{ "schemaVersion": 3, "reportDate": "2026-09-18", "generatedAt": "2026-09-18T16:30:29+00:00", "currentSnapshotAt": "2026-09-18T16:30:00+00:00", "previousSnapshotAt": "2026-09-17T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 406770, "timestamp": "2026-09-18T16:30:00+00:00" }, "previous": { "id": 396688, "timestamp": "2026-09-17T16:30:00+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": "2026-09-18T16:30:00+00:00", "spotWindowStart": "2026-09-17T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 5.73, "rv24hPercent": 40.8, "rv7dPercent": 35.59, "rv30dPercent": 40.76, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 32.05, "oneWeekIvMinus7dRvPoints": -3.54, "oneWeekIvMinus24hRvPoints": -8.75, "oneWeekIvMinus30dRvPoints": -8.71 }, "fitQuality": { "currentObjective": 0.05130748, "previousObjective": 0.15294405, "currentLiveError": 85.68934817, "previousLiveError": 140.75485834 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "22SEP26" ], "removedExpiries": [ "18SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s two-week skew provides the sharper signal", "executiveSummary": "Bitcoin’s most material options change was the two-week shift toward call-side volatility. The positive two-week RR25 level signals calls were richer than puts, while one-week implied volatility remained below realised volatility.", "evidenceIds": [ "rr25", "realised-vol" ], "newsSummary": "CoinDesk reported the Bank of Japan’s rate increase and Bitcoin above $77,000. Separately, several outlets reported US sanctions targeting Iran’s BitBank over alleged Bitcoin transfers.", "marketContextSummary": "Both developments are relevant market context, but the available record does not demonstrate that either caused Bitcoin’s two-week skew reversal.", "marketContext": [ { "title": "Macro and regulatory context", "explanation": "The two retained developments occurred within the observation window, but no measured reaction establishes a direct link to Bitcoin two-week RR25 moving toward calls.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "0bdfc09c-13bb-4030-a40c-7b31fd38085e" ] } ], "newsEvidenceIds": [ "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "0bdfc09c-13bb-4030-a40c-7b31fd38085e" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 32.05%, 3.54 volatility points below seven-day 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Bitcoin tops $77,000", "url": "https://www.coindesk.com/markets/2026/09/17/boj-rate-hike", "publishedAt": "2026-09-18T03:03:38+00:00", "summary": "Bank of Japan raises interest rates by 25 basis points. Bitcoin tops $77,000.", "matchedTerms": [ "BTC", "Bank of Japan", "Bitcoin" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 39, "quality": { "eligible": true, "score": 38.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.55, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1071, "effectiveCatalystScore": 0.1071, "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 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD", "ATM IV 1W: up 2.46 points to 32.05%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-3e44373ea514" }, "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-d003e8f2cd21", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD", "ATM IV 1W: up 2.46 points to 32.05%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; 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Bitcoin tops $77,000", "url": "https://www.coindesk.com/markets/2026/09/17/boj-rate-hike", "publishedAt": "2026-09-18T03:03:38+00:00", "summary": "Bank of Japan raises interest rates by 25 basis points. Bitcoin tops $77,000.", "matchedTerms": [ "BTC", "Bank of Japan", "Bitcoin" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 39, "quality": { "eligible": true, "score": 38.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.55, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1071, "effectiveCatalystScore": 0.1071, "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 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD", "ATM IV 1W: up 2.46 points to 32.05%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-d003e8f2cd21" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-3e44373ea514", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD", "ATM IV 1W: up 2.46 points to 32.05%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "US sanctions Iran’s BitBank, saying it processes ‘Hormuz Safe’ Bitcoin payments", "url": "https://cointelegraph.com/news/us-sanctions-irans-bitbank-saying-it-processes-hormuz-safe-bitcoin-payments", "publishedAt": "2026-09-18T01:33:54+00:00", "summary": "US sanctions Iran’s BitBank, saying it processes ‘Hormuz Safe’ Bitcoin payments.", "matchedTerms": [ "BTC", "BitBank", "Iran", "US Treasury", "crypto_general", "stablecoins" ], "topics": [ "exchange", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 60, "quality": { "eligible": true, "score": 59.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 5, "sourceQuality": 0.6125, "signals": { "confidence": 0.6869, "importance": 0.8197, "novelty": 1.0, "corroboration": 1.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1888, "effectiveCatalystScore": 0.1888, "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 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD", "ATM IV 1W: up 2.46 points to 32.05%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 21SEP26: +4356.85 USD (+5.68%) to 81035.18 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-3e44373ea514" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV rose 2.46 volatility points to 32.05%, a routine move at the 66th percentile among 147 comparable historical observations. At the cutoff, realised volatility measured 40.80% over 24 hours, 35.59% over seven days and 40.76% over 30 days. Front-end ATM IV averaged 32.89%, +1.52 points from the prior snapshot, while the long end averaged 38.18%, +0.11 points. 2W RR25 moved 1.34 volatility points toward calls to 0.69%, leaving calls richer than puts. 1W BF25 rose 0.19 volatility points to 1.78%. The nearest eligible forward, 21SEP26, rose $4,356.85 (+5.68%) to $81,035.18. 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 32.05%, 3.54 volatility points below seven-day realised volatility of 35.59%; 24-hour realised volatility was 40.80% and 30-day realised volatility was 40.76%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.52 volatility points to 32.89% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 38.18% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.78 volatility points to -0.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.46 volatility points at 1W, to 32.05%.", "tenor": "1W", "value": 2.46 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.96, "rr25Change": 0.78, "bf25Change": 0.13, "largestAtmMove": { "tenor": "1W", "current": 32.05, "previous": 29.59, "change": 2.46, "historicalSignificance": { "absoluteMove": 2.46, "movePercentile30d": 43.3, "movePercentileFullHistory": 66.0, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 66.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } }, "frontEndAverageAtm": { "current": 32.89, "previous": 31.36, "change": 1.52 }, "longEndAverageAtm": { "current": 38.18, "previous": 38.07, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 0.69, "previous": -0.65, "change": 1.34, "historicalSignificance": { "absoluteMove": 1.34, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.3, "currentLevelPercentileFullHistory": 91.9, "classificationPercentile": 82.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.78, "previous": 1.59, "change": 0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": 53.3, "movePercentileFullHistory": 58.5, "currentLevelPercentileFullHistory": 37.8, "classificationPercentile": 58.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } }, "nearestEligibleForwardMove": { "label": "21SEP26", "daysToExpiry": 2.646, "current": 81035.18, "previous": 76678.33, "change": 4356.85, "percentChange": 5.68 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790353800448, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.05, "previous": 29.59, "change": 2.46, "percentChange": 8.31 }, "rr25": { "current": 0.62, "previous": -0.11, "change": 0.73, "percentChange": 663.64 }, "bf25": { "current": 1.78, "previous": 1.59, "change": 0.19, "percentChange": 11.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 43.3, "movePercentileFullHistory": 66.0, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 66.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 47.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 53.3, "movePercentileFullHistory": 58.5, "currentLevelPercentileFullHistory": 37.8, "classificationPercentile": 58.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 } } }, { "tenor": "2W", "targetExpiry": 1790958600448, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.15, "previous": 31.63, "change": 1.52, "percentChange": 4.81 }, "rr25": { "current": 0.69, "previous": -0.65, "change": 1.34, "percentChange": 206.15 }, "bf25": { "current": 1.67, "previous": 1.49, "change": 0.18, "percentChange": 12.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.52, "movePercentile30d": 53.3, "movePercentileFullHistory": 61.9, "currentLevelPercentileFullHistory": 20.9, "classificationPercentile": 61.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "rr25": { "absoluteMove": 1.34, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.3, "currentLevelPercentileFullHistory": 91.9, "classificationPercentile": 82.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 147, "levelObservationsFullHistory": 148 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 63.3, "movePercentileFullHistory": 60.5, "currentLevelPercentileFullHistory": 18.2, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 147, 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0.3393, 0.3596, 0.3798, 0.3997, 0.4194, 0.4389 ] }, { "label": "25JUN27", "values": [ -0.13, -0.1278, -0.1254, -0.123, -0.1203, -0.1175, -0.1145, -0.1113, -0.1079, -0.1044, -0.1004, -0.0962, -0.0918, -0.0871, -0.082, -0.0766, -0.0708, -0.0648, -0.0584, -0.0517, -0.0447, -0.0372, -0.0293, -0.0212, -0.0127, -0.0038, 0.0055, 0.015, 0.0249, 0.0351, 0.0457, 0.0565, 0.0677, 0.0792, 0.0908, 0.1028, 0.1151, 0.1274, 0.1401, 0.153, 0.166 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-18T16:30:00+00:00", "window": { "startAt": "2026-09-17T16:30:00+00:00", "endAt": "2026-09-18T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich as two-week skew reverses", "standfirst": "Bitcoin two-week RR25 rose 1.34 volatility points to 0.69%, reversing from a Bitcoin two-week RR25 reading of -0.65% and leaving calls richer than puts at the cutoff. Bitcoin’s two-week RR25 move was notable at the 82.3 percentile of comparable history. Bitcoin’s 24-hour spot-index return was 5.73%, while Bitcoin one-week ATM IV of 32.05% stood 3.54 volatility points below Bitcoin seven-day realised volatility of 35.59%, according to Derivasys data.", "days": [ { "reportDate": "2026-09-18", "headline": "Japan rate decision and sanctions frame Bitcoin day", "summary": "Japan raised rates, while US sanctions targeted Iran’s BitBank over alleged Bitcoin transfers.", "macro": { "summary": "The Bank of Japan raised interest rates by 25 basis points, with Bitcoin reported above $77,000.", "events": [] }, "crypto": { "summary": "US sanctions against Iran’s BitBank supplied separate crypto-market context during the window.", "events": [ { "eventId": "b903cc5e-24e9-4c2b-b2e1-265a0ee08430", "title": "Bank of Japan raises interest rates by 25 basis points. Bitcoin tops $77,000", "publisher": "CoinDesk", "url": "https://www.coindesk.com/markets/2026/09/17/boj-rate-hike", "publishedAt": "2026-09-18T03:03:38+00:00" }, { "eventId": "0bdfc09c-13bb-4030-a40c-7b31fd38085e", "title": "US sanctions Iran’s BitBank, saying it processes ‘Hormuz Safe’ Bitcoin payments", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/us-sanctions-irans-bitbank-saying-it-processes-hormuz-safe-bitcoin-payments", "publishedAt": "2026-09-18T01:33:54+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn call-rich as two-week skew reverses", "standfirst": "Bitcoin two-week RR25 rose 1.34 volatility points to 0.69%, reversing from a Bitcoin two-week RR25 reading of -0.65% and leaving calls richer than puts at the cutoff. Bitcoin’s two-week RR25 move was notable at the 82.3 percentile of comparable history. Bitcoin’s 24-hour spot-index return was 5.73%, while Bitcoin one-week ATM IV of 32.05% stood 3.54 volatility points below Bitcoin seven-day realised volatility of 35.59%, according to Derivasys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-17", "asOfTimestamp": "2026-09-17T20:00:00+00:00", "summary": "Latest completed common SPX/VIX session retrieved as of the report cutoff. The crypto-minus-SPX realised-volatility spread was 24.23 points, at the 37.7 percentile across 236 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 24.23 points, at the 37.7 percentile across 236 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 31.99, "vix": 15.4399995803833, "vix9d": 13.39, "vix3m": 18.55, "ivSpread": 16.550000419616698, "ivRatio": 2.0718912480181455, "cryptoRealisedVol20d": 34.086581535896116, "spxRealisedVol20": 9.851683413758092, "rvSpread": 24.234898122138024, "rvRatio": 3.4599753264800874, "rvSpreadPercentile": 37.71186440677966, "rvSpreadPercentileSampleCount": 236, "rvRatioPercentile": 57.6271186440678, "rvRatioPercentileSampleCount": 236, "returnCorrelation30": 0.26242230025825225, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.27496053904676254, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys market context; crypto RV uses sqrt(365), SPX RV uses sqrt(252)." } }