{
  "schemaVersion": 3,
  "reportDate": "2026-09-22",
  "generatedAt": "2026-09-22T18:18:40+00:00",
  "currentSnapshotAt": "2026-09-22T18:18:00+00:00",
  "previousSnapshotAt": "2026-09-21T18:37:00+00:00",
  "sourceSnapshots": {
    "current": {
      "id": 446140,
      "timestamp": "2026-09-22T18:18:00+00:00"
    },
    "previous": {
      "id": 436218,
      "timestamp": "2026-09-21T18:37:00+00:00"
    }
  },
  "windowHours": 23.68,
  "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded",
  "fitQuality": {
    "currentObjective": 0.07990592,
    "previousObjective": 0.53027486,
    "currentLiveError": 84.24763225,
    "previousLiveError": 117968.42628545
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  "coverage": {
    "currentListedExpiries": 11,
    "previousListedExpiries": 11,
    "comparedListedExpiries": 10,
    "addedExpiries": [
      "26SEP26"
    ],
    "removedExpiries": [
      "22SEP26"
    ],
    "fixedTenors": [
      "1W",
      "2W",
      "1M",
      "3M",
      "6M",
      "9M"
    ],
    "suppressedFixedTenors": [
      "1Y"
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  },
  "commentary": {
    "source": "codex",
    "model": "gpt-5.6-terra",
    "headline": "Bitcoin’s two-week options convexity premium contracts sharply",
    "executiveSummary": "Derivasys data showed Bitcoin front-end ATM IV averaging 36.60%, down 1.14 volatility points across the 1W, 2W and 1M tenors. Bitcoin long-dated ATM IV averaged 39.36%, down 0.19 volatility points across the 6M and 1Y tenors.",
    "evidenceIds": [
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      "front-atm",
      "rr25"
    ],
    "newsSummary": "CoinDesk reported Bitcoin recovering from Asian-session lows as oil prices fell. Separately, Bitcoin Magazine reported that federal prosecutors were examining alleged Binance sanctions violations involving Iran.",
    "marketContextSummary": "The retained reports provide contemporaneous Bitcoin context, but neither includes measured options reactions that would connect it directly to the BF25 repricing.",
    "marketContext": [
      {
        "title": "Bitcoin news and options repricing",
        "explanation": "The two news reports occurred within the observation window, but the available evidence does not establish that either report drove the Bitcoin two-week BF25 decline.",
        "relationship": "no-clear-link",
        "confidence": "low",
        "surfaceEvidenceIds": [
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        "newsEvidenceIds": [
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        "id": "front-atm",
        "label": "Front end",
        "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 36.60% across 1W, 2W and 1M."
      },
      {
        "id": "back-atm",
        "label": "Long end",
        "text": "Long-dated ATM IV decreased, averaging -0.19 volatility points to 39.36% across 6M and 1Y."
      },
      {
        "id": "rr25",
        "label": "Skew",
        "text": "RR25 moved towards calls, averaging +0.21 volatility points to -0.23% across the six headline tenors."
      },
      {
        "id": "bf25",
        "label": "Convexity",
        "text": "BF25 decreased, averaging -0.42 volatility points to 2.02% across the six headline tenors."
      },
      {
        "id": "largest-standard-tenor",
        "label": "Largest standard-tenor move",
        "text": "The largest standard-tenor ATM IV move was -2.86 volatility points at 1W, to 36.50%.",
        "tenor": "1W",
        "value": -2.86
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          },
          "relevanceReasons": [
            "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship."
          ],
          "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.",
          "canonicalEventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b",
          "status": "selected",
          "relevance": "broader crypto",
          "relationship": "neutral",
          "causal_confidence": "low",
          "matched_signals": [
            "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD",
            "ATM IV 1W: down 2.86 points to 36.50%"
          ],
          "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.",
          "event_cluster_id": "market-event-3975f7a19457"
        },
        "additional_coverage": []
      },
      {
        "event_cluster_id": "market-event-76e7a6c32877",
        "status": "selected",
        "relevance": "broader crypto",
        "relationship": "neutral",
        "causal_confidence": "low",
        "matched_signals": [
          "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD",
          "ATM IV 1W: down 2.86 points to 36.50%"
        ],
        "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.",
        "primary_article": {
          "id": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6",
          "sourceId": "bitcoin_magazine",
          "publisher": "Bitcoin Magazine",
          "title": "Feds Probing Binance Over Iran’s Bitcoin Use: Report",
          "url": "https://bitcoinmagazine.com/news/feds-probing-iran-use-of-binance",
          "publishedAt": "2026-09-22T16:52:26+00:00",
          "summary": "Bitcoin Magazine reported that federal prosecutors are examining whether Binance violated US sanctions involving Iran.",
          "matchedTerms": [
            "BTC",
            "Binance",
            "Bitcoin",
            "Iran",
            "crypto_general",
            "stablecoins"
          ],
          "topics": [
            "macro",
            "other"
          ],
          "sourceKind": "media",
          "rightsStatus": "link-and-summary",
          "selectionScore": 48,
          "quality": {
            "eligible": true,
            "score": 47.6,
            "checks": {
              "verifiedSourceMetadata": true,
              "contentKind": true,
              "status": true
            },
            "sourceCount": 1,
            "sourceQuality": 0.5851,
            "signals": {
              "confidence": 0.69,
              "importance": 0.75,
              "novelty": 1.0,
              "corroboration": 0.0,
              "sourceQuality": 0.5851,
              "effectiveSourceQuality": 0.5851,
              "catalystScore": 0.1817,
              "effectiveCatalystScore": 0.1817,
              "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 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship."
          ],
          "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.",
          "canonicalEventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6",
          "status": "selected",
          "relevance": "broader crypto",
          "relationship": "neutral",
          "causal_confidence": "low",
          "matched_signals": [
            "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD",
            "ATM IV 1W: down 2.86 points to 36.50%"
          ],
          "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.",
          "event_cluster_id": "market-event-76e7a6c32877"
        },
        "additional_coverage": []
      }
    ],
    "coverage_status": "healthy",
    "coverage_basis": "monitored-source-search"
  },
  "marketRead": {
    "text": "1W ATM IV fell 2.86 volatility points to 36.50%, a notable move at the 76th percentile among 151 comparable historical observations. Front-end ATM IV averaged 36.60%, -1.14 points from the prior snapshot, while the long end averaged 39.36%, -0.19 points. 1W RR25 moved 1.27 volatility points toward calls to 0.56%, leaving calls richer than puts. 2W BF25 fell 0.79 volatility points to 1.70%. The nearest eligible forward, 25SEP26, rose $689.11 (+0.80%) to $86,678.24. 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 decreased, averaging -1.14 volatility points to 36.60% across 1W, 2W and 1M."
    },
    {
      "id": "back-atm",
      "label": "Long end",
      "text": "Long-dated ATM IV decreased, averaging -0.19 volatility points to 39.36% across 6M and 1Y."
    },
    {
      "id": "rr25",
      "label": "Skew",
      "text": "RR25 moved towards calls, averaging +0.21 volatility points to -0.23% across the six headline tenors."
    },
    {
      "id": "bf25",
      "label": "Convexity",
      "text": "BF25 decreased, averaging -0.42 volatility points to 2.02% across the six headline tenors."
    },
    {
      "id": "largest-standard-tenor",
      "label": "Largest standard-tenor move",
      "text": "The largest standard-tenor ATM IV move was -2.86 volatility points at 1W, to 36.50%.",
      "tenor": "1W",
      "value": -2.86
    }
  ],
  "summaryMetrics": {
    "basis": "Fixed-tenor endpoint comparison",
    "unit": "volatility points",
    "atmIvChange": -0.74,
    "rr25Change": 0.21,
    "bf25Change": -0.42,
    "largestAtmMove": {
      "tenor": "1W",
      "current": 36.5,
      "previous": 39.36,
      "change": -2.86,
      "historicalSignificance": {
        "absoluteMove": 2.86,
        "movePercentile30d": 56.7,
        "movePercentileFullHistory": 75.5,
        "currentLevelPercentileFullHistory": 65.1,
        "classificationPercentile": 75.5,
        "label": "notable",
        "observations30d": 30,
        "observationsFullHistory": 151,
        "levelObservationsFullHistory": 152
      }
    },
    "frontEndAverageAtm": {
      "current": 36.6,
      "previous": 37.74,
      "change": -1.14
    },
    "longEndAverageAtm": {
      "current": 39.36,
      "previous": 39.55,
      "change": -0.19
    },
    "oneYearMinusOneWeekAtmSlope": {
      "current": null,
      "previous": null,
      "change": null
    },
    "largestRr25Move": {
      "tenor": "1W",
      "current": 0.56,
      "previous": -0.71,
      "change": 1.27,
      "historicalSignificance": {
        "absoluteMove": 1.27,
        "movePercentile30d": 53.3,
        "movePercentileFullHistory": 74.2,
        "currentLevelPercentileFullHistory": 88.8,
        "classificationPercentile": 74.2,
        "label": "notable",
        "observations30d": 30,
        "observationsFullHistory": 151,
        "levelObservationsFullHistory": 152
      },
      "direction": "toward calls",
      "currentSign": "call-rich"
    },
    "largestBf25Move": {
      "tenor": "2W",
      "current": 1.7,
      "previous": 2.49,
      "change": -0.79,
      "historicalSignificance": {
        "absoluteMove": 0.79,
        "movePercentile30d": 100.0,
        "movePercentileFullHistory": 96.7,
        "currentLevelPercentileFullHistory": 20.4,
        "classificationPercentile": 100.0,
        "label": "exceptional",
        "observations30d": 30,
        "observationsFullHistory": 151,
        "levelObservationsFullHistory": 152
      }
    },
    "nearestEligibleForwardMove": {
      "label": "25SEP26",
      "daysToExpiry": 2.571,
      "current": 86678.24,
      "previous": 85989.13,
      "change": 689.11,
      "percentChange": 0.8
    }
  },
  "tenors": [
    {
      "tenor": "1W",
      "targetExpiry": 1790705880114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 36.5,
        "previous": 39.36,
        "change": -2.86,
        "percentChange": -7.27
      },
      "rr25": {
        "current": 0.56,
        "previous": -0.71,
        "change": 1.27,
        "percentChange": 178.87
      },
      "bf25": {
        "current": 1.96,
        "previous": 2.43,
        "change": -0.47,
        "percentChange": -19.34
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 2.86,
          "movePercentile30d": 56.7,
          "movePercentileFullHistory": 75.5,
          "currentLevelPercentileFullHistory": 65.1,
          "classificationPercentile": 75.5,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 1.27,
          "movePercentile30d": 53.3,
          "movePercentileFullHistory": 74.2,
          "currentLevelPercentileFullHistory": 88.8,
          "classificationPercentile": 74.2,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.47,
          "movePercentile30d": 83.3,
          "movePercentileFullHistory": 83.4,
          "currentLevelPercentileFullHistory": 58.6,
          "classificationPercentile": 83.4,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "2W",
      "targetExpiry": 1791310680114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 36.63,
        "previous": 37.47,
        "change": -0.84,
        "percentChange": -2.24
      },
      "rr25": {
        "current": 0.06,
        "previous": -0.17,
        "change": 0.23,
        "percentChange": 135.29
      },
      "bf25": {
        "current": 1.7,
        "previous": 2.49,
        "change": -0.79,
        "percentChange": -31.73
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 0.84,
          "movePercentile30d": 40.0,
          "movePercentileFullHistory": 39.1,
          "currentLevelPercentileFullHistory": 61.2,
          "classificationPercentile": 40.0,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 0.23,
          "movePercentile30d": 20.0,
          "movePercentileFullHistory": 21.9,
          "currentLevelPercentileFullHistory": 88.8,
          "classificationPercentile": 21.9,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.79,
          "movePercentile30d": 100.0,
          "movePercentileFullHistory": 96.7,
          "currentLevelPercentileFullHistory": 20.4,
          "classificationPercentile": 100.0,
          "label": "exceptional",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "1M",
      "targetExpiry": 1792693080114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 36.68,
        "previous": 36.4,
        "change": 0.28,
        "percentChange": 0.77
      },
      "rr25": {
        "current": -0.47,
        "previous": -0.44,
        "change": -0.03,
        "percentChange": -6.82
      },
      "bf25": {
        "current": 1.91,
        "previous": 2.34,
        "change": -0.43,
        "percentChange": -18.38
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 0.28,
          "movePercentile30d": 20.0,
          "movePercentileFullHistory": 23.8,
          "currentLevelPercentileFullHistory": 51.3,
          "classificationPercentile": 23.8,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 0.03,
          "movePercentile30d": 10.0,
          "movePercentileFullHistory": 4.0,
          "currentLevelPercentileFullHistory": 88.8,
          "classificationPercentile": 10.0,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.43,
          "movePercentile30d": 96.7,
          "movePercentileFullHistory": 91.4,
          "currentLevelPercentileFullHistory": 8.6,
          "classificationPercentile": 96.7,
          "label": "large",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "3M",
      "targetExpiry": 1797963480114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 38.71,
        "previous": 38.78,
        "change": -0.07,
        "percentChange": -0.18
      },
      "rr25": {
        "current": -0.78,
        "previous": -0.38,
        "change": -0.4,
        "percentChange": -105.26
      },
      "bf25": {
        "current": 2.14,
        "previous": 2.4,
        "change": -0.26,
        "percentChange": -10.83
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 0.07,
          "movePercentile30d": 13.3,
          "movePercentileFullHistory": 6.6,
          "currentLevelPercentileFullHistory": 50.7,
          "classificationPercentile": 13.3,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 0.4,
          "movePercentile30d": 56.7,
          "movePercentileFullHistory": 61.6,
          "currentLevelPercentileFullHistory": 90.8,
          "classificationPercentile": 61.6,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.26,
          "movePercentile30d": 93.3,
          "movePercentileFullHistory": 93.4,
          "currentLevelPercentileFullHistory": 19.1,
          "classificationPercentile": 93.4,
          "label": "large",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "6M",
      "targetExpiry": 1805825880114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 39.36,
        "previous": 39.55,
        "change": -0.19,
        "percentChange": -0.48
      },
      "rr25": {
        "current": -0.53,
        "previous": -0.52,
        "change": -0.01,
        "percentChange": -1.92
      },
      "bf25": {
        "current": 2.37,
        "previous": 2.52,
        "change": -0.15,
        "percentChange": -5.95
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 0.19,
          "movePercentile30d": 40.0,
          "movePercentileFullHistory": 44.4,
          "currentLevelPercentileFullHistory": 6.6,
          "classificationPercentile": 44.4,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 0.01,
          "movePercentile30d": 0.0,
          "movePercentileFullHistory": 3.3,
          "currentLevelPercentileFullHistory": 92.1,
          "classificationPercentile": 3.3,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.15,
          "movePercentile30d": 86.7,
          "movePercentileFullHistory": 88.1,
          "currentLevelPercentileFullHistory": 14.5,
          "classificationPercentile": 88.1,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "9M",
      "targetExpiry": 1813688280114,
      "availability": "available",
      "unavailableReason": null,
      "atmIv": {
        "current": 39.89,
        "previous": 40.21,
        "change": -0.32,
        "percentChange": -0.8
      },
      "rr25": {
        "current": -0.11,
        "previous": -0.4,
        "change": 0.29,
        "percentChange": 72.5
      },
      "bf25": {
        "current": 2.47,
        "previous": 2.54,
        "change": -0.07,
        "percentChange": -2.76
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": 0.32,
          "movePercentile30d": 66.7,
          "movePercentileFullHistory": 70.2,
          "currentLevelPercentileFullHistory": 4.6,
          "classificationPercentile": 70.2,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "rr25": {
          "absoluteMove": 0.29,
          "movePercentile30d": 60.0,
          "movePercentileFullHistory": 76.2,
          "currentLevelPercentileFullHistory": 94.7,
          "classificationPercentile": 76.2,
          "label": "notable",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        },
        "bf25": {
          "absoluteMove": 0.07,
          "movePercentile30d": 60.0,
          "movePercentileFullHistory": 60.3,
          "currentLevelPercentileFullHistory": 35.5,
          "classificationPercentile": 60.3,
          "label": "routine",
          "observations30d": 30,
          "observationsFullHistory": 151,
          "levelObservationsFullHistory": 152
        }
      }
    },
    {
      "tenor": "1Y",
      "targetExpiry": 1821637080114,
      "availability": "unavailable",
      "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.",
      "atmIv": {
        "current": null,
        "previous": null,
        "change": null,
        "percentChange": null
      },
      "rr25": {
        "current": null,
        "previous": null,
        "change": null,
        "percentChange": null
      },
      "bf25": {
        "current": null,
        "previous": null,
        "change": null,
        "percentChange": null
      },
      "historicalSignificance": {
        "atmIv": {
          "absoluteMove": null,
          "movePercentile30d": null,
          "movePercentileFullHistory": null,
          "currentLevelPercentileFullHistory": null,
          "classificationPercentile": null,
          "label": "unavailable",
          "observations30d": 0,
          "observationsFullHistory": 0,
          "levelObservationsFullHistory": 0
        },
        "rr25": {
          "absoluteMove": null,
          "movePercentile30d": null,
          "movePercentileFullHistory": null,
          "currentLevelPercentileFullHistory": null,
          "classificationPercentile": null,
          "label": "unavailable",
          "observations30d": 0,
          "observationsFullHistory": 0,
          "levelObservationsFullHistory": 0
        },
        "bf25": {
          "absoluteMove": null,
          "movePercentile30d": null,
          "movePercentileFullHistory": null,
          "currentLevelPercentileFullHistory": null,
          "classificationPercentile": null,
          "label": "unavailable",
          "observations30d": 0,
          "observationsFullHistory": 0,
          "levelObservationsFullHistory": 0
        }
      }
    }
  ],
  "listedExpiries": [
    {
      "label": "23SEP26",
      "expiry": 1790150400000,
      "tauYears": 0.00156395,
      "daysToExpiry": 0.571,
      "expiryClassification": "ultra-short",
      "rankingEligible": false,
      "forward": {
        "current": 86638.36,
        "previous": 85959.68,
        "change": 678.68,
        "percentChange": 0.79
      },
      "atmIv": {
        "current": 32.71,
        "previous": 39.29,
        "change": -6.58,
        "percentChange": -16.75
      },
      "rr25": {
        "current": 1.68,
        "previous": -0.15,
        "change": 1.83,
        "percentChange": 1220.0
      },
      "bf25": {
        "current": 1.36,
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        "change": -1.01,
        "percentChange": -42.62
      },
      "svi": {
        "a": {
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          "change": 0.0398,
          "percentChange": 64.6
        },
        "b": {
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          "change": -0.0636,
          "percentChange": -50.58
        },
        "rho": {
          "current": 0.0851,
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          "change": 0.0572,
          "percentChange": 205.24
        },
        "m": {
          "current": 0.0249,
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          "change": 0.0102,
          "percentChange": 69.41
        },
        "sigma": {
          "current": 0.3549,
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          "change": -0.1405,
          "percentChange": -28.36
        }
      },
      "smile": {
        "logMoneyness": [
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          -0.225,
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          0.0,
          0.015,
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          0.075,
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          0.195,
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          0.225,
          0.24,
          0.255,
          0.27,
          0.285,
          0.3
        ],
        "current": [
          201.8679,
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          184.1939,
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    },
    "headline": "Bitcoin options lose two-week convexity premium as volatility cools",
    "standfirst": "Bitcoin two-week BF25 fell 0.79 volatility points to 1.70% over the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.",
    "days": [
      {
        "reportDate": "2026-09-22",
        "headline": "Bitcoin news mixed during options reset",
        "summary": "CoinDesk reported a Bitcoin recovery from Asian-session lows, while Bitcoin Magazine reported a Binance inquiry.",
        "macro": {
          "summary": "Bitcoin Magazine reported a federal inquiry into alleged Binance sanctions violations involving Iran.",
          "events": [
            {
              "eventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6",
              "title": "Feds Probing Binance Over Iran’s Bitcoin Use: Report",
              "publisher": "Bitcoin Magazine",
              "url": "https://bitcoinmagazine.com/news/feds-probing-iran-use-of-binance",
              "publishedAt": "2026-09-22T16:52:26+00:00"
            }
          ]
        },
        "crypto": {
          "summary": "CoinDesk reported Bitcoin recovering from Asian-session lows as oil prices fell.",
          "events": [
            {
              "eventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b",
              "title": "Bitcoin recovers from Asian-session lows as falling oil price supports risk appetite",
              "publisher": "CoinDesk",
              "url": "https://www.coindesk.com/markets/2026/09/22/bitcoin-recovers-from-asian-session-lows-as-falling-oil-price-supports-risk-appetite",
              "publishedAt": "2026-09-22T10:59:03+00:00"
            }
          ]
        }
      }
    ]
  },
  "newsStatus": "context",
  "headline": "Bitcoin options lose two-week convexity premium as volatility cools",
  "standfirst": "Bitcoin two-week BF25 fell 0.79 volatility points to 1.70% over the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.",
  "crossAssetMarketContext": {
    "schemaVersion": 1,
    "source": "market-context-mcp",
    "status": "available",
    "asset": "BTC",
    "sessionDate": "2026-09-21",
    "asOfTimestamp": "2026-09-21T20:00:00+00:00",
    "summary": "Previous session (latest completed): Persisted common-session BTC, SPX, and VIX-family context as of the requested evidence cutoff. The crypto-to-SPX realised-volatility ratio was 4.57, at the 83.6 percentile across 238 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.",
    "regimeInsights": [
      "The crypto-to-SPX realised-volatility ratio was 4.57, at the 83.6 percentile across 238 prior observations.",
      "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations."
    ],
    "metrics": {
      "cryptoAtmIv30d": 36.65,
      "vix": 14.869999885559082,
      "vix9d": 13.140000343322754,
      "vix3m": 18.079999923706055,
      "ivSpread": 21.780000114440917,
      "ivRatio": 2.464694033763406,
      "cryptoRealisedVol20d": 48.76622765488641,
      "spxRealisedVol20": 10.66022461111303,
      "rvSpread": 38.10600304377338,
      "rvRatio": 4.574596636927216,
      "rvSpreadPercentile": 80.67226890756302,
      "rvSpreadPercentileSampleCount": 238,
      "rvRatioPercentile": 83.61344537815125,
      "rvRatioPercentileSampleCount": 238,
      "returnCorrelation30": 0.3924802956164639,
      "returnCorrelation30SampleCount": 30,
      "returnCorrelation60": 0.3296487008972292,
      "returnCorrelation60SampleCount": 60
    },
    "methodology": "Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252)."
  }
}