{ "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:30:44+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426864, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416832, "timestamp": "2026-09-19T16:30:00+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": "2026-09-20T16:30:00+00:00", "spotWindowStart": "2026-09-19T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.83, "rv24hPercent": 25.73, "rv7dPercent": 37.12, "rv30dPercent": 37.29, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 33.98, "oneWeekIvMinus7dRvPoints": -3.14, "oneWeekIvMinus24hRvPoints": 8.25, "oneWeekIvMinus30dRvPoints": -3.31 }, "fitQuality": { "currentObjective": 0.07117966, "previousObjective": 0.10302432, "currentLiveError": 89.89898903, "previousLiveError": 140.84992662 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options reprice toward put-side volatility", "executiveSummary": "Bitcoin two-week RR25 moved 1.28 volatility points toward puts to -0.26% at the cutoff, leaving put-side volatility richer than call-side volatility. The skew move was notable relative to comparable history, while front-end ATM IV eased.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "The Block reported that Bitcoin ETFs recorded a $433 million Friday net inflow, led by Fidelity\u2019s FBTC, while Ether funds snapped a four-week inflow streak.", "marketContextSummary": "The ETF-flow report is relevant market context, but the available evidence does not establish that it caused Bitcoin\u2019s options repricing.", "marketContext": [ { "title": "ETF-flow report and Bitcoin skew", "explanation": "The ETF-flow report fell within the observation window, but no measured BTC-specific reaction links it directly to the two-week RR25 move toward puts.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 33.98%, 3.14 volatility points below seven-day realised volatility of 37.12%; 24-hour realised volatility was 25.73% and 30-day realised volatility was 37.29%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.37 volatility points to 33.90% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 38.50% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.67 volatility points to -0.85% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.11 volatility points to 1.94% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.85 volatility points at 2W, to 33.70%.", "tenor": "2W", "value": -0.85 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "GLOBAL", "MACRO" ], "completedScopes": [ "BTC", "GLOBAL", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 9, "hasMore": false, "nextCursor": null, "resultSha256": "e70d5e0c928fb3226f407548b801821f6fc4e2d50cbeb28d0efd00f7b4515d54" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", 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"failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 238, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Block\u2019s in-window ETF-flow report is explicitly relevant to BTC and meets the media reliability and source-quality requirements. It is retained as context only: the event\u2019s modest classification scores and lack of measured BTC-specific reaction evidence do not establish causation.", "eventsSelected": 1 }, "items": [ { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" } ], "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "2W RR25 moved 1.28 volatility points toward puts to -0.26%, leaving puts richer than calls; this was a notable move at the 80th percentile among 149 comparable historical observations. At the cutoff, realised volatility measured 25.73% over 24 hours, 37.12% over seven days and 37.29% over 30 days. Front-end ATM IV averaged 33.90%, -0.37 points from the prior snapshot, while the long end averaged 38.50%, +0.24 points. 2W ATM IV fell 0.85 volatility points to 33.70%. 2W BF25 fell 0.14 volatility points to 1.68%. The nearest eligible forward, 23SEP26, fell $639.28 (-0.78%) to $81,212.63. 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 16:30 UTC cutoff, 1W ATM IV was 33.98%, 3.14 volatility points below seven-day realised volatility of 37.12%; 24-hour realised volatility was 25.73% and 30-day realised volatility was 37.29%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.37 volatility points to 33.90% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 38.50% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.67 volatility points to -0.85% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.11 volatility points to 1.94% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.85 volatility points at 2W, to 33.70%.", "tenor": "2W", "value": -0.85 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.12, "rr25Change": -0.67, "bf25Change": -0.11, "largestAtmMove": { "tenor": "2W", "current": 33.7, "previous": 34.55, "change": -0.85, "historicalSignificance": { "absoluteMove": 0.85, "movePercentile30d": 33.3, "movePercentileFullHistory": 38.9, "currentLevelPercentileFullHistory": 23.3, "classificationPercentile": 38.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } }, "frontEndAverageAtm": { "current": 33.9, "previous": 34.28, "change": -0.37 }, "longEndAverageAtm": { "current": 38.5, "previous": 38.26, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.26, "previous": 1.02, "change": -1.28, "historicalSignificance": { "absoluteMove": 1.28, "movePercentile30d": 70.0, "movePercentileFullHistory": 80.5, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 80.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.68, "previous": 1.82, "change": -0.14, "historicalSignificance": { "absoluteMove": 0.14, "movePercentile30d": 43.3, "movePercentileFullHistory": 49.7, "currentLevelPercentileFullHistory": 18.7, "classificationPercentile": 49.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } }, "nearestEligibleForwardMove": { "label": "23SEP26", "daysToExpiry": 2.646, "current": 81212.63, "previous": 81851.91, "change": -639.28, "percentChange": -0.78 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790526600846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.98, "previous": 34.28, "change": -0.3, "percentChange": -0.88 }, "rr25": { "current": -0.11, "previous": 0.97, "change": -1.08, "percentChange": -111.34 }, "bf25": { "current": 1.81, "previous": 1.91, "change": -0.1, "percentChange": -5.24 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 0.0, "movePercentileFullHistory": 8.7, 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Bitcoin two-week ATM IV simultaneously fell 0.85 points to 33.70%, while Bitcoin\u2019s 24-hour spot-index return was -0.83%. Derivasys data show one-week ATM IV at 33.98%, 3.14 points below seven-day realised volatility of 37.12%.", "days": [ { "reportDate": "2026-09-20", "headline": "Bitcoin skew shifts toward puts", "summary": "Bitcoin two-week RR25 crossed below zero as short-dated implied volatility softened at the cutoff.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "The Block reported Friday net inflows into Bitcoin ETFs and an end to Ether funds\u2019 four-week inflow streak.", "events": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as two-week skew swings toward puts", "standfirst": "Bitcoin two-week RR25 fell 1.28 volatility points to -0.26% at the 16:30 UTC cutoff, moving from call-rich to put-rich pricing and marking a notable 80.5 percentile move in comparable history. Bitcoin two-week ATM IV simultaneously fell 0.85 points to 33.70%, while Bitcoin\u2019s 24-hour spot-index return was -0.83%. Derivasys data show one-week ATM IV at 33.98%, 3.14 points below seven-day realised volatility of 37.12%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-to-SPX realised-volatility ratio was 4.51, at the 82.7 percentile across 237 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 4.51, at the 82.7 percentile across 237 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.22, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 19.4099995803833, "ivRatio": 2.310600879840195, "cryptoRealisedVol20d": 42.3021912695404, "spxRealisedVol20": 9.376313403524426, "rvSpread": 32.92587786601597, "rvRatio": 4.511601676373104, "rvSpreadPercentile": 67.9324894514768, "rvSpreadPercentileSampleCount": 237, "rvRatioPercentile": 82.70042194092827, "rvRatioPercentileSampleCount": 237, "returnCorrelation30": 0.2650908950241892, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.26986705348583195, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }