{ "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:39:06+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336262, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326182, "timestamp": "2026-09-10T16:29:00+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": "2026-09-11T16:29:00+00:00", "spotWindowStart": "2026-09-10T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.0, "rv24hPercent": 47.59, "rv7dPercent": 31.16, "rv30dPercent": 39.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.34, "oneWeekIvMinus7dRvPoints": 5.18, "oneWeekIvMinus24hRvPoints": -11.25, "oneWeekIvMinus30dRvPoints": -3.08 }, "fitQuality": { "currentObjective": 0.03728441, "previousObjective": 0.07175173, "currentLiveError": 48.68627795, "previousLiveError": 101.69744676 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin front-end volatility falls as spot rises", "executiveSummary": "Bitcoin’s one-week ATM IV declined 2.65 volatility points to 36.34%, the principal surface move at the cutoff.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "rr25" ], "newsSummary": "No qualifying Bitcoin news item was retained for this window.", "marketContextSummary": "No retained news evidence supports a direct explanation for Bitcoin’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 36.34%, 5.18 volatility points above seven-day realised volatility of 31.16%; 24-hour realised volatility was 47.59% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.23 volatility points to 35.99% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.40 volatility points to 39.67% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.48 volatility points to -0.65% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.65 volatility points at 1W, to 36.34%.", "tenor": "1W", "value": -2.65 } ] }, "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": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 4, "hasMore": false, "nextCursor": null, "resultSha256": "cb837a5f6c41070e05aedb5ec7d0a462aa695db79e7b3d88ea03836b0fc57471" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 6, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 6, "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 2.65 volatility points to 36.34%, a notable move at the 71st percentile among 140 comparable historical observations. At the cutoff, realised volatility measured 47.59% over 24 hours, 31.16% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 35.99%, -2.23 points from the prior snapshot, while the long end averaged 39.67%, -0.40 points. 1W RR25 moved 0.68 volatility points toward puts to 0.11%, leaving calls richer than puts. 6M BF25 fell 0.17 volatility points to 2.49%. The nearest eligible forward, 14SEP26, rose $783.68 (+1.02%) to $77,738.67. 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 16:29 UTC cutoff, 1W ATM IV was 36.34%, 5.18 volatility points above seven-day realised volatility of 31.16%; 24-hour realised volatility was 47.59% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.23 volatility points to 35.99% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.40 volatility points to 39.67% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.48 volatility points to -0.65% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.65 volatility points at 1W, to 36.34%.", "tenor": "1W", "value": -2.65 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.51, "rr25Change": -0.48, "bf25Change": -0.13, "largestAtmMove": { "tenor": "1W", "current": 36.34, "previous": 38.99, "change": -2.65, "historicalSignificance": { "absoluteMove": 2.65, "movePercentile30d": 53.3, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 61.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } }, "frontEndAverageAtm": { "current": 35.99, "previous": 38.22, "change": -2.23 }, "longEndAverageAtm": { "current": 39.67, "previous": 40.07, "change": -0.4 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.11, "previous": 0.79, "change": -0.68, "historicalSignificance": { "absoluteMove": 0.68, "movePercentile30d": 40.0, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 46.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.49, "previous": 2.66, "change": -0.17, "historicalSignificance": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 92.9, "label": "large", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } }, "nearestEligibleForwardMove": { "label": "14SEP26", "daysToExpiry": 2.647, "current": 77738.67, "previous": 76954.99, "change": 783.68, "percentChange": 1.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.34, "previous": 38.99, "change": -2.65, "percentChange": -6.8 }, "rr25": { "current": 0.11, "previous": 0.79, "change": -0.68, "percentChange": -86.08 }, "bf25": { "current": 1.89, "previous": 2.05, "change": -0.16, "percentChange": -7.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 53.3, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 61.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.68, "movePercentile30d": 40.0, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 46.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 50.0, "movePercentileFullHistory": 51.4, "currentLevelPercentileFullHistory": 54.6, "classificationPercentile": 51.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "2W", "targetExpiry": 1790353740874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.54, "previous": 38.18, "change": -2.64, "percentChange": -6.91 }, "rr25": { "current": -0.61, "previous": 0.04, "change": -0.65, "percentChange": -1625.0 }, "bf25": { "current": 1.95, "previous": 2.06, "change": -0.11, "percentChange": -5.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.64, "movePercentile30d": 76.7, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 47.5, "classificationPercentile": 86.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 49.3, "currentLevelPercentileFullHistory": 86.5, "classificationPercentile": 49.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.1, "currentLevelPercentileFullHistory": 51.8, "classificationPercentile": 42.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "1M", "targetExpiry": 1791736140874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.08, "previous": 37.49, "change": -1.41, "percentChange": -3.76 }, "rr25": { "current": -0.9, "previous": -0.38, "change": -0.52, "percentChange": -136.84 }, "bf25": { "current": 2.08, "previous": 2.24, "change": -0.16, "percentChange": -7.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.41, "movePercentile30d": 76.7, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 44.7, "classificationPercentile": 78.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 36.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 73.3, "movePercentileFullHistory": 72.9, "currentLevelPercentileFullHistory": 35.5, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "3M", "targetExpiry": 1797006540874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.66, "previous": 39.09, "change": -0.43, "percentChange": -1.1 }, "rr25": { "current": -0.98, "previous": -0.66, "change": -0.32, "percentChange": -48.48 }, "bf25": { "current": 2.34, "previous": 2.4, "change": -0.06, "percentChange": -2.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": 53.3, "movePercentileFullHistory": 63.6, "currentLevelPercentileFullHistory": 46.1, "classificationPercentile": 63.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.32, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.7, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 50.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 26.7, "movePercentileFullHistory": 35.7, "currentLevelPercentileFullHistory": 42.6, "classificationPercentile": 35.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "6M", "targetExpiry": 1804868940874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.67, "previous": 40.07, "change": -0.4, "percentChange": -1.0 }, "rr25": { "current": -0.89, "previous": -0.68, "change": -0.21, "percentChange": -30.88 }, "bf25": { "current": 2.49, "previous": 2.66, "change": -0.17, "percentChange": -6.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.4, "movePercentile30d": 66.7, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 3.5, "classificationPercentile": 73.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 51.4, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 51.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 92.9, "label": "large", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "9M", "targetExpiry": 1812731340874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.65, "previous": 41.04, "change": -0.39, "percentChange": -0.95 }, "rr25": { "current": -0.84, "previous": -0.64, "change": -0.2, "percentChange": -31.25 }, "bf25": { "current": 2.66, "previous": 2.78, "change": -0.12, "percentChange": -4.32 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.39, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 78.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 40.0, "movePercentileFullHistory": 55.0, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 55.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.7, "currentLevelPercentileFullHistory": 57.4, "classificationPercentile": 80.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "1Y", "targetExpiry": 1820680140874, "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": "12SEP26", "expiry": 1789200000000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 77715.26, "previous": 76941.91, "change": 773.35, "percentChange": 1.01 }, "atmIv": { "current": 32.45, "previous": 41.11, "change": -8.66, "percentChange": -21.07 }, "rr25": { "current": -0.23, "previous": 0.8, "change": -1.03, "percentChange": -128.75 }, "bf25": { 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-0.4649, -0.4732, -0.4819 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "headline": "Bitcoin options see one-week implied volatility fall", "standfirst": "Bitcoin one-week ATM IV fell 2.65 volatility points to 36.34% over the observation window, even as the 24-hour spot-index return was positive 1.00%. Derivasys data show the move was notable against comparable history. One-week implied volatility nevertheless remained 5.18 points above seven-day realised volatility, while 24-hour realised volatility was higher.", "days": [ { "reportDate": "2026-09-11", "headline": "Bitcoin front-end volatility eases", "summary": "Bitcoin short-dated implied volatility fell while the spot index posted a positive return.", "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 see one-week implied volatility fall", "standfirst": "Bitcoin one-week ATM IV fell 2.65 volatility points to 36.34% over the observation window, even as the 24-hour spot-index return was positive 1.00%. Derivasys data show the move was notable against comparable history. One-week implied volatility nevertheless remained 5.18 points above seven-day realised volatility, while 24-hour realised volatility was higher.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and BTC context. The crypto-to-SPX realised-volatility ratio was 3.83, at the 67.1 percentile across 231 prior observations. The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 3.83, at the 67.1 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 37.49, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 19.64999984741211, "ivRatio": 2.101457381129095, "cryptoRealisedVol20d": 33.42207414645543, "spxRealisedVol20": 8.729045135983702, "rvSpread": 24.693029010471726, "rvRatio": 3.8288350702506704, "rvSpreadPercentile": 38.96103896103896, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 67.0995670995671, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.20262175096134796, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.30711948613451234, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }