{ "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:30:29+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386629, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376590, "timestamp": "2026-09-15T16:30:00+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": 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": "2026-09-16T16:30:00+00:00", "spotWindowStart": "2026-09-15T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.87, "rv24hPercent": 44.73, "rv7dPercent": 34.6, "rv30dPercent": 40.8, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.61, "oneWeekIvMinus7dRvPoints": 2.01, "oneWeekIvMinus24hRvPoints": -8.12, "oneWeekIvMinus30dRvPoints": -4.19 }, "fitQuality": { "currentObjective": 0.04995077, "previousObjective": 0.05801061, "currentLiveError": 83.56179921, "previousLiveError": 79.31625206 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "20SEP26" ], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility posts a historically large reset", "executiveSummary": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% at the cutoff, a large move that left front-end implied volatility materially lower than at the prior snapshot.", "evidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsSummary": "Decrypt reported that Bitcoin, Ethereum and XRP ETFs shed roughly $593 million combined. NPR reported that the Federal Reserve was widely expected to raise its benchmark interest rate.", "marketContextSummary": "The ETF-flow and Federal Reserve reports frame the broader market backdrop, but no measured Bitcoin-options reaction establishes a causal connection to the volatility reset.", "marketContext": [ { "title": "News Check", "explanation": "The retained reports were published within the observation window, but neither contains a measured BTC-specific options reaction. The relationship to Bitcoin\u2019s one-week ATM IV repricing is therefore unclear.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 36.61%, 2.01 volatility points above seven-day realised volatility of 34.60%; 24-hour realised volatility was 44.73% and 30-day realised volatility was 40.80%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.49 volatility points to 36.12% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.04 volatility points to 38.98% across 6M and 1Y." }, { 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" } ], "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.73 points to 36.61%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 6.73 volatility points to 36.61%, a large move at the 95th percentile among 145 comparable historical observations. At the cutoff, realised volatility measured 44.73% over 24 hours, 34.60% over seven days and 40.80% over 30 days. Front-end ATM IV averaged 36.12%, -4.49 points from the prior snapshot, while the long end averaged 38.98%, -1.04 points. 1W RR25 moved 1.59 volatility points toward puts to -1.10%, leaving puts richer than calls. 1W BF25 fell 0.49 volatility points to 2.10%. The nearest eligible forward, 19SEP26, fell $751.32 (-0.98%) to $75,753.44. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "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 36.61%, 2.01 volatility points above seven-day realised volatility of 34.60%; 24-hour realised volatility was 44.73% and 30-day realised volatility was 40.80%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.49 volatility points to 36.12% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.04 volatility points to 38.98% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.04 volatility points to -1.59% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.32% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -6.73 volatility points at 1W, to 36.61%.", "tenor": "1W", "value": -6.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.24, "rr25Change": -1.04, "bf25Change": -0.13, "largestAtmMove": { "tenor": "1W", "current": 36.61, "previous": 43.34, "change": -6.73, "historicalSignificance": { "absoluteMove": 6.73, "movePercentile30d": 90.0, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } }, "frontEndAverageAtm": { "current": 36.12, "previous": 40.61, "change": -4.49 }, "longEndAverageAtm": { "current": 38.98, "previous": 40.02, "change": -1.04 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.1, "previous": 0.49, "change": -1.59, "historicalSignificance": { "absoluteMove": 1.59, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.1, "previous": 2.59, "change": -0.49, "historicalSignificance": { "absoluteMove": 0.49, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.1, "currentLevelPercentileFullHistory": 68.5, "classificationPercentile": 84.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } }, "nearestEligibleForwardMove": { "label": "19SEP26", "daysToExpiry": 2.646, "current": 75753.44, "previous": 76504.76, "change": -751.32, "percentChange": -0.98 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790181000672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.61, "previous": 43.34, "change": -6.73, "percentChange": -15.53 }, "rr25": { "current": -1.1, "previous": 0.49, "change": -1.59, "percentChange": -324.49 }, "bf25": { "current": 2.1, "previous": 2.59, "change": -0.49, "percentChange": -18.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.73, "movePercentile30d": 90.0, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "rr25": { "absoluteMove": 1.59, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "bf25": { "absoluteMove": 0.49, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.1, "currentLevelPercentileFullHistory": 68.5, "classificationPercentile": 84.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } } }, { "tenor": "2W", "targetExpiry": 1790785800672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.89, "previous": 39.99, "change": -4.1, "percentChange": -10.25 }, "rr25": { "current": -1.52, "previous": -0.19, "change": -1.33, "percentChange": -700.0 }, "bf25": { "current": 2.3, "previous": 2.41, "change": -0.11, "percentChange": -4.56 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.1, "movePercentile30d": 83.3, "movePercentileFullHistory": 92.4, "currentLevelPercentileFullHistory": 52.7, "classificationPercentile": 92.4, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "rr25": { "absoluteMove": 1.33, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 82.2, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.8, "currentLevelPercentileFullHistory": 74.7, "classificationPercentile": 42.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } } }, { "tenor": "1M", "targetExpiry": 1792168200672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.85, "previous": 38.49, "change": -2.64, "percentChange": -6.86 }, "rr25": { "current": -2.01, "previous": -1.01, "change": -1.0, "percentChange": -99.01 }, "bf25": { "current": 2.37, "previous": 2.43, "change": -0.06, "percentChange": -2.47 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.64, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.4, "currentLevelPercentileFullHistory": 42.5, "classificationPercentile": 92.4, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "rr25": { "absoluteMove": 1.0, "movePercentile30d": 73.3, "movePercentileFullHistory": 81.4, "currentLevelPercentileFullHistory": 82.2, "classificationPercentile": 81.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, 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-0.7139, -0.7193, -0.7244, -0.7293, -0.734, -0.7384, -0.7426, -0.7465, -0.7502, -0.7535, -0.7566, -0.7594, -0.7617, -0.7639, -0.7657, -0.7672, -0.7683 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-16T16:30:00+00:00", "window": { "startAt": "2026-09-15T16:30:00+00:00", "endAt": "2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reset lower as short-dated volatility falls sharply", "standfirst": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% over the 24-hour observation window, a 95.2 percentile move in Derivasys history. Bitcoin\u2019s 24-hour spot-index return was -0.87%, while one-week ATM IV remained 2.01 volatility points above seven-day realised volatility of 34.60%. The reset was concentrated at the front end, where ATM IV averaged 36.12%.", "days": [ { "reportDate": "2026-09-16", "headline": "Bitcoin volatility resets at the front", "summary": "Bitcoin one-week ATM IV fell sharply, while one-week RR25 shifted toward relatively richer put volatility.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million.", "events": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "publisher": "Decrypt", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reset lower as short-dated volatility falls sharply", "standfirst": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% over the 24-hour observation window, a 95.2 percentile move in Derivasys history. Bitcoin\u2019s 24-hour spot-index return was -0.87%, while one-week ATM IV remained 2.01 volatility points above seven-day realised volatility of 34.60%. The reset was concentrated at the front end, where ATM IV averaged 36.12%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 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": 17.21, "vix3m": 19.36, "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)." } }