{ "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:29+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366535, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356453, "timestamp": "2026-09-13T16:30:00+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": "2026-09-14T16:30:00+00:00", "spotWindowStart": "2026-09-13T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.84, "rv24hPercent": 34.77, "rv7dPercent": 32.41, "rv30dPercent": 39.72, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.6, "oneWeekIvMinus7dRvPoints": 4.19, "oneWeekIvMinus24hRvPoints": 1.83, "oneWeekIvMinus30dRvPoints": -3.12 }, "fitQuality": { "currentObjective": 0.05120529, "previousObjective": 0.13239087, "currentLiveError": 89.71009518, "previousLiveError": 106.56768758 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s front end eases as skew becomes less put-rich", "executiveSummary": "One-week Bitcoin RR25 moved toward calls to -0.15%, while the one-week ATM IV level declined to 36.60%. The skew remains negative, so put-side volatility remains relatively elevated despite the shift.", "evidenceIds": [ "rr25", "realised-vol", "front-atm", "largest-standard-tenor" ], "newsSummary": "News check: no qualifying Bitcoin-related or broader crypto event was retained.", "marketContextSummary": "There is no retained news context from which to assess an explanation for the options repricing.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying event was retained; the observed skew and volatility changes should not be assigned a catalyst.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 36.60%, 4.19 volatility points above seven-day realised volatility of 32.41%; 24-hour realised volatility was 34.77% and 30-day realised volatility was 39.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.95 volatility points to 36.05% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 39.32% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.19 volatility points to -0.56% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.50 volatility points at 1W, to 36.60%.", "tenor": "1W", "value": -1.5 } ] }, "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": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "0cc75c9ce1e77af90fbb1863deaf32ede70f9aeb8aaca352993cfe2a11a03fe4" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "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 1.50 volatility points to 36.60%, a routine move at the 43rd percentile among 143 comparable historical observations. At the cutoff, realised volatility measured 34.77% over 24 hours, 32.41% over seven days and 39.72% over 30 days. Front-end ATM IV averaged 36.05%, -0.95 points from the prior snapshot, while the long end averaged 39.32%, +0.02 points. 1W RR25 moved 0.62 volatility points toward calls to -0.15%, leaving puts richer than calls. 2W BF25 fell 0.18 volatility points to 1.97%. The nearest eligible forward, 17SEP26, rose $1,407.72 (+1.82%) to $78,658.46. 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 36.60%, 4.19 volatility points above seven-day realised volatility of 32.41%; 24-hour realised volatility was 34.77% and 30-day realised volatility was 39.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.95 volatility points to 36.05% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 39.32% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.19 volatility points to -0.56% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.50 volatility points at 1W, to 36.60%.", "tenor": "1W", "value": -1.5 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.59, "rr25Change": 0.19, "bf25Change": -0.08, "largestAtmMove": { "tenor": "1W", "current": 36.6, "previous": 38.1, "change": -1.5, "historicalSignificance": { "absoluteMove": 1.5, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } }, "frontEndAverageAtm": { "current": 36.05, "previous": 37.0, "change": -0.95 }, "longEndAverageAtm": { "current": 39.32, "previous": 39.3, "change": 0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.15, "previous": -0.77, "change": 0.62, "historicalSignificance": { "absoluteMove": 0.62, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 88.9, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.97, "previous": 2.15, "change": -0.18, "historicalSignificance": { "absoluteMove": 0.18, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.8, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } }, "nearestEligibleForwardMove": { "label": "17SEP26", "daysToExpiry": 2.646, "current": 78658.46, "previous": 77250.74, "change": 1407.72, "percentChange": 1.82 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790008200695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.6, "previous": 38.1, "change": -1.5, "percentChange": -3.94 }, "rr25": { "current": -0.15, "previous": -0.77, "change": 0.62, "percentChange": 80.52 }, "bf25": { "current": 2.15, "previous": 2.11, "change": 0.04, "percentChange": 1.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.5, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.62, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 88.9, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 6.7, "movePercentileFullHistory": 14.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 14.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "2W", "targetExpiry": 1790613000695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.66, "previous": 36.54, "change": -0.88, "percentChange": -2.41 }, "rr25": { "current": -0.47, "previous": -0.67, "change": 0.2, "percentChange": 29.85 }, "bf25": { "current": 1.97, "previous": 2.15, "change": -0.18, "percentChange": -8.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.88, "movePercentile30d": 33.3, "movePercentileFullHistory": 40.6, "currentLevelPercentileFullHistory": 49.3, "classificationPercentile": 40.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.2, "currentLevelPercentileFullHistory": 86.8, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.8, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "1M", "targetExpiry": 1791995400695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.89, "previous": 36.36, "change": -0.47, "percentChange": -1.29 }, "rr25": { "current": -0.72, "previous": -0.88, "change": 0.16, "percentChange": 18.18 }, "bf25": { "current": 2.1, "previous": 2.28, "change": -0.18, "percentChange": -7.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 30.0, "movePercentileFullHistory": 32.9, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.9, "currentLevelPercentileFullHistory": 87.5, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.5, "currentLevelPercentileFullHistory": 39.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "3M", "targetExpiry": 1797265800695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.13, "previous": 38.23, "change": -0.1, "percentChange": -0.26 }, "rr25": { "current": -0.8, "previous": -0.65, "change": -0.15, "percentChange": -23.08 }, "bf25": { "current": 2.28, "previous": 2.33, "change": -0.05, "percentChange": -2.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 10.0, "movePercentileFullHistory": 11.9, "currentLevelPercentileFullHistory": 35.4, "classificationPercentile": 11.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 26.7, "movePercentileFullHistory": 25.9, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 20.0, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 34.0, "classificationPercentile": 30.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "6M", "targetExpiry": 1805128200695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.32, "previous": 39.3, "change": 0.02, "percentChange": 0.05 }, "rr25": { "current": -0.65, "previous": -0.76, "change": 0.11, "percentChange": 14.47 }, "bf25": { "current": 2.51, "previous": 2.56, "change": -0.05, "percentChange": -1.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.1, "currentLevelPercentileFullHistory": 2.8, "classificationPercentile": 2.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 16.7, "movePercentileFullHistory": 24.5, "currentLevelPercentileFullHistory": 91.0, "classificationPercentile": 24.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 45.5, "currentLevelPercentileFullHistory": 40.3, "classificationPercentile": 45.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "9M", "targetExpiry": 1812990600695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.36, "previous": 40.41, "change": -0.05, "percentChange": -0.12 }, "rr25": { "current": -0.61, "previous": -0.64, "change": 0.03, "percentChange": 4.69 }, "bf25": { "current": 2.63, "previous": 2.7, "change": -0.07, "percentChange": -2.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 3.3, "movePercentileFullHistory": 16.8, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 16.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 6.7, "movePercentileFullHistory": 4.9, "currentLevelPercentileFullHistory": 87.5, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 66.7, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 50.7, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "1Y", "targetExpiry": 1820939400695, "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": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78654.21, "previous": 77225.57, "change": 1428.64, "percentChange": 1.85 }, "atmIv": { "current": 28.11, "previous": 32.07, "change": -3.96, "percentChange": -12.35 }, "rr25": { "current": 0.16, "previous": -0.66, "change": 0.82, "percentChange": 124.24 }, "bf25": { 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"startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options soften while short-dated skew shifts toward calls", "standfirst": "Bitcoin’s one-week RR25 increased 0.62 volatility points to -0.15%, leaving put-side volatility still richer than call-side volatility but materially less so than at the prior snapshot. At the same time, one-week ATM IV fell 1.50 points to 36.60%, while the 24-hour spot-index return was 1.84%.", "days": [ { "reportDate": "2026-09-14", "headline": "Bitcoin skew turns less defensive", "summary": "Short-dated Bitcoin relative put-side volatility eased as front-end implied volatility moved lower.", "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 soften while short-dated skew shifts toward calls", "standfirst": "Bitcoin’s one-week RR25 increased 0.62 volatility points to -0.15%, leaving put-side volatility still richer than call-side volatility but materially less so than at the prior snapshot. At the same time, one-week ATM IV fell 1.50 points to 36.60%, while the 24-hour spot-index return was 1.84%.", "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-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }