{ "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:34:29+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346338, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 336262, "timestamp": "2026-09-11T16:29:00+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": "2026-09-12T16:29:00+00:00", "spotWindowStart": "2026-09-11T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.37, "rv24hPercent": 20.73, "rv7dPercent": 31.42, "rv30dPercent": 39.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.76, "oneWeekIvMinus7dRvPoints": 3.34, "oneWeekIvMinus24hRvPoints": 14.03, "oneWeekIvMinus30dRvPoints": -4.66 }, "fitQuality": { "currentObjective": 0.03395337, "previousObjective": 0.03728441, "currentLiveError": 59.71846127, "previousLiveError": 48.68627795 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week skew moves into put-rich territory", "executiveSummary": "Bitcoin options ended the 24-hour window with one-week RR25 at -0.37%, after a 0.48-point move toward puts. The shift occurred alongside a 1.11-point decline in average front-end ATM IV.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item provides a direct explanation for the options move; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 34.76%, 3.34 volatility points above seven-day realised volatility of 31.42%; 24-hour realised volatility was 20.73% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.11 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.48 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.08 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.03 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.58 volatility points at 1W, to 34.76%.", "tenor": "1W", "value": -1.58 } ] }, "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": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "128d2a4d5a28dfcb2810bf9b1cdba4d50d47548640e3c588765ec36ae57b038c" } ] }, { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 21, "hasMore": false, "nextCursor": null, "resultSha256": "f8daf1ef8eab2044d552a73e1ca34f9550e33100d676725559a61f313e0e908f" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "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 1.58 volatility points to 34.76%, a routine move at the 48th percentile among 141 comparable historical observations. At the cutoff, realised volatility measured 20.73% over 24 hours, 31.42% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 34.87%, -1.11 points from the prior snapshot, while the long end averaged 39.19%, -0.48 points. 1W RR25 moved 0.48 volatility points toward puts to -0.37%, leaving puts richer than calls. 1W BF25 fell 0.12 volatility points to 1.77%. The nearest eligible forward, 15SEP26, fell $372.23 (-0.48%) to $77,378.15. 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 34.76%, 3.34 volatility points above seven-day realised volatility of 31.42%; 24-hour realised volatility was 20.73% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.11 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.48 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.08 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.03 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.58 volatility points at 1W, to 34.76%.", "tenor": "1W", "value": -1.58 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.9, "rr25Change": 0.08, "bf25Change": -0.03, "largestAtmMove": { "tenor": "1W", "current": 34.76, "previous": 36.34, "change": -1.58, "historicalSignificance": { "absoluteMove": 1.58, "movePercentile30d": 46.7, "movePercentileFullHistory": 48.2, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 48.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } }, "frontEndAverageAtm": { "current": 34.87, "previous": 35.99, "change": -1.11 }, "longEndAverageAtm": { "current": 39.19, "previous": 39.67, "change": -0.48 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.37, "previous": 0.11, "change": -0.48, "historicalSignificance": { "absoluteMove": 0.48, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.2, "currentLevelPercentileFullHistory": 84.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.77, "previous": 1.89, "change": -0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 44.7, "currentLevelPercentileFullHistory": 37.3, "classificationPercentile": 44.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } }, "nearestEligibleForwardMove": { "label": "15SEP26", "daysToExpiry": 2.647, "current": 77378.15, "previous": 77750.38, "change": -372.23, "percentChange": -0.48 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.76, "previous": 36.34, "change": -1.58, "percentChange": -4.35 }, "rr25": { "current": -0.37, "previous": 0.11, "change": -0.48, "percentChange": -436.36 }, "bf25": { "current": 1.77, "previous": 1.89, "change": -0.12, "percentChange": -6.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.58, "movePercentile30d": 46.7, "movePercentileFullHistory": 48.2, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 48.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.2, "currentLevelPercentileFullHistory": 84.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 44.7, "currentLevelPercentileFullHistory": 37.3, "classificationPercentile": 44.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "2W", "targetExpiry": 1790440140455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.46, "previous": 35.54, "change": -1.08, "percentChange": -3.04 }, "rr25": { "current": -0.5, "previous": -0.61, "change": 0.11, "percentChange": 18.03 }, "bf25": { "current": 1.88, "previous": 1.95, "change": -0.07, "percentChange": -3.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.08, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.8, "currentLevelPercentileFullHistory": 33.1, "classificationPercentile": 46.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 86.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "1M", "targetExpiry": 1791822540455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.4, "previous": 36.08, "change": -0.68, "percentChange": -1.88 }, "rr25": { "current": -0.75, "previous": -0.9, "change": 0.15, "percentChange": 16.67 }, "bf25": { "current": 2.11, "previous": 2.08, "change": 0.03, "percentChange": 1.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.68, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.8, "currentLevelPercentileFullHistory": 38.0, "classificationPercentile": 46.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.4, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 26.7, "movePercentileFullHistory": 19.9, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "3M", "targetExpiry": 1797092940455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.96, "previous": 38.66, "change": -0.7, "percentChange": -1.81 }, "rr25": { "current": -0.51, "previous": -0.98, "change": 0.47, "percentChange": 47.96 }, "bf25": { "current": 2.27, "previous": 2.34, "change": -0.07, "percentChange": -2.99 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.7, "movePercentile30d": 66.7, "movePercentileFullHistory": 75.2, "currentLevelPercentileFullHistory": 31.0, "classificationPercentile": 75.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 91.5, "classificationPercentile": 64.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 36.7, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 32.4, "classificationPercentile": 51.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "6M", "targetExpiry": 1804955340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.19, "previous": 39.67, "change": -0.48, "percentChange": -1.21 }, "rr25": { "current": -0.72, "previous": -0.89, "change": 0.17, "percentChange": 19.1 }, "bf25": { "current": 2.58, "previous": 2.49, "change": 0.09, "percentChange": 3.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.4, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 79.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": 26.7, "movePercentileFullHistory": 44.0, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 44.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.1, "currentLevelPercentileFullHistory": 47.9, "classificationPercentile": 68.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "9M", "targetExpiry": 1812817740455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.39, "previous": 40.65, "change": -0.26, "percentChange": -0.64 }, "rr25": { "current": -0.62, "previous": -0.84, "change": 0.22, "percentChange": 26.19 }, "bf25": { "current": 2.72, "previous": 2.66, "change": 0.06, "percentChange": 2.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.26, "movePercentile30d": 50.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 1.4, "classificationPercentile": 64.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 40.0, "movePercentileFullHistory": 58.9, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 58.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 56.7, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 67.6, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "1Y", "targetExpiry": 1820766540455, "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": "13SEP26", "expiry": 1789286400000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 77355.45, "previous": 77730.55, "change": -375.1, "percentChange": -0.48 }, "atmIv": { "current": 15.13, "previous": 24.71, "change": -9.58, "percentChange": -38.77 }, "rr25": { "current": 0.16, "previous": 0.17, "change": -0.01, "percentChange": -5.88 }, "bf25": { "current": 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-0.3109, -0.2823, -0.2543, -0.2268, -0.2 ] }, { "label": "26MAR27", "values": [ -0.3655, -0.3786, -0.391, -0.4029, -0.4141, -0.4246, -0.4344, -0.4434, -0.4516, -0.4589, -0.4653, -0.4709, -0.4754, -0.479, -0.4815, -0.4832, -0.4838, -0.4834, -0.4821, -0.4798, -0.4766, -0.4723, -0.4672, -0.4612, -0.4544, -0.4467, -0.4382, -0.4291, -0.4192, -0.4087, -0.3977, -0.3861, -0.374, -0.3615, -0.3487, -0.3355, -0.322, -0.3083, -0.2945, -0.2805, -0.2665 ] }, { "label": "25JUN27", "values": [ -0.341, -0.3397, -0.3384, -0.337, -0.3356, -0.334, -0.3323, -0.3304, -0.3283, -0.3261, -0.3236, -0.3209, -0.3181, -0.3148, -0.3114, -0.3078, -0.3038, -0.2996, -0.295, -0.2901, -0.285, -0.2795, -0.2736, -0.2674, -0.2609, -0.254, -0.2468, -0.2392, -0.2313, -0.2231, -0.2146, -0.2057, -0.1966, -0.1871, -0.1772, -0.1671, -0.1568, -0.1461, -0.1352, -0.1241, -0.1126 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn more defensive as one-week skew shifts", "standfirst": "Bitcoin one-week RR25 fell 0.48 volatility points to -0.37%, shifting relative volatility toward puts and leaving puts richer than calls at the cutoff. Bitcoin’s 24-hour spot-index return was -0.37%, while one-week ATM IV of 34.76% remained 3.34 points above seven-day realised volatility, according to DerivaSys data.", "days": [ { "reportDate": "2026-09-12", "headline": "Bitcoin skew tilts toward puts", "summary": "One-week relative put-side volatility increased, with no qualifying market-moving news retained. No additional qualifying evidence was identified for that session.", "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-week skew shifts", "standfirst": "Bitcoin one-week RR25 fell 0.48 volatility points to -0.37%, shifting relative volatility toward puts and leaving puts richer than calls at the cutoff. Bitcoin’s 24-hour spot-index return was -0.37%, while one-week ATM IV of 34.76% remained 3.34 points above seven-day realised volatility, according to DerivaSys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned BTC volatility context. The crypto-minus-SPX realised-volatility spread was 24.32 points, at the 36.6 percentile across 232 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 24.32 points, at the 36.6 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 35.17, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 19.32999984741211, "ivRatio": 2.220328261439697, "cryptoRealisedVol20d": 33.31220374566346, "spxRealisedVol20": 8.992020679301438, "rvSpread": 24.32018306636202, "rvRatio": 3.704640473341458, "rvSpreadPercentile": 36.63793103448276, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 62.06896551724138, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.16726767880446927, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.296114552075957, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252)." } }