{ "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:15+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378443, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368429, "timestamp": "2026-09-14T21:01:00+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": 85, "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": "2026-09-15T21:01:00+00:00", "spotWindowStart": "2026-09-14T21:01:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -3.91, "rv24hPercent": 44.3, "rv7dPercent": 35.03, "rv30dPercent": 40.6, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 39.43, "oneWeekIvMinus7dRvPoints": 4.4, "oneWeekIvMinus24hRvPoints": -4.87, "oneWeekIvMinus30dRvPoints": -1.17 }, "fitQuality": { "currentObjective": 0.11055816, "previousObjective": 0.05710238, "currentLiveError": 120.73649616, "previousLiveError": 81.73224723 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "19SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "executiveSummary": "Bitcoin options repriced toward relative put-side volatility over the 24-hour window. Bitcoin one-month RR25 declined 1.71 volatility points to -2.10%, a large move at the 91.7 percentile of comparable observations, while Bitcoin front-end ATM IV averaged 38.09%, up 0.71 volatility points.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "Media reporting said the Senate blocked the CLARITY Act, while separate reporting said US government bond yields reached a 19-year peak as oil prices rose. Neither report includes a measured Bitcoin-options reaction.", "marketContextSummary": "The reports provide regulatory and macro context. The available evidence does not establish a causal link to Bitcoin\u2019s observed skew repricing.", "marketContext": [ { "title": "CLARITY Act vote and Bitcoin skew", "explanation": "Bitcoin one-month RR25 shifted toward puts during media reporting that the Senate blocked the CLARITY Act. No measured BTC-specific reaction connects the two.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "531c70fe-990c-470d-b549-c51d295e1f57" ] }, { "title": "Rates and oil backdrop", "explanation": "Bitcoin\u2019s front-end ATM IV rose modestly during reporting of higher US government bond yields and oil prices, but the timing does not demonstrate causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm" ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } ], "newsEvidenceIds": [ "531c70fe-990c-470d-b549-c51d295e1f57", "ee29212d-deb8-447a-be5a-0d064022c65b" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 21:01 UTC cutoff, 1W ATM IV was 39.43%, 4.40 volatility points above seven-day realised volatility of 35.03%; 24-hour realised volatility was 44.30% and 30-day realised volatility was 40.60%." }, { "id": "front-atm", 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Retain the reported CLARITY legislative outcome as distinct BTC-linked context.", "eventsSelected": 2 }, "items": [ { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "531c70fe-990c-470d-b549-c51d295e1f57", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00", "summary": "Lawmakers blocked the landmark crypto legislation.", "matchedTerms": [ "BTC", "CFTC", "CLARITY Act", "Coinbase", "US Government", "crypto_general", "stablecoins" ], "topics": [ "regulation", "legislation" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 47, "quality": { "eligible": true, "score": 46.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 2, "sourceQuality": 0.5934, "signals": { "confidence": 0.73, "importance": 0.612, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.2119, "effectiveCatalystScore": 0.2119, "contentKind": "reporting", "status": "breaking" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "531c70fe-990c-470d-b549-c51d295e1f57", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00", "summary": "Lawmakers blocked the landmark crypto legislation.", "matchedTerms": [ "BTC", "CFTC", "CLARITY Act", "Coinbase", "US Government", "crypto_general", "stablecoins" ], "topics": [ "regulation", "legislation" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 47, "quality": { "eligible": true, "score": 46.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 2, "sourceQuality": 0.5934, "signals": { "confidence": 0.73, "importance": 0.612, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.2119, "effectiveCatalystScore": 0.2119, "contentKind": "reporting", "status": "breaking" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1M RR25 moved 1.71 volatility points toward puts to -2.10%, leaving puts richer than calls; this was a large move at the 92nd percentile among 144 comparable historical observations. At the cutoff, realised volatility measured 44.30% over 24 hours, 35.03% over seven days and 40.60% over 30 days. Front-end ATM IV averaged 38.09%, +0.71 points from the prior snapshot, while the long end averaged 39.15%, -0.29 points. 1W ATM IV rose 1.20 volatility points to 39.43%. 2W BF25 rose 0.15 volatility points to 2.35%. The nearest eligible forward, 18SEP26, fell $3,241.66 (-4.10%) to $75,862.40. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 21:01 UTC cutoff, 1W ATM IV was 39.43%, 4.40 volatility points above seven-day realised volatility of 35.03%; 24-hour realised volatility was 44.30% and 30-day realised volatility was 40.60%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.71 volatility points to 38.09% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.29 volatility points to 39.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -1.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.39% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.20 volatility points at 1W, to 39.43%.", "tenor": "1W", "value": 1.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.35, "rr25Change": -1.33, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 39.43, "previous": 38.23, "change": 1.2, "historicalSignificance": { "absoluteMove": 1.2, "movePercentile30d": 30.0, "movePercentileFullHistory": 39.6, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 39.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } }, "frontEndAverageAtm": { "current": 38.09, "previous": 37.39, "change": 0.71 }, "longEndAverageAtm": { "current": 39.15, "previous": 39.44, "change": -0.29 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": -2.1, "previous": -0.39, "change": -1.71, "historicalSignificance": { "absoluteMove": 1.71, "movePercentile30d": 86.7, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 82.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.35, "previous": 2.2, "change": 0.15, "historicalSignificance": { "absoluteMove": 0.15, "movePercentile30d": 60.0, "movePercentileFullHistory": 52.8, "currentLevelPercentileFullHistory": 75.2, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 75862.4, "previous": 79104.06, "change": -3241.66, "percentChange": -4.1 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.43, "previous": 38.23, "change": 1.2, "percentChange": 3.14 }, "rr25": { "current": -1.11, "previous": 0.58, "change": -1.69, "percentChange": -291.38 }, "bf25": { "current": 2.31, "previous": 2.22, "change": 0.09, "percentChange": 4.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.2, "movePercentile30d": 30.0, "movePercentileFullHistory": 39.6, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 39.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.69, "movePercentile30d": 76.7, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 84.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 26.7, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.2, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } } }, { "tenor": "2W", "targetExpiry": 1790715660277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.72, "previous": 37.07, "change": 0.65, "percentChange": 1.75 }, "rr25": { "current": -1.37, "previous": -0.02, "change": -1.35, "percentChange": -6750.0 }, "bf25": { "current": 2.35, "previous": 2.2, "change": 0.15, "percentChange": 6.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.65, "movePercentile30d": 26.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 71.7, "classificationPercentile": 32.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.35, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.6, "currentLevelPercentileFullHistory": 82.1, "classificationPercentile": 82.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 60.0, "movePercentileFullHistory": 52.8, "currentLevelPercentileFullHistory": 75.2, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } } }, { "tenor": "1M", "targetExpiry": 1792098060277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.13, "previous": 36.86, "change": 0.27, "percentChange": 0.73 }, "rr25": { "current": -2.1, "previous": -0.39, "change": -1.71, "percentChange": -438.46 }, "bf25": { "current": 2.36, "previous": 2.25, "change": 0.11, "percentChange": 4.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.27, "movePercentile30d": 23.3, "movePercentileFullHistory": 23.6, "currentLevelPercentileFullHistory": 57.2, "classificationPercentile": 23.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.71, "movePercentile30d": 86.7, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 82.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 144, 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"endExclusive": true }, "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "standfirst": "Bitcoin one-month RR25 fell 1.71 volatility points to -2.10%, leaving put volatility richer than call volatility at the 21:01 UTC cutoff. The shift was large relative to its available history, while Bitcoin one-week ATM IV rose 1.20 volatility points to 39.43%. Bitcoin\u2019s 24-hour spot-index return was -3.91%, and Bitcoin one-week ATM IV stood 4.40 volatility points above seven-day realised volatility. Derivasys data show a more defensive relative-volatility profile even as front-end implied volatility rose only modestly.", "days": [ { "reportDate": "2026-09-15", "headline": "Senate blocks crypto market bill", "summary": "Lawmakers blocked the CLARITY Act, while higher US government bond yields also framed markets.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "Media reporting said the Senate blocked the CLARITY Act during the window.", "events": [ { "eventId": "531c70fe-990c-470d-b549-c51d295e1f57", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00" }, { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "standfirst": "Bitcoin one-month RR25 fell 1.71 volatility points to -2.10%, leaving put volatility richer than call volatility at the 21:01 UTC cutoff. The shift was large relative to its available history, while Bitcoin one-week ATM IV rose 1.20 volatility points to 39.43%. Bitcoin\u2019s 24-hour spot-index return was -3.91%, and Bitcoin one-week ATM IV stood 4.40 volatility points above seven-day realised volatility. Derivasys data show a more defensive relative-volatility profile even as front-end implied volatility rose only modestly.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-to-SPX realised-volatility ratio was 4.10, at the 75.6 percentile across 234 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 4.10, at the 75.6 percentile across 234 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.92, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 19.71999923706055, "ivRatio": 2.1465115326942827, "cryptoRealisedVol20d": 37.09298285363312, "spxRealisedVol20": 9.055854653060562, "rvSpread": 28.037128200572553, "rvRatio": 4.096022327511295, "rvSpreadPercentile": 50.0, "rvSpreadPercentileSampleCount": 234, "rvRatioPercentile": 75.64102564102564, "rvRatioPercentileSampleCount": 234, "returnCorrelation30": 0.23137412828631074, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.30348724990361076, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }