.78 }, "bf25": { "current": 2.66, "previous": 2.71, "change": -0.05, "percentChange": -1.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.26, "movePercentile30d": 46.7, "movePercentileFullHistory": 56.1, "currentLevelPercentileFullHistory": 13.6, "classificationPercentile": 56.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 53.3, "movePercentileFullHistory": 67.6, "currentLevelPercentileFullHistory": 90.7, "classificationPercentile": 67.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 45.3, "currentLevelPercentileFullHistory": 57.1, "classificationPercentile": 45.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "9M", "targetExpiry": 1812645000492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.04, "previous": 41.34, "change": -0.3, "percentChange": -0.73 }, "rr25": { "current": -0.64, "previous": -0.3, "change": -0.34, "percentChange": -113.33 }, "bf25": { "current": 2.78, "previous": 2.84, "change": -0.06, "percentChange": -2.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 56.7, "movePercentileFullHistory": 69.1, "currentLevelPercentileFullHistory": 3.6, "classificationPercentile": 69.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.9, "currentLevelPercentileFullHistory": 87.9, "classificationPercentile": 79.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 60.0, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 78.6, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "1Y", "targetExpiry": 1820593800492, "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": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00176945, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 76892.45, "previous": 78622.22, "change": -1729.77, "percentChange": -2.2 }, "atmIv": { "current": 32.4, "previous": 38.37, "change": -5.97, "percentChange": -15.56 }, "rr25": { "current": 0.25, "previous": 0.81, "change": -0.56, "percentChange": -69.14 }, "bf25": { 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-0.3965, -0.4052, -0.4139, -0.4224, -0.4309, -0.4394, -0.4477, -0.4558 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn more defensive as one-month put volatility rises", "standfirst": "Bitcoin one-month RR25 fell 0.97 volatility points to minus 0.38% over the observation window, shifting the relative price of puts above calls. The move was notable at the 81.3 percentile of comparable full-history observations. At the same cutoff, one-week ATM IV was 38.99%, down 1.48 points, while the Bitcoin spot-index return over 24 hours was minus 2.30%. DerivaSys data show a lower volatility level alongside a more defensive skew.", "days": [ { "reportDate": "2026-09-10", "headline": "Bitcoin skew turns toward puts", "summary": "One-month relative put-side volatility increased even as the front-end volatility level declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options turn more defensive as one-month put volatility rises", "standfirst": "Bitcoin one-month RR25 fell 0.97 volatility points to minus 0.38% over the observation window, shifting the relative price of puts above calls. The move was notable at the 81.3 percentile of comparable full-history observations. At the same cutoff, one-week ATM IV was 38.99%, down 1.48 points, while the Bitcoin spot-index return over 24 hours was minus 2.30%. DerivaSys data show a lower volatility level alongside a more defensive skew.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-to-SPX realised-volatility ratio was 4.72, at the 84.3 percentile across 230 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 4.72, at the 84.3 percentile across 230 prior observations.", "The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 37.95, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 21.490000915527347, "ivRatio": 2.305589435651894, "cryptoRealisedVol20d": 40.703591835523206, "spxRealisedVol20": 8.623791287785536, "rvSpread": 32.07980054773767, "rvRatio": 4.719918476363694, "rvSpreadPercentile": 65.65217391304348, "rvSpreadPercentileSampleCount": 230, "rvRatioPercentile": 84.34782608695652, "rvRatioPercentileSampleCount": 230, "returnCorrelation30": 0.2015972278096168, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3451552505117131, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }