{ "schemaVersion": 3, "reportDate": "2026-07-31", "generatedAt": "2026-08-01T12:47:33+00:00", "currentSnapshotAt": "2026-07-31T23:59:00+00:00", "previousSnapshotAt": "2026-07-24T23:59:00+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.", "dailyReportInputs": "The weekly edition reuses 8 validated daily reports from 2026-07-24 through 2026-07-31; their stored headlines, reader summaries, news outcomes and principal ATM facts form the daily report trail." }, "fitQuality": { "currentObjective": 0.18434595, "previousObjective": 0.36154213, "currentLiveError": 389.27591257, "previousLiveError": 319.62844906 }, "coverage": { "currentListedExpiries": 13, "previousListedExpiries": 12, "comparedListedExpiries": 7, "addedExpiries": [ "1AUG26", "21AUG26", "2AUG26", "30OCT26", "3AUG26", "4AUG26" ], "removedExpiries": [ "25JUL26", "26JUL26", "27JUL26", "28JUL26", "31JUL26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC weekly surface: 1W ATM IV falls 2.43 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -1.18 volatility points, RR25 -0.62 volatility points and BF25 -0.27 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.82 volatility points to 32.59% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.23 volatility points to 41.31% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.61 volatility points to -4.35% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.26 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.43 volatility points at 1W, to 31.75%.", "tenor": "1W", "value": -2.43 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": { "schemaVersion": 1, "source": "market-news-collector", "generatedAt": "2026-08-01T12:40:45+00:00", "window": { "startAt": "2026-07-24T23:59:00+00:00", "endAt": "2026-07-31T23:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-07-24T23:59:00+00:00", "endAt": "2026-07-31T23:59:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 13, "successfulSources": 13, "failedSources": 0 }, "selection": { "feedsQueried": 13, "publishersQueried": 13, "feedEntriesScanned": 327, "articlesPassingTimeFilter": 96, "articlesPassingSourceRelevanceRules": 22, "articlesPassingSelectionThreshold": 6, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 6, "eventsSelected": 2 }, "items": [ { "id": "news-e290aabba3caad80", "sourceId": "federal-reserve-monetary-policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a.htm", "publishedAt": "2026-07-29T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "FOMC" ], "topics": [ "macro", "monetary-policy", "rates" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-07" }, { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" } ], "events": [ { "event_cluster_id": "fed-policy-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-e290aabba3caad80", "sourceId": "federal-reserve-monetary-policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a.htm", "publishedAt": "2026-07-29T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "FOMC" ], "topics": [ "macro", "monetary-policy", "rates" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-07" }, "additional_coverage": [] }, { "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "fed-policy-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-e290aabba3caad80", "sourceId": "federal-reserve-monetary-policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260729a.htm", "publishedAt": "2026-07-29T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "FOMC" ], "topics": [ "macro", "monetary-policy", "rates" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-07" }, "additional_coverage": [] }, { "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "primary_article": { "id": "news-5032b8230b3b0553", "sourceId": "bank-of-england-news", "publisher": "Bank of England", "title": "Bank Rate maintained at 3.75% - July 2026 Monetary Policy Summary and Minutes", "url": "https://www.bankofengland.co.uk/monetary-policy-summary-and-minutes/2026/july-2026", "publishedAt": "2026-07-30T11:00:00+00:00", "summary": "The Bank of England\u2019s Monetary Policy Committee is responsible for making decisions about Bank Rate.", "matchedTerms": [ "monetary policy" ], "topics": [ "macro", "monetary-policy", "sterling" ], "sourceKind": "central-bank", "rightsStatus": "review-pending", "selectionScore": 14, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 2.43 points to 31.75%", "ATM slope 1Y-minus-1W: +2.37 points to 10.66 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 2.43 points to 31.75%; the surface data does not establish a causal relationship.", "event_cluster_id": "central-bank-policy-bank-of-england-news-2026-07" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV fell 2.43 volatility points to 31.75%, a routine move at the 47th percentile. Front-end ATM IV averaged 32.59%, -1.82 points from the prior snapshot, while the long end averaged 41.31%, -0.23 points. The 1Y-minus-1W ATM slope steepened 2.37 points to 10.66 points. 2W RR25 moved 1.73 volatility points toward puts to -4.15%, leaving puts richer than calls. 1M BF25 fell 0.58 volatility points to 2.00%. The nearest eligible forward, 7AUG26, fell $1,341.87 (-2.09%) to $62,851.44. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 92, "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 -1.82 volatility points to 32.59% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.23 volatility points to 41.31% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.61 volatility points to -4.35% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.26 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.43 volatility points at 1W, to 31.75%.", "tenor": "1W", "value": -2.43 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.18, "rr25Change": -0.62, "bf25Change": -0.27, "largestAtmMove": { "tenor": "1W", "current": 31.75, "previous": 34.18, "change": -2.43, "historicalSignificance": { "absoluteMove": 2.43, "movePercentile30d": 46.7, "movePercentileFullHistory": 42.4, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 } }, "frontEndAverageAtm": { "current": 32.59, "previous": 34.41, "change": -1.82 }, "longEndAverageAtm": { "current": 41.31, "previous": 41.55, "change": -0.23 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.66, "previous": 8.29, "change": 2.37 }, "largestRr25Move": { "tenor": "2W", "current": -4.15, "previous": -2.42, "change": -1.73, "historicalSignificance": { "absoluteMove": 1.73, "movePercentile30d": 56.7, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 61.6, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.0, "previous": 2.58, "change": -0.58, "historicalSignificance": { "absoluteMove": 0.58, "movePercentile30d": 86.7, "movePercentileFullHistory": 76.1, "currentLevelPercentileFullHistory": 21.2, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 } }, "nearestEligibleForwardMove": { "label": "7AUG26", "daysToExpiry": 6.334, "current": 62851.44, "previous": 64193.31, "change": -1341.87, "percentChange": -2.09 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1786147142201, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.75, "previous": 34.18, "change": -2.43, "percentChange": -7.11 }, "rr25": { "current": -3.28, "previous": -1.63, "change": -1.65, "percentChange": -101.23 }, "bf25": { "current": 1.86, "previous": 1.83, "change": 0.03, "percentChange": 1.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.43, "movePercentile30d": 46.7, "movePercentileFullHistory": 42.4, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 1.65, "movePercentile30d": 56.7, "movePercentileFullHistory": 48.9, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 13.3, "movePercentileFullHistory": 5.4, "currentLevelPercentileFullHistory": 47.5, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 } } }, { "tenor": "2W", "targetExpiry": 1786751942201, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.36, "previous": 34.24, "change": -1.88, "percentChange": -5.49 }, "rr25": { "current": -4.15, "previous": -2.42, "change": -1.73, "percentChange": -71.49 }, "bf25": { "current": 1.77, "previous": 2.14, "change": -0.37, "percentChange": -17.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.88, "movePercentile30d": 46.7, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 4.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 1.73, "movePercentile30d": 56.7, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 61.6, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.37, "movePercentile30d": 60.0, "movePercentileFullHistory": 51.1, "currentLevelPercentileFullHistory": 28.3, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 } } }, { "tenor": "1M", "targetExpiry": 1788134342201, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.66, "previous": 34.81, "change": -1.15, "percentChange": -3.3 }, "rr25": { "current": -5.1, "previous": -4.22, "change": -0.88, "percentChange": -20.85 }, "bf25": { "current": 2.0, "previous": 2.58, "change": -0.58, "percentChange": -22.48 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.15, "movePercentile30d": 36.7, "movePercentileFullHistory": 34.8, "currentLevelPercentileFullHistory": 4.0, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 0.88, "movePercentile30d": 40.0, "movePercentileFullHistory": 33.7, "currentLevelPercentileFullHistory": 52.5, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.58, "movePercentile30d": 86.7, "movePercentileFullHistory": 76.1, "currentLevelPercentileFullHistory": 21.2, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 } } }, { "tenor": "3M", "targetExpiry": 1793404742201, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.16, "previous": 38.29, "change": -1.13, "percentChange": -2.95 }, "rr25": { "current": -5.09, "previous": -4.78, "change": -0.31, "percentChange": -6.49 }, "bf25": { "current": 2.19, "previous": 2.76, "change": -0.57, "percentChange": -20.65 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.13, "movePercentile30d": 53.3, "movePercentileFullHistory": 42.4, "currentLevelPercentileFullHistory": 9.1, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 10.0, "movePercentileFullHistory": 10.9, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": 10.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 92, "levelObservationsFullHistory": 99 }, "bf25": { "absoluteMove": 0.57, "movePercentile30d": 96.7, "movePercentileFullHistory": 92.4, 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-3.1, "bf25": 1.86 }, "1M": { "atmIv": 33.39, "rr25": -5.01, "bf25": 2.17 }, "3M": { "atmIv": 37.38, "rr25": -4.76, "bf25": 2.24 }, "6M": { "atmIv": 40.15, "rr25": -4.34, "bf25": 2.6 }, "9M": { "atmIv": 41.35, "rr25": -4.11, "bf25": 2.59 }, "1Y": { "atmIv": 42.2, "rr25": -3.81, "bf25": 2.55 } } }, { "date": "2026-07-31", "snapshotAt": "2026-07-31T23:59:00+00:00", "tenors": { "1W": { "atmIv": 31.75, "rr25": -3.28, "bf25": 1.86 }, "2W": { "atmIv": 32.36, "rr25": -4.15, "bf25": 1.77 }, "1M": { "atmIv": 33.66, "rr25": -5.1, "bf25": 2.0 }, "3M": { "atmIv": 37.16, "rr25": -5.09, "bf25": 2.19 }, "6M": { "atmIv": 40.21, "rr25": -4.56, "bf25": 2.58 }, "9M": { "atmIv": 41.49, "rr25": -4.26, "bf25": 2.58 }, "1Y": { "atmIv": 42.41, "rr25": -3.91, "bf25": 2.53 } } } ], "weeklyStatistics": { "observedDays": 8, "metricRanges": [ { "tenor": "1W", "atmIv": { "minimum": 31.75, "maximum": 36.21, "range": 4.46 }, "rr25": { "minimum": -3.64, "maximum": -1.63, "range": 2.01 }, "bf25": { "minimum": 1.83, "maximum": 2.36, "range": 0.53 } }, { "tenor": "2W", "atmIv": { "minimum": 32.25, "maximum": 35.52, "range": 3.27 }, "rr25": { "minimum": -4.72, "maximum": -2.42, "range": 2.3 }, "bf25": { "minimum": 1.77, "maximum": 2.4, "range": 0.63 } }, { "tenor": "1M", "atmIv": { "minimum": 33.39, "maximum": 35.42, "range": 2.03 }, "rr25": { "minimum": -5.17, "maximum": -4.22, "range": 0.95 }, "bf25": { "minimum": 2.0, "maximum": 2.58, "range": 0.58 } }, { "tenor": "3M", "atmIv": { "minimum": 37.16, "maximum": 38.7, "range": 1.54 }, "rr25": { "minimum": -5.09, "maximum": -4.55, "range": 0.54 }, "bf25": { "minimum": 2.19, "maximum": 2.78, "range": 0.59 } }, { "tenor": "6M", "atmIv": { "minimum": 40.15, "maximum": 40.8, "range": 0.65 }, "rr25": { "minimum": -4.92, "maximum": -4.34, "range": 0.58 }, "bf25": { "minimum": 2.58, "maximum": 2.82, "range": 0.24 } }, { "tenor": "9M", "atmIv": { "minimum": 41.35, "maximum": 41.82, "range": 0.47 }, "rr25": { "minimum": -4.78, "maximum": -4.11, "range": 0.67 }, "bf25": { "minimum": 2.57, "maximum": 2.77, "range": 0.2 } }, { "tenor": "1Y", "atmIv": { "minimum": 42.2, "maximum": 42.61, "range": 0.41 }, "rr25": { "minimum": -4.45, "maximum": -3.81, "range": 0.64 }, "bf25": { "minimum": 2.39, "maximum": 2.66, "range": 0.27 } } ], "largestDailyMoves": [ { "metric": "atmIv", "tenor": "1W", "fromDate": "2026-07-29", "toDate": "2026-07-30", "change": -3.0, "score": 3.0 }, { "metric": "atmIv", "tenor": "2W", "fromDate": "2026-07-29", "toDate": "2026-07-30", "change": -2.48, "score": 2.48 }, { "metric": "atmIv", "tenor": "1M", "fromDate": "2026-07-29", "toDate": "2026-07-30", "change": -1.95, "score": 1.95 }, { "metric": "atmIv", "tenor": "1W", "fromDate": "2026-07-24", "toDate": "2026-07-25", "change": 1.81, "score": 1.81 }, { "metric": "rr25", "tenor": "1W", "fromDate": "2026-07-24", "toDate": "2026-07-25", "change": -1.69, "score": 1.69 }, { "metric": "rr25", "tenor": "2W", "fromDate": "2026-07-24", "toDate": "2026-07-25", "change": -1.58, "score": 1.58 }, { "metric": "atmIv", "tenor": "2W", "fromDate": "2026-07-24", "toDate": "2026-07-25", "change": 1.28, "score": 1.28 }, { "metric": "atmIv", "tenor": "3M", "fromDate": "2026-07-29", "toDate": "2026-07-30", "change": -1.22, "score": 1.22 }, { "metric": "rr25", "tenor": "2W", "fromDate": "2026-07-30", "toDate": "2026-07-31", "change": -1.05, "score": 1.05 }, { "metric": "rr25", "tenor": "2W", "fromDate": "2026-07-29", "toDate": "2026-07-30", "change": 1.01, "score": 1.01 } ] }, "dailyReportInputs": [ { "reportDate": "2026-07-24", "href": "/reports/2026-07-24", "currentSnapshotAt": "2026-07-24T23:59:00+00:00", "headline": "BTC options volatility eases, led by the front end, as put-side skew increases", "readerSummary": "ATM implied volatility declined across maturities, with the largest standard-tenor move at 2W, while RR25 moved modestly toward puts and BF25 was broadly unchanged.", "readerSummarySource": "executiveSummary", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "2W", "change": -2.08, "current": 34.24 } }, { "reportDate": "2026-07-25", "href": "/reports/2026-07-25", "currentSnapshotAt": "2026-07-25T17:50:00+00:00", "headline": "BTC options volatility rises, led by the front end", "readerSummary": "ATM IV increased across tenors, with the strongest move at 1W, while RR25 shifted toward puts and BF25 was broadly unchanged.", "readerSummarySource": "executiveSummary", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": 2.12, "current": 35.71 } }, { "reportDate": "2026-07-26", "href": "/reports/2026-07-26", "currentSnapshotAt": "2026-07-26T17:13:00+00:00", "headline": "BTC front-end implied volatility rises as longer-dated volatility eases", "readerSummary": "Front-end ATM IV increased, led by a +1.38 volatility-point move at 1W, while long-dated ATM IV declined; skew and convexity were broadly unchanged.", "readerSummarySource": "executiveSummary", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": 1.38, "current": 37.08 } }, { "reportDate": "2026-07-27", "href": "/reports/2026-07-27", "currentSnapshotAt": "2026-07-27T17:17:00+00:00", "headline": "BTC front-end volatility eases as 25-delta skew shifts toward calls", "readerSummary": "Front-end ATM IV fell, including a 2.25-point decline at 1W, while long-dated IV was broadly unchanged and RR25 moved modestly toward calls.", "readerSummarySource": "executiveSummary", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": -2.25, "current": 34.73 } }, { "reportDate": "2026-07-28", "href": "/reports/2026-07-28", "currentSnapshotAt": "2026-07-28T21:48:00+00:00", "headline": "BTC front-end volatility rises as put-side skew firms", "readerSummary": "2W RR25 moved 1.55 volatility points toward puts to -4.69%, leaving puts richer than calls; this was a notable move at the 83rd percentile. Front-end ATM IV averaged 35.07%, +0.51 points from the prior snapshot, while the long end averaged 41.33%, -0.18 points. The 1Y-minus-1W ATM slope flattened 0.87 points to 6.85 points. 1W ATM IV rose 0.73 volatility points to 35.43%. 1W BF25 rose 0.40 volatility points to 2.35%. The nearest eligible forward, 31JUL26, fell $797.93 (-1.23%) to $63,976.40. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "Relevant context found; no confirmed catalyst", "largestAtmMove": { "tenor": "1W", "change": 0.73, "current": 35.43 } }, { "reportDate": "2026-07-29", "href": "/reports/2026-07-29", "currentSnapshotAt": "2026-07-29T17:53:00+00:00", "headline": "BTC options volatility rises, led by the front end", "readerSummary": "1W ATM IV rose 2.28 volatility points to 37.61%, a notable move at the 83rd percentile. Front-end ATM IV averaged 36.92%, +1.74 points from the prior snapshot, while the long end averaged 41.58%, +0.20 points. The 1Y-minus-1W ATM slope flattened 2.13 points to 4.85 points. 1W RR25 moved 0.63 volatility points toward puts to -4.01%, leaving puts richer than calls. 2W BF25 fell 0.06 volatility points to 2.21%. The nearest eligible forward, 1AUG26, rose $425.87 (+0.67%) to $64,014.24. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "Relevant context found; no confirmed catalyst", "largestAtmMove": { "tenor": "1W", "change": 2.28, "current": 37.61 } }, { "reportDate": "2026-07-30", "href": "/reports/2026-07-30", "currentSnapshotAt": "2026-07-30T16:03:00+00:00", "headline": "BTC options volatility falls, with skew tilting toward calls", "readerSummary": "1W ATM IV fell 5.20 volatility points to 31.93%, an exceptional move at the 100th percentile. Front-end ATM IV averaged 32.61%, -3.80 points from the prior snapshot, while the long end averaged 41.30%, -0.21 points. The 1Y-minus-1W ATM slope steepened 5.07 points to 10.37 points. 2W RR25 moved 1.65 volatility points toward calls to -3.31%, leaving puts richer than calls. 1W BF25 fell 0.40 volatility points to 1.93%. The nearest eligible forward, 2AUG26, rose $843.71 (+1.32%) to $64,728.82. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "Relevant context found; no confirmed catalyst", "largestAtmMove": { "tenor": "1W", "change": -5.2, "current": 31.93 } }, { "reportDate": "2026-07-31", "href": "/reports/2026-07-31", "currentSnapshotAt": "2026-07-31T19:29:00+00:00", "headline": "BTC options stay broadly steady as put-side volatility firms", "readerSummary": "2W RR25 moved 0.73 volatility points toward puts to -4.03%, leaving puts richer than calls; this was a routine move at the 63rd percentile. Front-end ATM IV averaged 32.37%, +0.05 points from the prior snapshot, while the long end averaged 41.27%, +0.07 points. The 1Y-minus-1W ATM slope steepened 0.48 points to 10.88 points. 1W ATM IV fell 0.32 volatility points to 31.49%. 1M BF25 fell 0.23 volatility points to 1.94%. The nearest eligible forward, 3AUG26, fell $1,885.98 (-2.91%) to $62,979.07. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "Relevant context found; no confirmed catalyst", "largestAtmMove": { "tenor": "1W", "change": -0.32, "current": 31.49 } } ], "dailyReportReview": { "reportsIncluded": 8, "firstReportDate": "2026-07-24", "lastReportDate": "2026-07-31", "largestReportedAtmMove": { "reportDate": "2026-07-30", "href": "/reports/2026-07-30", "tenor": "1W", "change": -5.2, "current": 31.93 }, "newsOutcomeCounts": { "No sufficiently relevant context identified": 4, "Relevant context found; no confirmed catalyst": 4 } } }