{ "schemaVersion": 3, "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:35+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:27:00+00:00", "sourceSnapshots": { "current": { "id": 238092, "timestamp": "2026-09-01T22:27:00+00:00" }, "previous": { "id": 228061, "timestamp": "2026-08-31T22:27:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical ETH index databases", "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-ETH 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 and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical ETH-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 13, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-09-01T22:27:00+00:00", "spotMove24hPercent": -2.52, "rv24hPercent": 43.2, "rv7dPercent": 43.93, "rv30dPercent": 49.94, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 46.13, "oneWeekIvMinus7dRvPoints": 2.2, "oneWeekIvMinus24hRvPoints": 2.93, "oneWeekIvMinus30dRvPoints": -3.81 }, "fitQuality": { "currentObjective": 0.0652793, "previousObjective": 0.10939478, "currentLiveError": 12.15226305, "previousLiveError": 42.19779511 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "5SEP26" ], "removedExpiries": [ "1SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "ETH short-dated skew makes a notable turn", "executiveSummary": "ETH\u2019s 1W RR25 fell 3.25 volatility points to -1.51%, producing the day\u2019s clearest standard-tenor change alongside a lower 4SEP26 smile rotation.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "Decrypt reported higher Robinhood Chain DEX activity and referenced Ethereum Layer 2 activity. The report\u2019s completed one-hour reaction window showed only small surface changes.", "marketContextSummary": "The retained news does not support a direct explanation for ETH\u2019s short-dated skew repricing.", "marketContext": [ { "title": "Ethereum-related activity report and skew", "explanation": "The timed ETH reaction showed a 0.03 volatility-point one-hour ATM IV change and a 0.02 volatility-point one-hour RR25 change, insufficient to explain the report-window surface move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "largest-standard-tenor" ], "newsEvidenceIds": [ "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13" ] } ], "newsEvidenceIds": [ "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 46.13%, 2.20 volatility points above seven-day realised volatility of 43.93%; 24-hour realised volatility was 43.20% and 30-day realised volatility was 49.94%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.20 volatility points to 47.94% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.20 volatility points to 54.81% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.35 volatility points to -0.32% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.67% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.78 volatility points at 1W, to 46.13%.", "tenor": "1W", "value": -0.78 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 5, "articlesPassingSelectionThreshold": 1, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W RR25 moved 3.25 volatility points toward puts to -1.51%, leaving puts richer than calls; this was a notable move at the 86th percentile. At the cutoff, realised volatility measured 43.20% over 24 hours, 43.93% over seven days and 49.94% over 30 days. Front-end ATM IV averaged 47.94%, -0.20 points from the prior snapshot, while the long end averaged 54.81%, -0.20 points. The 1Y-minus-1W ATM slope steepened 0.61 points to 9.77 points. 1W ATM IV fell 0.78 volatility points to 46.13%. 1W BF25 rose 0.35 volatility points to 2.71%. The nearest eligible forward, 4SEP26, fell $61.44 (-2.49%) to $2,410.02. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 112, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 46.13%, 2.20 volatility points above seven-day realised volatility of 43.93%; 24-hour realised volatility was 43.20% and 30-day realised volatility was 49.94%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.20 volatility points to 47.94% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.20 volatility points to 54.81% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.35 volatility points to -0.32% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.67% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.78 volatility points at 1W, to 46.13%.", "tenor": "1W", "value": -0.78 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.15, "rr25Change": -1.35, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 46.13, "previous": 46.91, "change": -0.78, "historicalSignificance": { "absoluteMove": 0.78, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 41.2, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } }, "frontEndAverageAtm": { "current": 47.94, "previous": 48.14, "change": -0.2 }, "longEndAverageAtm": { "current": 54.81, "previous": 55.01, "change": -0.2 }, "oneYearMinusOneWeekAtmSlope": { "current": 9.77, "previous": 9.16, "change": 0.61 }, "largestRr25Move": { "tenor": "1W", "current": -1.51, "previous": 1.74, "change": -3.25, "historicalSignificance": { "absoluteMove": 3.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 85.7, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.71, "previous": 2.36, "change": 0.35, "historicalSignificance": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.0, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } }, "nearestEligibleForwardMove": { "label": "4SEP26", "daysToExpiry": 2.398, "current": 2410.02, "previous": 2471.46, "change": -61.44, "percentChange": -2.49 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788906420647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.13, "previous": 46.91, "change": -0.78, "percentChange": -1.66 }, "rr25": { "current": -1.51, "previous": 1.74, "change": -3.25, "percentChange": -186.78 }, "bf25": { "current": 2.71, "previous": 2.36, "change": 0.35, "percentChange": 14.83 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.78, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 41.2, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 3.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 85.7, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.0, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "2W", "targetExpiry": 1789511220647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.91, "previous": 47.97, "change": -0.06, "percentChange": -0.13 }, "rr25": { "current": -0.94, "previous": 1.73, "change": -2.67, "percentChange": -154.34 }, "bf25": { "current": 2.34, "previous": 2.39, "change": -0.05, "percentChange": -2.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.1, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 7.1, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.67, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 78.6, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 14.3, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "1M", "targetExpiry": 1790893620647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.77, "previous": 49.54, "change": 0.23, "percentChange": 0.46 }, "rr25": { "current": -0.69, "previous": 0.09, "change": -0.78, "percentChange": -866.67 }, "bf25": { "current": 2.65, "previous": 2.51, "change": 0.14, "percentChange": 5.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.23, "movePercentile30d": 10.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 29.4, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.78, "movePercentile30d": 60.0, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 71.4, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 42.9, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "3M", "targetExpiry": 1796164020647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.46, "previous": 51.36, "change": 0.1, "percentChange": 0.19 }, "rr25": { "current": 0.35, "previous": 0.98, "change": -0.63, "percentChange": -64.29 }, "bf25": { "current": 2.77, "previous": 2.76, "change": 0.01, "percentChange": 0.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 10.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.63, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 14.3, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "6M", "targetExpiry": 1804026420647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.73, "previous": 53.95, "change": -0.22, "percentChange": -0.41 }, "rr25": { "current": 0.09, "previous": 0.45, "change": -0.36, "percentChange": -80.0 }, "bf25": { "current": 2.95, "previous": 2.89, "change": 0.06, "percentChange": 2.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.22, "movePercentile30d": 30.0, "movePercentileFullHistory": 35.7, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 35.7, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.1, "currentLevelPercentileFullHistory": 64.7, "classificationPercentile": 7.1, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "9M", "targetExpiry": 1811888820647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.13, "previous": 55.32, "change": -0.19, "percentChange": -0.34 }, "rr25": { "current": 0.51, "previous": 0.87, "change": -0.36, "percentChange": -41.38 }, "bf25": { "current": 2.75, "previous": 2.63, "change": 0.12, "percentChange": 4.56 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.19, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 42.9, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 30.0, "movePercentileFullHistory": 28.6, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "1Y", "targetExpiry": 1819837620647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.9, "previous": 56.07, "change": -0.17, "percentChange": -0.3 }, "rr25": { "current": 0.77, "previous": 1.2, "change": -0.43, "percentChange": -35.83 }, "bf25": { "current": 2.61, "previous": 2.44, "change": 0.17, "percentChange": 6.97 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.17, "movePercentile30d": 50.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.43, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 47.1, "classificationPercentile": 92.9, "label": "large", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 50.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } } ], "listedExpiries": [ { "label": "2SEP26", "expiry": 1788336000000, "tauYears": 0.0010902, "daysToExpiry": 0.398, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2408.88, "previous": 2471.04, "change": -62.16, "percentChange": -2.52 }, "atmIv": { "current": 41.92, "previous": 44.94, "change": -3.02, "percentChange": -6.72 }, "rr25": { "current": -2.02, "previous": 2.43, "change": -4.45, "percentChange": -183.13 }, "bf25": { "current": 1.28, "previous": 1.83, "change": -0.55, "percentChange": -30.05 }, "svi": { "a": { "current": -0.0932, "previous": -0.0947, "change": 0.0015, "percentChange": 1.59 }, "b": { "current": 0.1103, "previous": 0.1276, "change": -0.0172, "percentChange": -13.52 }, "rho": { "current": -0.09, "previous": 0.0601, "change": -0.1501, "percentChange": -249.74 }, "m": { "current": -0.0692, "previous": 0.0329, "change": -0.1022, "percentChange": -310.18 }, "sigma": { "current": 0.8498, "previous": 0.7495, "change": 0.1003, "percentChange": 13.37 } }, "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": [ 239.5191, 228.3566, 217.1818, 206.0003, 194.8181, 183.6423, 172.4815, 161.3458, 150.2478, 139.2033, 128.2325, 117.3623, 106.6291, 96.0837, 85.7996, 75.8863, 66.5113, 57.9365, 50.5677, 44.9954, 41.9327, 41.9209, 44.9486, 50.4568, 57.7253, 66.1619, 75.3612, 85.0623, 95.0986, 105.3615, 115.7782, 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-0.2946, -0.2986, -0.3023, -0.3059, -0.3092, -0.3124, -0.3154 ] }, { "label": "25JUN27", "values": [ 0.1479, 0.1334, 0.119, 0.1044, 0.09, 0.0756, 0.0613, 0.0471, 0.033, 0.0192, 0.0054, -0.0081, -0.0213, -0.0343, -0.047, -0.0594, -0.0716, -0.0834, -0.0949, -0.106, -0.1168, -0.1273, -0.1374, -0.1471, -0.1565, -0.1655, -0.1742, -0.1825, -0.1905, -0.1981, -0.2052, -0.2121, -0.2186, -0.2248, -0.2307, -0.2362, -0.2413, -0.2462, -0.2507, -0.2549, -0.2589 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "headline": "ETH smile rotation precedes a pronounced skew reversal", "standfirst": "ETH\u2019s 4SEP26 smile rotation moved lower by 13.63 volatility points. ETH 1W RR25 fell 3.25 volatility points to -1.51%, leaving relative put-side volatility above call-side volatility. ETH 1W ATM IV fell 0.78 volatility points to 46.13%.", "days": [ { "reportDate": "2026-09-01", "headline": "ETH smile shifts toward relative puts", "summary": "ETH\u2019s short-dated smile rotation was accompanied by a notable fall in 1W RR25.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "A report on Robinhood Chain activity mentioned Ethereum, but no direct market explanation is established.", "events": [ { "eventId": "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13", "title": "Robinhood Chain DEX Volume Jumps to $1.6 billion", "publisher": "Decrypt", "url": "https://decrypt.co/377126/robinhood-chain-dex-volume-jumps", "publishedAt": "2026-09-01T21:01:04+00:00" } ] } } ] }, "headline": "ETH smile rotation precedes a pronounced skew reversal", "standfirst": "ETH\u2019s 4SEP26 smile rotation moved lower by 13.63 volatility points. ETH 1W RR25 fell 3.25 volatility points to -1.51%, leaving relative put-side volatility above call-side volatility. ETH 1W ATM IV fell 0.78 volatility points to 46.13%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-08-31", "asOfTimestamp": "2026-08-31T20:00:00+00:00", "summary": "ETH context is aligned to the latest completed common session before the report ceiling.", "metrics": { "cryptoAtmIv30d": 49.55, "vix": 14.920000076293945, "vix9d": 12.34, "vix3m": 17.53, "ivSpread": 34.62999992370605, "ivRatio": 3.3210455594252233, "cryptoRealisedVol20d": 59.498560214048844, "spxRealisedVol20": 9.468852277597499, "rvSpread": 50.029707936451345, "rvRatio": 6.283608453245954, "rvSpreadPercentile": 46.15384615384615, "rvSpreadPercentileSampleCount": 208, "rvRatioPercentile": 71.94570135746606, "rvRatioPercentileSampleCount": 207, "returnCorrelation30": -0.002779124297133854, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.44366081501978155, "returnCorrelation60SampleCount": 60 }, "methodology": "Crypto realised volatility uses sqrt(365); SPX realised volatility uses sqrt(252), so the annualisation clocks differ." } }