{ "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:20:49+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456523, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446573, "timestamp": "2026-09-22T19:20:00+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 1415 (98.2639% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.10656393, "previousObjective": 0.08927158, "currentLiveError": 104.96926631, "previousLiveError": 97.56726332 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "27SEP26" ], "removedExpiries": [ "23SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options turn defensive as one-week skew swings 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84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" } ], "events": [ { "event_cluster_id": "market-event-03e6b11f3a6e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00", "summary": "Bitcoin Magazine reported that 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"relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" }, "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-03e6b11f3a6e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00", "summary": "Bitcoin Magazine reported that bitcoin ETFs received $999 million in new investment on Monday, citing Farside Investors data.", "matchedTerms": [ "BTC", "BTC ETFs", "Bitcoin", "Farside Investors", "SEC", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 57, "quality": { "eligible": true, "score": 57.0, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5851, "signals": { "confidence": 0.69, "importance": 1.0, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5851, "effectiveSourceQuality": 0.5851, "catalystScore": 0.4037, "effectiveCatalystScore": 0.4037, "contentKind": "catalyst", "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 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 3.05 volatility points toward puts to -1.89%, leaving puts richer than calls; this was a large move at the 93rd percentile among 152 comparable historical observations. Front-end ATM IV averaged 34.55%, -1.97 points from the prior snapshot, while the long end averaged 38.84%, -0.49 points. 1W ATM IV fell 2.46 volatility points to 34.13%. 2W BF25 rose 0.13 volatility points to 1.95%. The nearest eligible forward, 26SEP26, fell $2,190.45 (-2.53%) to $84,426.48. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 89, "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 -1.97 volatility points to 34.55% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 38.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.34 volatility points to -1.28% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 2.11% 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 34.13%.", "tenor": "1W", "value": -2.46 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.48, "rr25Change": -1.34, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 34.13, "previous": 36.59, "change": -2.46, "historicalSignificance": { "absoluteMove": 2.46, "movePercentile30d": 56.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } }, "frontEndAverageAtm": { "current": 34.55, "previous": 36.52, "change": -1.97 }, "longEndAverageAtm": { "current": 38.84, "previous": 39.33, "change": -0.49 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.89, "previous": 1.16, "change": -3.05, "historicalSignificance": { "absoluteMove": 3.05, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.95, "previous": 1.82, "change": 0.13, "historicalSignificance": { "absoluteMove": 0.13, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.1, "currentLevelPercentileFullHistory": 49.7, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } }, "nearestEligibleForwardMove": { "label": "26SEP26", "daysToExpiry": 2.528, "current": 84426.48, "previous": 86616.93, "change": -2190.45, "percentChange": -2.53 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790796000076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.13, "previous": 36.59, "change": -2.46, "percentChange": -6.72 }, "rr25": { "current": -1.89, "previous": 1.16, "change": -3.05, "percentChange": -262.93 }, "bf25": { "current": 2.15, "previous": 2.04, "change": 0.11, "percentChange": 5.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 56.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 3.05, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 36.7, "movePercentileFullHistory": 40.8, "currentLevelPercentileFullHistory": 70.6, "classificationPercentile": 40.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "2W", "targetExpiry": 1791400800076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.57, "previous": 36.52, "change": -1.95, "percentChange": -5.34 }, "rr25": { "current": -1.41, "previous": 0.54, "change": -1.95, "percentChange": -361.11 }, "bf25": { "current": 1.95, "previous": 1.82, "change": 0.13, "percentChange": 7.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.95, "movePercentile30d": 66.7, "movePercentileFullHistory": 73.0, "currentLevelPercentileFullHistory": 32.7, "classificationPercentile": 73.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 1.95, "movePercentile30d": 90.0, "movePercentileFullHistory": 90.8, "currentLevelPercentileFullHistory": 78.4, "classificationPercentile": 90.8, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.1, "currentLevelPercentileFullHistory": 49.7, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "1M", "targetExpiry": 1792783200076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.94, "previous": 36.45, "change": -1.51, "percentChange": -4.14 }, "rr25": { "current": -1.33, "previous": -0.31, "change": -1.02, "percentChange": -329.03 }, "bf25": { "current": 1.99, "previous": 1.91, "change": 0.08, "percentChange": 4.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.51, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 31.4, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 70.0, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 83.0, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.8, "currentLevelPercentileFullHistory": 18.3, "classificationPercentile": 42.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "3M", "targetExpiry": 1798053600076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.61, "previous": 38.61, "change": -1.0, "percentChange": -2.59 }, "rr25": { "current": -1.22, "previous": -0.74, "change": -0.48, "percentChange": -64.86 }, "bf25": { "current": 2.12, "previous": 2.14, "change": -0.02, "percentChange": -0.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.0, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.2, "currentLevelPercentileFullHistory": 26.8, "classificationPercentile": 82.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 84.3, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 13.3, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 17.6, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "6M", "targetExpiry": 1805916000076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.84, "previous": 39.33, "change": -0.49, "percentChange": -1.25 }, "rr25": { "current": -0.56, "previous": -0.34, "change": -0.22, "percentChange": -64.71 }, "bf25": { "current": 2.34, "previous": 2.36, "change": -0.02, "percentChange": -0.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 70.0, "movePercentileFullHistory": 79.6, "currentLevelPercentileFullHistory": 3.9, "classificationPercentile": 79.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 43.3, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 91.5, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 13.8, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "9M", "targetExpiry": 1813778400076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.54, "previous": 39.89, "change": -0.35, "percentChange": -0.88 }, "rr25": { "current": -0.38, "previous": -0.03, "change": -0.35, "percentChange": -1166.67 }, "bf25": { "current": 2.38, "previous": 2.47, "change": -0.09, "percentChange": -3.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 74.3, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 74.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.35, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.6, "currentLevelPercentileFullHistory": 90.2, "classificationPercentile": 79.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.4, "currentLevelPercentileFullHistory": 19.6, "classificationPercentile": 70.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "1Y", "targetExpiry": 1821727200076, "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": "24SEP26", "expiry": 1790236800000, "tauYears": 0.00144598, "daysToExpiry": 0.528, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 84336.22, "previous": 86560.12, "change": -2223.9, "percentChange": -2.57 }, "atmIv": { "current": 29.64, "previous": 35.27, "change": -5.63, "percentChange": -15.96 }, "rr25": { "current": -2.59, "previous": 0.28, "change": -2.87, "percentChange": -1025.0 }, "bf25": { "current": 2.21, "previous": 2.0, "change": 0.21, "percentChange": 10.5 }, "svi": { "a": { "current": -0.0088, "previous": -0.0419, "change": 0.0331, "percentChange": 79.0 }, "b": { "current": 0.0521, "previous": 0.1006, "change": -0.0485, "percentChange": -48.19 }, "rho": { "current": -0.0849, "previous": 0.0092, "change": -0.0941, "percentChange": -1023.17 }, "m": { "current": -0.0101, "previous": 0.0031, "change": -0.0131, "percentChange": -425.18 }, "sigma": { "current": 0.1717, "previous": 0.4215, "change": -0.2497, "percentChange": -59.25 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 263.6457, 253.8334, 243.7704, 233.4434, 222.8388, 211.9427, 200.742, 189.2241, 177.3785, 165.1979, 152.6795, 139.8282, 126.6599, 113.2065, 99.5252, 85.7121, 71.9305, 58.472, 45.9085, 35.4704, 29.6545, 31.1365, 38.9395, 49.986, 62.3558, 75.1834, 88.0715, 100.8233, 113.3358, 125.5554, 137.4557, 149.0271, 160.2701, 171.1911, 181.8007, 192.1112, 202.1361, 211.8894, 221.3848, 230.6359, 239.6555 ], "previous": [ 155.0723, 148.3611, 141.5866, 134.753, 127.8654, 120.9303, 113.956, 106.9532, 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-0.3221, -0.3383, -0.3534, -0.3675, -0.3807, -0.3931, -0.4044, -0.4151, -0.425, -0.4341, -0.4426, -0.4506, -0.4578, -0.4647, -0.4711, -0.4771, -0.4828, -0.4883, -0.4935, -0.4986, -0.5035, -0.5085, -0.5135, -0.5184, -0.5235, -0.5288, -0.5342, -0.5398, -0.5457, -0.5518, -0.5584, -0.5652, -0.5725, -0.58, -0.5881 ] }, { "label": "25JUN27", "values": [ -0.1189, -0.1318, -0.1441, -0.1562, -0.1679, -0.1793, -0.1904, -0.2011, -0.2116, -0.2217, -0.2316, -0.2414, -0.2508, -0.2601, -0.2692, -0.2781, -0.287, -0.2957, -0.3043, -0.3128, -0.3215, -0.33, -0.3385, -0.3471, -0.3558, -0.3646, -0.3734, -0.3823, -0.3915, -0.4008, -0.4102, -0.4199, -0.4298, -0.4399, -0.4501, -0.4607, -0.4716, -0.4827, -0.4941, -0.5058, -0.5178 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-23T19:20:00+00:00", "window": { "startAt": "2026-09-22T19:20:00+00:00", "endAt": "2026-09-23T19:20:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn defensive as one-week skew swings toward puts", "standfirst": "Bitcoin one-week RR25 fell 3.05 volatility points to -1.89%, shifting relative volatility toward puts from a call-rich reading at the prior cutoff. Bitcoin one-week ATM IV fell 2.46 volatility points to 34.13%, while Bitcoin front-end ATM IV across one week to one month averaged 34.55%, down 1.97 points. The Bitcoin 26SEP26 forward price fell 2.53% to $84,426.48. One-minute realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Bitcoin skew shifts toward put protection", "summary": "Bitcoin one-week RR25 moved sharply lower while front-end ATM IV also declined across standard tenors.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Bitcoin Magazine reported $999 million of Monday inflows into bitcoin ETFs, citing Farside Investors data.", "events": [ { "eventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as one-week skew swings toward puts", "standfirst": "Bitcoin one-week RR25 fell 3.05 volatility points to -1.89%, shifting relative volatility toward puts from a call-rich reading at the prior cutoff. Bitcoin one-week ATM IV fell 2.46 volatility points to 34.13%, while Bitcoin front-end ATM IV across one week to one month averaged 34.55%, down 1.97 points. The Bitcoin 26SEP26 forward price fell 2.53% to $84,426.48. One-minute realised-volatility comparisons were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-to-SPX realised-volatility ratio was 4.62, at the 83.7 percentile across 239 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 4.62, at the 83.7 percentile across 239 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.48, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 22.269999961853024, "ivRatio": 2.56720618593025, "cryptoRealisedVol20d": 48.89224664636829, "spxRealisedVol20": 10.588159948118781, "rvSpread": 38.30408669824951, "rvRatio": 4.617633931290873, "rvSpreadPercentile": 80.75313807531381, "rvSpreadPercentileSampleCount": 239, "rvRatioPercentile": 83.68200836820084, "rvRatioPercentileSampleCount": 239, "returnCorrelation30": 0.39307072814513866, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.33024531815045005, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys market-context-v1 observations and common-session alignment." }, "btcVolContext": { "schemaVersion": 1, "source": "market-context-mcp", "type": "btc_volatility_context_latest", "asset": "BTC", "asOfTimestamp": "2026-09-23T19:20:00+00:00", "status": "available", "ds30": { "value": 40.33086952828956, "units": "volatility_points", "sourceTimestamp": "2026-09-23T19:20:00+00:00", "observedAt": null, "ingestedAt": null, "freshness": { "status": "fresh", "ageSeconds": 0.0, "evaluatedAt": "2026-09-23T19:20:00+00:00" }, "availability": null, "methodology": "Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices" }, "bviv": { "value": 38.762095491952, "units": "volatility_points", "sourceTimestamp": "2026-09-23T19:18:59+00:00", "observedAt": "2026-09-23T19:19:00+00:00", "ingestedAt": "2026-09-23T19:19:00+00:00", "freshness": { "status": "fresh", "ageSeconds": 61.0, "evaluatedAt": "2026-09-23T19:20:00+00:00" }, "availability": "streaming", "methodology": "Bitfinex BVIV reference price from the status channel" }, "bvivMinusDs30": { "value": -1.5687740363375582, "units": "volatility_points", "status": "available", "methodology": "BVIV minus independently selected latest eligible DS30 at or before the requested cutoff" } } }