{ "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:26+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356453, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346346, "timestamp": "2026-09-12T16:30:00+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": "2026-09-13T16:30:00+00:00", "spotWindowStart": "2026-09-12T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.18, "rv24hPercent": 15.53, "rv7dPercent": 31.14, "rv30dPercent": 39.26, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 38.1, "oneWeekIvMinus7dRvPoints": 6.96, "oneWeekIvMinus24hRvPoints": 22.57, "oneWeekIvMinus30dRvPoints": -1.16 }, "fitQuality": { "currentObjective": 0.13239087, "previousObjective": 0.03404787, "currentLiveError": 106.56768758, "previousLiveError": 60.99439653 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility rises above recent realised movement", "executiveSummary": "Bitcoin one-week ATM IV reached 38.10% after a 3.33-point increase, a notable move in the available history. The front-end lift contrasted with little movement in long-dated ATM IV, leaving the increase concentrated in near-term options.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "bf25" ], "newsSummary": "No qualifying Bitcoin or broader-market news context was retained.", "marketContextSummary": "No retained news event offers a direct explanation for the Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 38.10%, 6.96 volatility points above seven-day realised volatility of 31.14%; 24-hour realised volatility was 15.53% and 30-day realised volatility was 39.26%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.12 volatility points to 37.00% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 39.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.18 volatility points to -0.75% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.17 volatility points to 2.29% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.33 volatility points at 1W, to 38.10%.", "tenor": "1W", "value": 3.33 } ] }, "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": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 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 rose 3.33 volatility points to 38.10%, a notable move at the 82nd percentile among 142 comparable historical observations. At the cutoff, realised volatility measured 15.53% over 24 hours, 31.14% over seven days and 39.26% over 30 days. Front-end ATM IV averaged 37.00%, +2.12 points from the prior snapshot, while the long end averaged 39.30%, +0.11 points. 1W RR25 moved 0.41 volatility points toward puts to -0.77%, leaving puts richer than calls. 1W BF25 rose 0.35 volatility points to 2.11%. The nearest eligible forward, 16SEP26, fell $132.36 (-0.17%) to $77,250.67. 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 16:30 UTC cutoff, 1W ATM IV was 38.10%, 6.96 volatility points above seven-day realised volatility of 31.14%; 24-hour realised volatility was 15.53% and 30-day realised volatility was 39.26%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.12 volatility points to 37.00% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 39.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.18 volatility points to -0.75% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.17 volatility points to 2.29% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.33 volatility points at 1W, to 38.10%.", "tenor": "1W", "value": 3.33 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.35, "rr25Change": -0.18, "bf25Change": 0.17, "largestAtmMove": { "tenor": "1W", "current": 38.1, "previous": 34.77, "change": 3.33, "historicalSignificance": { "absoluteMove": 3.33, "movePercentile30d": 63.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } }, "frontEndAverageAtm": { "current": 37.0, "previous": 34.88, "change": 2.12 }, "longEndAverageAtm": { "current": 39.3, "previous": 39.19, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.77, "previous": -0.36, "change": -0.41, "historicalSignificance": { "absoluteMove": 0.41, "movePercentile30d": 36.7, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 82.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.11, "previous": 1.76, "change": 0.35, "historicalSignificance": { "absoluteMove": 0.35, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } }, "nearestEligibleForwardMove": { "label": "16SEP26", "daysToExpiry": 2.646, "current": 77250.67, "previous": 77383.03, "change": -132.36, "percentChange": -0.17 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.1, "previous": 34.77, "change": 3.33, "percentChange": 9.58 }, "rr25": { "current": -0.77, "previous": -0.36, "change": -0.41, "percentChange": -113.89 }, "bf25": { "current": 2.11, "previous": 1.76, "change": 0.35, "percentChange": 19.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.33, "movePercentile30d": 63.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 36.7, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 82.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "2W", "targetExpiry": 1790526600558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.54, "previous": 34.46, "change": 2.08, "percentChange": 6.04 }, "rr25": { "current": -0.67, "previous": -0.5, "change": -0.17, "percentChange": -34.0 }, "bf25": { "current": 2.15, "previous": 1.88, "change": 0.27, "percentChange": 14.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 59.4, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": 23.3, "movePercentileFullHistory": 18.3, "currentLevelPercentileFullHistory": 84.6, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.27, "movePercentile30d": 76.7, "movePercentileFullHistory": 73.2, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 76.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "1M", "targetExpiry": 1791909000558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.36, "previous": 35.4, "change": 0.96, "percentChange": 2.71 }, "rr25": { "current": -0.88, "previous": -0.75, "change": -0.13, "percentChange": -17.33 }, "bf25": { "current": 2.28, "previous": 2.11, "change": 0.17, "percentChange": 8.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.96, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.1, "currentLevelPercentileFullHistory": 49.0, "classificationPercentile": 64.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.13, "movePercentile30d": 20.0, "movePercentileFullHistory": 16.2, "currentLevelPercentileFullHistory": 86.0, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "3M", "targetExpiry": 1797179400558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.23, "previous": 37.96, "change": 0.27, "percentChange": 0.71 }, "rr25": { "current": -0.65, "previous": -0.51, "change": -0.14, "percentChange": -27.45 }, "bf25": { "current": 2.33, "previous": 2.27, "change": 0.06, "percentChange": 2.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.27, "movePercentile30d": 33.3, "movePercentileFullHistory": 41.5, "currentLevelPercentileFullHistory": 37.1, "classificationPercentile": 41.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.14, "movePercentile30d": 30.0, "movePercentileFullHistory": 25.4, "currentLevelPercentileFullHistory": 90.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 26.7, "movePercentileFullHistory": 35.2, "currentLevelPercentileFullHistory": 42.7, "classificationPercentile": 35.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "6M", "targetExpiry": 1805041800558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.3, "previous": 39.19, "change": 0.11, "percentChange": 0.28 }, "rr25": { "current": -0.76, "previous": -0.72, "change": -0.04, "percentChange": -5.56 }, "bf25": { "current": 2.56, "previous": 2.58, "change": -0.02, "percentChange": -0.78 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": 20.0, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 26.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 3.3, "movePercentileFullHistory": 9.2, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 9.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 13.4, "currentLevelPercentileFullHistory": 45.5, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "9M", "targetExpiry": 1812904200558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.41, "previous": 40.39, "change": 0.02, "percentChange": 0.05 }, "rr25": { "current": -0.64, "previous": -0.62, "change": -0.02, "percentChange": -3.23 }, "bf25": { "current": 2.7, "previous": 2.72, "change": -0.02, "percentChange": -0.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.8, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 2.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 4.2, "currentLevelPercentileFullHistory": 87.4, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "1Y", "targetExpiry": 1820853000558, "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": "14SEP26", "expiry": 1789372800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 77221.48, "previous": 77360.02, "change": -138.54, "percentChange": -0.18 }, "atmIv": { "current": 28.08, "previous": 21.15, "change": 6.93, "percentChange": 32.77 }, "rr25": { "current": -1.45, "previous": 0.28, "change": -1.73, "percentChange": -617.86 }, "bf25": { 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0.0861, 0.0848, 0.0835, 0.082, 0.0805, 0.0788, 0.0771, 0.0752, 0.0732, 0.0712, 0.0689, 0.0666 ] }, { "label": "25JUN27", "values": [ -0.006, -0.0043, -0.0026, -0.001, 0.0004, 0.0018, 0.0031, 0.0041, 0.0052, 0.0061, 0.0069, 0.0076, 0.0082, 0.0086, 0.0089, 0.0092, 0.0093, 0.0093, 0.0092, 0.009, 0.0087, 0.0084, 0.0079, 0.0073, 0.0067, 0.006, 0.0051, 0.0043, 0.0034, 0.0025, 0.0015, 0.0004, -0.0006, -0.0017, -0.0028, -0.004, -0.0051, -0.0063, -0.0074, -0.0085, -0.0096 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options price a sharper near-term volatility premium", "standfirst": "Bitcoin one-week ATM IV rose 3.33 volatility points to 38.10% over the observation window, placing the short-dated volatility gauge at the 74.1 percentile of its available level history. The 24-hour spot-index return was -0.18%, while Bitcoin one-week ATM IV remained 6.96 points above seven-day realised volatility at the cutoff. DerivaSys data show the repricing concentrated at the front end: front-end ATM IV gained 2.12 points, versus a 0.11-point increase in the long-end average.", "days": [ { "reportDate": "2026-09-13", "headline": "Bitcoin volatility premium moves higher", "summary": "One-week implied volatility increased while remaining above the latest seven-day realised volatility measure.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options price a sharper near-term volatility premium", "standfirst": "Bitcoin one-week ATM IV rose 3.33 volatility points to 38.10% over the observation window, placing the short-dated volatility gauge at the 74.1 percentile of its available level history. The 24-hour spot-index return was -0.18%, while Bitcoin one-week ATM IV remained 6.96 points above seven-day realised volatility at the cutoff. DerivaSys data show the repricing concentrated at the front end: front-end ATM IV gained 2.12 points, versus a 0.11-point increase in the long-end average.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. 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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }