{ "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:42:59+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436253, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427787, "timestamp": "2026-09-20T18:42:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "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 changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.21436084, "previousObjective": 0.08168674, "currentLiveError": 140.25702718, "previousLiveError": 110.58986028 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility posts a large upward repricing", "executiveSummary": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96%, placing the move at the 91.3 percentile of 150 comparable observations. The front-end ATM IV average increased 3.54 volatility points to 37.58%, against a 0.93-point rise in the long-end ATM IV average to 39.46%.", "evidenceIds": [ "largest-standard-tenor", "rr25" ], "newsSummary": "News check: The Defiant reported that Bitcoin reached its highest level since January. The report is context only, not an established explanation for the options repricing.", "marketContextSummary": "The retained Bitcoin price report coincided with the observation window, but no measured event reaction establishes a direct link to the volatility repricing.", "marketContext": [ { "title": "Bitcoin price report and volatility repricing", "explanation": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96%, while The Defiant reported a January-high Bitcoin print. The timing is contextual only; the available evidence does not establish causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "8239be5f-867d-4c94-94a3-c038ff264ca9" ] } ], "newsEvidenceIds": [ "8239be5f-867d-4c94-94a3-c038ff264ca9" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.54 volatility points to 37.58% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.93 volatility points to 39.46% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.66 volatility points to -0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.29 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f14cea3ad037" }, "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-f14cea3ad037", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f14cea3ad037" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV rose 4.76 volatility points to 38.96%, a large move at the 91st percentile among 150 comparable historical observations. Front-end ATM IV averaged 37.58%, +3.54 points from the prior snapshot, while the long end averaged 39.46%, +0.93 points. 3M RR25 moved 1.13 volatility points toward calls to -0.46%, leaving puts richer than calls. 2W BF25 rose 0.46 volatility points to 2.21%. The nearest eligible forward, 24SEP26, rose $4,715.63 (+5.80%) to $85,954.72. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 87, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.54 volatility points to 37.58% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.93 volatility points to 39.46% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.66 volatility points to -0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.29 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.76 volatility points at 1W, to 38.96%.", "tenor": "1W", "value": 4.76 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.65, "rr25Change": 0.66, "bf25Change": 0.29, "largestAtmMove": { "tenor": "1W", "current": 38.96, "previous": 34.2, "change": 4.76, "historicalSignificance": { "absoluteMove": 4.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 79.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } }, "frontEndAverageAtm": { "current": 37.58, "previous": 34.04, "change": 3.54 }, "longEndAverageAtm": { "current": 39.46, "previous": 38.53, "change": 0.93 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "3M", "current": -0.46, "previous": -1.59, "change": 1.13, "historicalSignificance": { "absoluteMove": 1.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.7, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 92.7, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.21, "previous": 1.75, "change": 0.46, "historicalSignificance": { "absoluteMove": 0.46, "movePercentile30d": 90.0, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 70.2, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } }, "nearestEligibleForwardMove": { "label": "24SEP26", "daysToExpiry": 2.554, "current": 85954.72, "previous": 81239.09, "change": 4715.63, "percentChange": 5.8 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.96, "previous": 34.2, "change": 4.76, "percentChange": 13.92 }, "rr25": { "current": -0.22, "previous": -0.61, "change": 0.39, "percentChange": 63.93 }, "bf25": { "current": 2.22, "previous": 1.83, "change": 0.39, "percentChange": 21.31 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 79.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 30.0, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 84.8, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 80.0, "movePercentileFullHistory": 78.0, "currentLevelPercentileFullHistory": 74.2, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "2W", "targetExpiry": 1791225720052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.49, "previous": 33.83, "change": 3.66, "percentChange": 10.82 }, "rr25": { "current": 0.23, "previous": -0.45, "change": 0.68, "percentChange": 151.11 }, "bf25": { "current": 2.21, "previous": 1.75, "change": 0.46, "percentChange": 26.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.66, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.0, "currentLevelPercentileFullHistory": 71.5, "classificationPercentile": 92.0, "label": "large", "observations30d": 30, "observationsFullHistory": 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"marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96% over the observation window, a large move at the 91.3 percentile of comparable history. The 24SEP26 Bitcoin forward-proxy price rose 5.80% to $85,954.72. Derivasys data also show the front-end ATM IV average rose faster than the long end, while three-month RR25 shifted toward calls but remained negative, leaving relative put-side volatility richer.", "days": [ { "reportDate": "2026-09-21", "headline": "Bitcoin volatility reprices higher", "summary": "Bitcoin one-week ATM IV jumped while reporting noted a January-high spot print.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Bitcoin reached its highest level since January as crude fell.", "events": [ { "eventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96% over the observation window, a large move at the 91.3 percentile of comparable history. The 24SEP26 Bitcoin forward-proxy price rose 5.80% to $85,954.72. Derivasys data also show the front-end ATM IV average rose faster than the long end, while three-month RR25 shifted toward calls but remained negative, leaving relative put-side volatility richer.", "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 BTC context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }