{ "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:45:08+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-05T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346338, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 275822, "timestamp": "2026-09-05T16:29:00+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 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.", "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 2026-09-05 through 2026-09-12; their stored headlines, reader summaries, news outcomes and principal ATM facts form the daily report trail." }, "fitQuality": { "currentObjective": 0.03395337, "previousObjective": 0.07185592, "currentLiveError": 59.71846127, "previousLiveError": 90.80263325 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 7, "addedExpiries": [ "13SEP26", "14SEP26", "15SEP26", "16SEP26", "2OCT26" ], "removedExpiries": [ "11SEP26", "6SEP26", "7SEP26", "8SEP26", "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "deterministic", "model": null, "headline": "BTC weekly surface: 2W ATM IV falls 1.52 volatility points", "executiveSummary": "Across the six headline tenors, ATM IV averaged -0.67 volatility points, RR25 -1.31 volatility points and BF25 +0.01 volatility points between the stored endpoints.", "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.50 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.98 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.31 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.52 volatility points at 2W, to 34.46%.", "tenor": "2W", "value": -1.52 } ], "evidenceIds": [ "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "MACRO" ], "completedScopes": [ "BTC", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 21, "hasMore": false, "nextCursor": null, "resultSha256": "f8daf1ef8eab2044d552a73e1ca34f9550e33100d676725559a61f313e0e908f" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-05T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 1, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 2, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "2W RR25 moved 1.87 volatility points toward puts to -0.50%, leaving puts richer than calls; this was a routine move at the 56th percentile among 135 comparable historical observations. Front-end ATM IV averaged 34.87%, -0.50 points from the prior snapshot, while the long end averaged 39.19%, -0.98 points. 2W ATM IV fell 1.52 volatility points to 34.46%. 2W BF25 rose 0.09 volatility points to 1.88%. The nearest eligible forward, 18SEP26, fell $2,475.93 (-3.10%) to $77,411.55. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 88, "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 -0.50 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.98 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.31 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.52 volatility points at 2W, to 34.46%.", "tenor": "2W", "value": -1.52 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.67, "rr25Change": -1.31, "bf25Change": 0.01, "largestAtmMove": { "tenor": "2W", "current": 34.46, "previous": 35.98, "change": -1.52, "historicalSignificance": { "absoluteMove": 1.52, "movePercentile30d": 23.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 33.1, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } }, "frontEndAverageAtm": { "current": 34.87, "previous": 35.38, "change": -0.5 }, "longEndAverageAtm": { "current": 39.19, "previous": 40.17, "change": -0.98 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.5, "previous": 1.37, "change": -1.87, "historicalSignificance": { "absoluteMove": 1.87, "movePercentile30d": 46.7, "movePercentileFullHistory": 56.3, "currentLevelPercentileFullHistory": 86.6, "classificationPercentile": 56.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.88, "previous": 1.79, "change": 0.09, "historicalSignificance": { "absoluteMove": 0.09, "movePercentile30d": 23.3, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 5.647, "current": 77411.55, "previous": 79887.48, "change": -2475.93, "percentChange": -3.1 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.76, "previous": 33.55, "change": 1.21, "percentChange": 3.61 }, "rr25": { "current": -0.37, "previous": 1.14, "change": -1.51, "percentChange": -132.46 }, "bf25": { "current": 1.77, "previous": 1.7, "change": 0.07, "percentChange": 4.12 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.21, "movePercentile30d": 6.7, "movePercentileFullHistory": 17.8, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 17.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 1.51, "movePercentile30d": 53.3, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 84.5, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 3.3, "movePercentileFullHistory": 7.4, "currentLevelPercentileFullHistory": 37.3, "classificationPercentile": 7.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "2W", "targetExpiry": 1790440140455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.46, "previous": 35.98, "change": -1.52, "percentChange": -4.22 }, "rr25": { "current": -0.5, "previous": 1.37, "change": -1.87, "percentChange": -136.5 }, "bf25": { "current": 1.88, "previous": 1.79, "change": 0.09, "percentChange": 5.03 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.52, "movePercentile30d": 23.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 33.1, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 1.87, "movePercentile30d": 46.7, "movePercentileFullHistory": 56.3, "currentLevelPercentileFullHistory": 86.6, "classificationPercentile": 56.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 23.3, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "1M", "targetExpiry": 1791822540455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.4, "previous": 36.6, "change": -1.2, "percentChange": -3.28 }, "rr25": { "current": -0.75, "previous": 1.03, "change": -1.78, "percentChange": -172.82 }, "bf25": { "current": 2.11, "previous": 2.19, "change": -0.08, "percentChange": -3.65 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.2, "movePercentile30d": 20.0, "movePercentileFullHistory": 31.1, "currentLevelPercentileFullHistory": 38.0, "classificationPercentile": 31.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 1.78, "movePercentile30d": 43.3, "movePercentileFullHistory": 58.5, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 58.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 23.3, "movePercentileFullHistory": 25.2, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 25.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "3M", "targetExpiry": 1797092940455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.96, "previous": 38.84, "change": -0.88, "percentChange": -2.27 }, "rr25": { "current": -0.51, "previous": 0.19, "change": -0.7, "percentChange": -368.42 }, "bf25": { "current": 2.27, "previous": 2.35, "change": -0.08, "percentChange": -3.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.88, "movePercentile30d": 33.3, "movePercentileFullHistory": 34.1, "currentLevelPercentileFullHistory": 31.0, "classificationPercentile": 34.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.7, "movePercentile30d": 50.0, "movePercentileFullHistory": 38.5, "currentLevelPercentileFullHistory": 91.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 16.7, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 32.4, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "6M", "targetExpiry": 1804955340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.19, "previous": 40.17, "change": -0.98, "percentChange": -2.44 }, "rr25": { "current": -0.72, "previous": -0.05, "change": -0.67, "percentChange": -1340.0 }, "bf25": { "current": 2.58, "previous": 2.55, "change": 0.03, "percentChange": 1.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.98, "movePercentile30d": 56.7, "movePercentileFullHistory": 62.2, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 62.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.67, "movePercentile30d": 56.7, "movePercentileFullHistory": 59.3, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 59.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 16.7, "movePercentileFullHistory": 18.5, "currentLevelPercentileFullHistory": 47.9, "classificationPercentile": 18.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "9M", "targetExpiry": 1812817740455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.39, "previous": 41.42, "change": -1.03, "percentChange": -2.49 }, "rr25": { "current": -0.62, "previous": 0.09, "change": -0.71, "percentChange": -788.89 }, "bf25": { "current": 2.72, "previous": 2.77, "change": -0.05, "percentChange": -1.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.03, "movePercentile30d": 73.3, "movePercentileFullHistory": 77.0, "currentLevelPercentileFullHistory": 1.4, "classificationPercentile": 77.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.71, "movePercentile30d": 56.7, "movePercentileFullHistory": 70.4, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 70.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 26.7, "movePercentileFullHistory": 23.7, "currentLevelPercentileFullHistory": 67.6, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 142 } } }, { "tenor": "1Y", "targetExpiry": 1820766540455, "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": "18SEP26", "expiry": 1789718400000, "tauYears": 0.01546995, "daysToExpiry": 5.647, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77411.55, "previous": 79887.48, "change": -2475.93, "percentChange": -3.1 }, "atmIv": { "current": 35.0, "previous": 36.0, "change": -1.0, "percentChange": -2.78 }, "rr25": { "current": -0.35, "previous": 1.4, "change": -1.75, "percentChange": -125.0 }, "bf25": { "current": 1.73, "previous": 1.74, "change": -0.01, "percentChange": -0.57 }, "svi": { "a": { "current": -0.0669, "previous": -0.0637, "change": -0.0032, "percentChange": -4.96 }, "b": { "current": 0.1227, "previous": 0.1258, "change": -0.0031, "percentChange": -2.44 }, "rho": { "current": -0.1584, "previous": -0.2373, "change": 0.0789, "percentChange": 33.24 }, "m": { "current": -0.0873, "previous": -0.1523, "change": 0.065, "percentChange": 42.68 }, "sigma": { "current": 0.5674, "previous": 0.5577, "change": 0.0097, "percentChange": 1.73 } }, "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": [ 86.7453, 83.2563, 79.7807, 76.3246, 72.8948, 69.4996, 66.1482, 62.8518, 59.6233, 56.478, 53.4338, 50.5119, 47.7374, 45.1394, 42.7513, 40.6107, 38.7583, 37.2362, 36.0839, 35.3346, 35.0103, 35.1181, 35.6484, 36.5771, 37.8682, 39.4797, 41.3672, 43.4878, 45.8023, 48.2761, 50.8793, 53.5866, 56.3768, 59.2322, 62.138, 65.082, 68.0541, 71.0457, 74.0498, 77.0605, 80.0728 ], "previous": [ 61.9277, 59.7752, 57.6593, 55.5862, 53.5629, 51.5972, 49.6973, 47.8727, 46.1332, 44.4899, 42.9541, 41.5379, 40.2538, 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"1W", "fromDate": "2026-09-05", "toDate": "2026-09-06", "change": 2.04, "score": 2.04 }, { "metric": "atmIv", "tenor": "2W", "fromDate": "2026-09-07", "toDate": "2026-09-08", "change": 1.65, "score": 1.65 }, { "metric": "atmIv", "tenor": "1W", "fromDate": "2026-09-06", "toDate": "2026-09-07", "change": -1.52, "score": 1.52 }, { "metric": "rr25", "tenor": "1W", "fromDate": "2026-09-08", "toDate": "2026-09-09", "change": -1.49, "score": 1.49 }, { "metric": "rr25", "tenor": "1W", "fromDate": "2026-09-07", "toDate": "2026-09-08", "change": 1.48, "score": 1.48 }, { "metric": "atmIv", "tenor": "2W", "fromDate": "2026-09-06", "toDate": "2026-09-07", "change": -1.43, "score": 1.43 } ] }, "dailyReportInputs": [ { "reportDate": "2026-09-05", "href": "/reports/2026-09-05", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "headline": "Bitcoin’s one-week volatility move dominates the surface", "readerSummary": "1W ATM IV rose 3.24 volatility points to 34.95%, a notable move at the 83rd percentile among 134 comparable historical observations. At the cutoff, realised volatility measured 16.90% over 24 hours, 36.54% over seven days and 37.65% over 30 days. Front-end ATM IV averaged 36.22%, +2.02 points from the prior snapshot, while the long end averaged 40.15%, +0.24 points. 1W RR25 moved 1.02 volatility points toward calls to 1.62%, leaving calls richer than puts. 1W BF25 rose 0.08 volatility points to 1.76%. The nearest eligible forward, 8SEP26, rose $266.87 (+0.34%) to $79,914.47. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": 3.24, "current": 34.95 } }, { "reportDate": "2026-09-06", "href": "/reports/2026-09-06", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "headline": "Bitcoin’s curve adds convexity without a broad long-end reset", "readerSummary": "1W ATM IV rose 2.36 volatility points to 36.83%, a routine move at the 67th percentile among 135 comparable historical observations. At the cutoff, realised volatility measured 18.76% over 24 hours, 36.36% over seven days and 37.53% over 30 days. Front-end ATM IV averaged 37.24%, +1.28 points from the prior snapshot, while the long end averaged 40.13%, -0.07 points. 3M RR25 moved 0.12 volatility points toward puts to -0.05%, leaving puts richer than calls. 6M BF25 rose 0.12 volatility points to 2.68%. The nearest eligible forward, 9SEP26, fell $431.03 (-0.54%) to $79,674.93. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": 2.36, "current": 36.83 } }, { "reportDate": "2026-09-07", "href": "/reports/2026-09-07", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "headline": "Bitcoin’s short-dated skew becomes put-rich", "readerSummary": "1W RR25 moved 1.38 volatility points toward puts to -0.22%, leaving puts richer than calls; this was a notable move at the 79th percentile among 136 comparable historical observations. At the cutoff, realised volatility measured 25.44% over 24 hours, 34.18% over seven days and 37.75% over 30 days. Front-end ATM IV averaged 36.82%, -0.33 points from the prior snapshot, while the long end averaged 39.93%, -0.21 points. 2W ATM IV fell 0.63 volatility points to 36.77%. 6M BF25 fell 0.13 volatility points to 2.54%. The nearest eligible forward, 10SEP26, fell $722.13 (-0.91%) to $78,993.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "2W", "change": -0.63, "current": 36.77 } }, { "reportDate": "2026-09-08", "href": "/reports/2026-09-08", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "headline": "Bitcoin’s short-dated call-side premium becomes the main signal", "readerSummary": "1W ATM IV rose 2.86 volatility points to 39.57%, a notable move at the 77th percentile among 137 comparable historical observations. At the cutoff, realised volatility measured 27.74% over 24 hours, 33.47% over seven days and 38.06% over 30 days. Front-end ATM IV averaged 38.67%, +1.87 points from the prior snapshot, while the long end averaged 40.12%, +0.17 points. 1W RR25 moved 1.52 volatility points toward calls to 1.31%, leaving calls richer than puts. 1M BF25 rose 0.22 volatility points to 2.37%. The nearest eligible forward, 11SEP26, fell $185.98 (-0.24%) to $78,643.03. 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": 2.86, "current": 39.57 } }, { "reportDate": "2026-09-09", "href": "/reports/2026-09-09", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "headline": "Bitcoin’s one-week convexity increase accompanies a firmer front end", "readerSummary": "1W ATM IV rose 0.90 volatility points to 40.47%, a routine move at the 31st percentile among 138 comparable historical observations. At the cutoff, realised volatility measured 37.01% over 24 hours, 33.07% over seven days and 38.42% over 30 days. Front-end ATM IV averaged 39.36%, +0.69 points from the prior snapshot, while the long end averaged 40.33%, +0.21 points. 1W RR25 moved 0.53 volatility points toward puts to 0.78%, leaving calls richer than puts. 1W BF25 rose 0.25 volatility points to 2.12%. The nearest eligible forward, 12SEP26, fell $20.22 (-0.03%) to $78,631.38. News context unavailable; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "News context unavailable", "largestAtmMove": { "tenor": "1W", "change": 0.9, "current": 40.47 } }, { "reportDate": "2026-09-10", "href": "/reports/2026-09-10", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "headline": "Bitcoin’s lower front-end volatility came with a defensive skew shift", "readerSummary": "1W ATM IV fell 1.48 volatility points to 38.99%, a routine move at the 47th percentile among 30 comparable historical observations. At the cutoff, realised volatility measured 32.58% over 24 hours, 32.18% over seven days and 38.70% over 30 days. Front-end ATM IV averaged 38.22%, -1.14 points from the prior snapshot, while the long end averaged 40.07%, -0.26 points. 1M RR25 moved 0.97 volatility points toward puts to -0.38%, leaving puts richer than calls. 1M BF25 fell 0.19 volatility points to 2.24%. The nearest eligible forward, 13SEP26, fell $1,712.29 (-2.18%) to $76,924.56. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": -1.48, "current": 38.99 } }, { "reportDate": "2026-09-11", "href": "/reports/2026-09-11", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "headline": "Bitcoin front-end volatility falls as spot rises", "readerSummary": "1W ATM IV fell 2.65 volatility points to 36.34%, a notable move at the 71st percentile among 140 comparable historical observations. At the cutoff, realised volatility measured 47.59% over 24 hours, 31.16% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 35.99%, -2.23 points from the prior snapshot, while the long end averaged 39.67%, -0.40 points. 1W RR25 moved 0.68 volatility points toward puts to 0.11%, leaving calls richer than puts. 6M BF25 fell 0.17 volatility points to 2.49%. The nearest eligible forward, 14SEP26, rose $783.68 (+1.02%) to $77,738.67. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": -2.65, "current": 36.34 } }, { "reportDate": "2026-09-12", "href": "/reports/2026-09-12", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "headline": "BTC daily surface: 1W ATM IV falls 1.58 volatility points", "readerSummary": "1W ATM IV fell 1.58 volatility points to 34.76%, a routine move at the 48th percentile among 141 comparable historical observations. At the cutoff, realised volatility measured 20.73% over 24 hours, 31.42% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 34.87%, -1.11 points from the prior snapshot, while the long end averaged 39.19%, -0.48 points. 1W RR25 moved 0.48 volatility points toward puts to -0.37%, leaving puts richer than calls. 1W BF25 fell 0.12 volatility points to 1.77%. The nearest eligible forward, 15SEP26, fell $372.23 (-0.48%) to $77,378.15. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "readerSummarySource": "marketRead", "newsOutcome": "No sufficiently relevant context identified", "largestAtmMove": { "tenor": "1W", "change": -1.58, "current": 34.76 } } ], "dailyReportReview": { "reportsIncluded": 8, "firstReportDate": "2026-09-05", "lastReportDate": "2026-09-12", "largestReportedAtmMove": { "reportDate": "2026-09-05", "href": "/reports/2026-09-05", "tenor": "1W", "change": 3.24, "current": 34.95 }, "newsOutcomeCounts": { "No sufficiently relevant context identified": 6, "Relevant context found; no confirmed catalyst": 1, "News context unavailable": 1 } }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-05T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "headline": "Bitcoin options grow more defensive as volatility eases across maturities", "standfirst": "Bitcoin’s two-week RR25 fell 1.87 volatility points to -0.50% during the week, leaving relative put-side volatility above call-side volatility. Front-end ATM IV averaged 34.87%, down 0.50 points, while long-dated ATM IV averaged 39.19%, down 0.98 points. The nearest eligible forward fell 3.10% over the comparison window.", "days": [ { "reportDate": "2026-09-06", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-07", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-08", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-09", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-10", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-11", "headline": "No qualifying context for Bitcoin options", "summary": "No eligible news context was retained for this date within the weekly observation window.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } }, { "reportDate": "2026-09-12", "headline": "Bitcoin skew finishes week put-rich", "summary": "Two-week relative put-side volatility ended higher, without qualifying news context for the weekly change.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst" }