{ "schemaVersion": 3, "reportDate": "2026-07-28", "generatedAt": "2026-07-28T21:56:06+00:00", "currentSnapshotAt": "2026-07-28T21:51:00+00:00", "previousSnapshotAt": "2026-07-21T21:51:00+00:00", "windowHours": 168.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately seven days 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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "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.", "snapshotSelection": "The final successful BTC surface on each observed UTC date is included. This report contains 8 daily snapshots; an approximately seven-day window contains eight observations when both the start and end dates are present." }, "fitQuality": { "currentObjective": 0.052349, "previousObjective": 0.02775188, "currentLiveError": 64.52022844, "previousLiveError": 41.22732387 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 7, "addedExpiries": [ "14AUG26", "1AUG26", "29JUL26", "30JUL26" ], "removedExpiries": [ "22JUL26", "23JUL26", "24JUL26", "25JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC weekly surface: 2W ATM IV falls 0.36 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -0.10 volatility points, RR25 -1.71 volatility points and BF25 +0.14 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.11 volatility points to 35.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 41.34% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.72 volatility points to -4.47% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.53% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.36 volatility points at 2W, to 34.96%.", "tenor": "2W", "value": -0.36 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-07-28T21:52:19+00:00", "window": { "startAt": "2026-07-21T21:51:00+00:00", "endAt": "2026-07-28T21:51:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-21T21:51:00+00:00", "endAt": "2026-07-28T21:51:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 312, "articlesPassingTimeFilter": 107, "articlesPassingSourceRelevanceRules": 23, "articlesPassingSelectionThreshold": 5, "storiesSelected": 3, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 2 }, "items": [ { "id": "news-1f538224e7ee122f", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Monetary policy decisions", "url": "https://www.ecb.europa.eu//press/pr/date/2026/html/ecb.mp260723~29f24d99bc.en.html", "publishedAt": "2026-07-23T12:15:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" }, { "id": "news-62fb79276d16635a", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Christine Lagarde, Boris Vuj\u010di\u0107: Monetary policy statement (with Q&A)", "url": "https://www.ecb.europa.eu//press/press_conference/monetary-policy-statement/2026/html/ecb.is260723~b6fadd48f4.en.html", "publishedAt": "2026-07-23T13:00:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" }, { "id": "news-b3f436f376db13a9", "sourceId": "deribit-insights", "publisher": "Deribit Insights", "title": "Crypto Derivatives: Analytics Report \u2013 Week 30", "url": "https://insights.deribit.com/industry/crypto-derivatives-analytics-report-week-30-2026/", "publishedAt": "2026-07-22T20:02:42+00:00", "summary": "Weekly recap of the crypto derivatives markets by BlockScholes. Key Insights: Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for [...] The post Crypto Derivatives: Analytics Report \u2013 Week 30 appeared first on Deribit Insights.", "matchedTerms": [ "options", "skew", "derivatives" ], "topics": [ "bitcoin", "options", "volatility" ], "sourceKind": "analysis", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%." ], "selectionReason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "status": "selected", "relevance": "direct options", "relationship": "contrary", "causal_confidence": "medium", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "RR25 2W: 3.74 points toward puts to -4.70% (put-rich)", "BF25 1W: up 0.55 points to 2.33%" ], "selection_reason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "event_cluster_id": "market-event-86f05b668abb" } ], "events": [ { "event_cluster_id": "central-bank-policy-ecb-press-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "primary_article": { "id": "news-1f538224e7ee122f", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Monetary policy decisions", "url": "https://www.ecb.europa.eu//press/pr/date/2026/html/ecb.mp260723~29f24d99bc.en.html", "publishedAt": "2026-07-23T12:15:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" }, "additional_coverage": [ { "id": "news-62fb79276d16635a", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Christine Lagarde, Boris Vuj\u010di\u0107: Monetary policy statement (with Q&A)", "url": "https://www.ecb.europa.eu//press/press_conference/monetary-policy-statement/2026/html/ecb.is260723~b6fadd48f4.en.html", "publishedAt": "2026-07-23T13:00:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" } ] }, { "event_cluster_id": "market-event-86f05b668abb", "status": "selected", "relevance": "direct options", "relationship": "contrary", "causal_confidence": "medium", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "RR25 2W: 3.74 points toward puts to -4.70% (put-rich)", "BF25 1W: up 0.55 points to 2.33%" ], "selection_reason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "primary_article": { "id": "news-b3f436f376db13a9", "sourceId": "deribit-insights", "publisher": "Deribit Insights", "title": "Crypto Derivatives: Analytics Report \u2013 Week 30", "url": "https://insights.deribit.com/industry/crypto-derivatives-analytics-report-week-30-2026/", "publishedAt": "2026-07-22T20:02:42+00:00", "summary": "Weekly recap of the crypto derivatives markets by BlockScholes. Key Insights: Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for [...] The post Crypto Derivatives: Analytics Report \u2013 Week 30 appeared first on Deribit Insights.", "matchedTerms": [ "options", "skew", "derivatives" ], "topics": [ "bitcoin", "options", "volatility" ], "sourceKind": "analysis", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%." ], "selectionReason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "status": "selected", "relevance": "direct options", "relationship": "contrary", "causal_confidence": "medium", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "RR25 2W: 3.74 points toward puts to -4.70% (put-rich)", "BF25 1W: up 0.55 points to 2.33%" ], "selection_reason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "event_cluster_id": "market-event-86f05b668abb" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "medium", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "central-bank-policy-ecb-press-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "primary_article": { "id": "news-1f538224e7ee122f", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Monetary policy decisions", "url": "https://www.ecb.europa.eu//press/pr/date/2026/html/ecb.mp260723~29f24d99bc.en.html", "publishedAt": "2026-07-23T12:15:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" }, "additional_coverage": [ { "id": "news-62fb79276d16635a", "sourceId": "ecb-press", "publisher": "European Central Bank", "title": "Christine Lagarde, Boris Vuj\u010di\u0107: Monetary policy statement (with Q&A)", "url": "https://www.ecb.europa.eu//press/press_conference/monetary-policy-statement/2026/html/ecb.is260723~b6fadd48f4.en.html", "publishedAt": "2026-07-23T13:00:00+00:00", "summary": "", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "euro" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 11, "relevanceReasons": [ "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points." ], "selectionReason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "status": "additional coverage", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "ATM slope 1Y-minus-1W: -0.53 points to 6.79 points" ], "selection_reason": "Selected as macro context because the report records ATM IV 2W: down 0.36 points to 34.96%; ATM slope 1Y-minus-1W: -0.53 points to 6.79 points.", "event_cluster_id": "central-bank-policy-ecb-press-2026-07" } ] }, { "event_cluster_id": "market-event-86f05b668abb", "status": "selected", "relevance": "direct options", "relationship": "contrary", "causal_confidence": "medium", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "RR25 2W: 3.74 points toward puts to -4.70% (put-rich)", "BF25 1W: up 0.55 points to 2.33%" ], "selection_reason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "primary_article": { "id": "news-b3f436f376db13a9", "sourceId": "deribit-insights", "publisher": "Deribit Insights", "title": "Crypto Derivatives: Analytics Report \u2013 Week 30", "url": "https://insights.deribit.com/industry/crypto-derivatives-analytics-report-week-30-2026/", "publishedAt": "2026-07-22T20:02:42+00:00", "summary": "Weekly recap of the crypto derivatives markets by BlockScholes. Key Insights: Sentiment in crypto markets is showing signs of rebounding, demonstrated by both an increase in our Block Scholes Risk Appetite indices, and in options market positioning. Short-dated put-call skew has slowly recovered through the month of July for [...] The post Crypto Derivatives: Analytics Report \u2013 Week 30 appeared first on Deribit Insights.", "matchedTerms": [ "options", "skew", "derivatives" ], "topics": [ "bitcoin", "options", "volatility" ], "sourceKind": "analysis", "rightsStatus": "review-pending", "selectionScore": 12, "relevanceReasons": [ "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%." ], "selectionReason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "status": "selected", "relevance": "direct options", "relationship": "contrary", "causal_confidence": "medium", "matched_signals": [ "ATM IV 2W: down 0.36 points to 34.96%", "RR25 2W: 3.74 points toward puts to -4.70% (put-rich)", "BF25 1W: up 0.55 points to 2.33%" ], "selection_reason": "Selected as direct options context because the report records ATM IV 2W: down 0.36 points to 34.96%; RR25 2W: 3.74 points toward puts to -4.70% (put-rich); BF25 1W: up 0.55 points to 2.33%.", "event_cluster_id": "market-event-86f05b668abb" }, "additional_coverage": [] } ] }, "marketRead": { "text": "2W RR25 moved 3.74 volatility points toward puts to -4.70%, leaving puts richer than calls; this was a large move at the 93rd percentile. Front-end ATM IV averaged 35.10%, -0.11 points from the prior snapshot, while the long end averaged 41.34%, -0.28 points. The 1Y-minus-1W ATM slope flattened 0.53 points to 6.79 points. 2W ATM IV fell 0.36 volatility points to 34.96%. 1W BF25 rose 0.55 volatility points to 2.33%. The nearest eligible forward, 31JUL26, fell $2,444.34 (-3.68%) to $63,977.12. Relevant context found; no confirmed catalyst; the strongest assessed relationship has medium causal confidence.", "wordCount": 94, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "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 -0.11 volatility points to 35.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 41.34% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.72 volatility points to -4.47% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.53% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.36 volatility points at 2W, to 34.96%.", "tenor": "2W", "value": -0.36 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.1, "rr25Change": -1.71, "bf25Change": 0.14, "largestAtmMove": { "tenor": "2W", "current": 34.96, "previous": 35.32, "change": -0.36, "historicalSignificance": { "absoluteMove": 0.36, "movePercentile30d": 6.7, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 28.1, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 89, "levelObservationsFullHistory": 96 } }, "frontEndAverageAtm": { "current": 35.1, "previous": 35.21, "change": -0.11 }, "longEndAverageAtm": { "current": 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