{ "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:04+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396751, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386688, "timestamp": "2026-09-16T16:39:00+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": "2026-09-17T16:39:00+00:00", "spotWindowStart": "2026-09-16T16:39:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.16, "rv24hPercent": 46.35, "rv7dPercent": 36.76, "rv30dPercent": 41.47, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 29.56, "oneWeekIvMinus7dRvPoints": -7.2, "oneWeekIvMinus24hRvPoints": -16.79, "oneWeekIvMinus30dRvPoints": -11.91 }, "fitQuality": { "currentObjective": 0.13667691, "previousObjective": 0.04090756, "currentLiveError": 157.54042087, "previousLiveError": 72.8506928 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "21SEP26", "9OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week implied volatility resets below realised volatility", "executiveSummary": "Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56%, a large move measured at the 16:39 UTC cutoff. The one-week options measure finished 7.20 volatility points below seven-day realised volatility, despite a 1.16% 24-hour Bitcoin spot-index gain.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "The Federal Reserve issued its FOMC statement during the window. Bitcoin-specific reaction evidence was unavailable, so the event is retained as context rather than an explanation for the volatility reset.", "marketContextSummary": "The FOMC statement falls inside the observation window, but available evidence does not support attributing Bitcoin’s one-week implied-volatility decline to it.", "marketContext": [ { "title": "FOMC statement coincides with Bitcoin volatility reset", "explanation": "Bitcoin one-week ATM IV was lower at the cutoff, but no measured Bitcoin reaction links that move directly to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:39 UTC cutoff, 1W ATM IV was 29.56%, 7.20 volatility points below seven-day realised 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the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 7.15 volatility points to 29.56%, a large move at the 96th percentile among 146 comparable historical observations. At the cutoff, realised volatility measured 46.35% over 24 hours, 36.76% over seven days and 41.47% over 30 days. Front-end ATM IV averaged 31.29%, -4.81 points from the prior snapshot, while the long end averaged 38.03%, -0.84 points. 1W RR25 moved 1.48 volatility points toward calls to 0.26%, leaving calls richer than puts. 2W BF25 fell 0.80 volatility points to 1.46%. The nearest eligible forward, 20SEP26, rose $808.50 (+1.07%) to $76,571.87. 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 16:39 UTC cutoff, 1W ATM IV was 29.56%, 7.20 volatility points below seven-day realised volatility of 36.76%; 24-hour realised volatility was 46.35% and 30-day realised volatility was 41.47%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.81 volatility points to 31.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.84 volatility points to 38.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.70 volatility points to -0.99% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.44 volatility points to 1.87% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.15 volatility points at 1W, to 29.56%.", "tenor": "1W", "value": -7.15 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.31, "rr25Change": 0.7, "bf25Change": -0.44, "largestAtmMove": { "tenor": "1W", "current": 29.56, "previous": 36.71, "change": -7.15, "historicalSignificance": { "absoluteMove": 7.15, "movePercentile30d": 93.3, "movePercentileFullHistory": 95.9, "currentLevelPercentileFullHistory": 10.2, "classificationPercentile": 95.9, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } }, "frontEndAverageAtm": { "current": 31.29, "previous": 36.1, "change": -4.81 }, "longEndAverageAtm": { "current": 38.03, "previous": 38.87, "change": -0.84 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.26, "previous": -1.22, "change": 1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 78.8, "currentLevelPercentileFullHistory": 89.8, "classificationPercentile": 78.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.46, "previous": 2.26, "change": -0.8, "historicalSignificance": { "absoluteMove": 0.8, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } }, "nearestEligibleForwardMove": { "label": "20SEP26", "daysToExpiry": 2.64, "current": 76571.87, "previous": 75763.37, "change": 808.5, "percentChange": 1.07 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790267940528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 29.56, "previous": 36.71, "change": -7.15, "percentChange": -19.48 }, "rr25": { "current": 0.26, "previous": -1.22, "change": 1.48, "percentChange": 121.31 }, "bf25": { "current": 1.6, "previous": 2.08, "change": -0.48, "percentChange": -23.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.15, "movePercentile30d": 93.3, "movePercentileFullHistory": 95.9, "currentLevelPercentileFullHistory": 10.2, "classificationPercentile": 95.9, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 78.8, "currentLevelPercentileFullHistory": 89.8, "classificationPercentile": 78.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.48, "movePercentile30d": 80.0, "movePercentileFullHistory": 83.6, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 83.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "2W", "targetExpiry": 1790872740528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.52, "previous": 35.89, "change": -4.37, "percentChange": -12.18 }, "rr25": { "current": -0.5, "previous": -1.52, "change": 1.02, "percentChange": 67.11 }, "bf25": { "current": 1.46, "previous": 2.26, "change": -0.8, "percentChange": -35.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.37, "movePercentile30d": 83.3, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 12.2, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 63.3, "movePercentileFullHistory": 71.9, "currentLevelPercentileFullHistory": 87.1, "classificationPercentile": 71.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.8, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "1M", "targetExpiry": 1792255140528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.78, "previous": 35.69, "change": -2.91, "percentChange": -8.15 }, "rr25": { "current": -1.72, "previous": -2.14, "change": 0.42, "percentChange": 19.63 }, "bf25": { "current": 1.8, "previous": 2.34, "change": -0.54, "percentChange": -23.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.91, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.5, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 92.5, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 0.42, "movePercentile30d": 33.3, "movePercentileFullHistory": 44.5, "currentLevelPercentileFullHistory": 83.7, "classificationPercentile": 44.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.54, "movePercentile30d": 100.0, "movePercentileFullHistory": 97.9, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "3M", "targetExpiry": 1797525540528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.45, "previous": 37.71, "change": -1.26, "percentChange": -3.34 }, "rr25": { "current": -1.57, "previous": -1.96, "change": 0.39, "percentChange": 19.9 }, "bf25": { "current": 2.11, "previous": 2.32, "change": -0.21, "percentChange": -9.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.26, "movePercentile30d": 83.3, "movePercentileFullHistory": 89.0, "currentLevelPercentileFullHistory": 3.4, "classificationPercentile": 89.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 50.0, "movePercentileFullHistory": 58.9, "currentLevelPercentileFullHistory": 83.0, "classificationPercentile": 58.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 86.7, "movePercentileFullHistory": 90.4, "currentLevelPercentileFullHistory": 17.7, "classificationPercentile": 90.4, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "6M", "targetExpiry": 1805387940528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.03, "previous": 38.87, "change": -0.84, "percentChange": -2.16 }, "rr25": { "current": -1.4, "previous": -1.58, "change": 0.18, "percentChange": 11.39 }, "bf25": { "current": 2.4, "previous": 2.58, "change": -0.18, "percentChange": -6.98 }, 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-1.4825, -1.4623, -1.4412, -1.4191, -1.3962, -1.3726, -1.3482, -1.3233, -1.298, -1.2723, -1.2465, -1.2207, -1.1949, -1.1695, -1.1446, -1.1202, -1.0965, -1.0738, -1.0523, -1.0318, -1.0127, -0.995, -0.9789, -0.9646, -0.9518, -0.9411, -0.9321, -0.9252, -0.9201, -0.9171, -0.9162, -0.9173 ] }, { "label": "26MAR27", "values": [ -1.111, -1.0912, -1.0723, -1.0541, -1.0366, -1.02, -1.0041, -0.9889, -0.9745, -0.9608, -0.9479, -0.9357, -0.9241, -0.9132, -0.9031, -0.8935, -0.8846, -0.8761, -0.8684, -0.8611, -0.8543, -0.848, -0.8421, -0.8366, -0.8315, -0.8267, -0.8222, -0.818, -0.814, -0.8102, -0.8065, -0.8031, -0.7997, -0.7963, -0.793, -0.7898, -0.7865, -0.7832, -0.7799, -0.7765, -0.7731 ] }, { "label": "25JUN27", "values": [ -0.6352, -0.6434, -0.6513, -0.6588, -0.6659, -0.6726, -0.6789, -0.6848, -0.6903, -0.6955, -0.7002, -0.7046, -0.7087, -0.7123, -0.7157, -0.7186, -0.7212, -0.7236, -0.7256, -0.7273, -0.7287, -0.73, -0.7308, -0.7316, -0.732, -0.7322, -0.7323, -0.7321, -0.7318, -0.7313, -0.7308, -0.73, -0.7292, -0.7283, -0.7273, -0.7262, -0.7251, -0.7239, -0.7228, -0.7216, -0.7203 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-17T16:39:00+00:00", "window": { "startAt": "2026-09-16T16:39:00+00:00", "endAt": "2026-09-17T16:39:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice sharply lower as one-week volatility falls below realised", "standfirst": "Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56% over the 24-hour observation window, a large reset in Derivasys data. Bitcoin spot-index return was positive 1.16% over the same 24 hours. At the cutoff, Bitcoin one-week ATM IV stood 7.20 volatility points below seven-day realised volatility of 36.76%, meaning the options-implied measure was below the completed trailing realised measure.", "days": [ { "reportDate": "2026-09-17", "headline": "Bitcoin volatility resets below realised", "summary": "Bitcoin one-week ATM IV dropped sharply while the same-tenor implied-versus-realised spread turned negative.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Bitcoin-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reprice sharply lower as one-week volatility falls below realised", "standfirst": "Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56% over the 24-hour observation window, a large reset in Derivasys data. Bitcoin spot-index return was positive 1.16% over the same 24 hours. At the cutoff, Bitcoin one-week ATM IV stood 7.20 volatility points below seven-day realised volatility of 36.76%, meaning the options-implied measure was below the completed trailing realised measure.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-to-SPX realised-volatility ratio was 4.05, at the 73.6 percentile across 235 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 4.05, at the 73.6 percentile across 235 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.96, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 17.250000915527345, "ivRatio": 1.9740260760742434, "cryptoRealisedVol20d": 36.00885161489682, "spxRealisedVol20": 8.886887262377604, "rvSpread": 27.121964352519214, "rvRatio": 4.0519082274554465, "rvSpreadPercentile": 48.93617021276596, "rvSpreadPercentileSampleCount": 235, "rvRatioPercentile": 73.61702127659575, "rvRatioPercentileSampleCount": 235, "returnCorrelation30": 0.2809136186674592, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31572208298845733, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }