{ "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:24+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245667, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235595, "timestamp": "2026-09-01T16:30:00+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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -1.24, "rv24hPercent": 50.83, "rv7dPercent": 44.63, "rv30dPercent": 50.11, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 43.3, "oneWeekIvMinus7dRvPoints": -1.33, "oneWeekIvMinus24hRvPoints": -7.53, "oneWeekIvMinus30dRvPoints": -6.81 }, "fitQuality": { "currentObjective": 0.07046985, "previousObjective": 0.1045958, "currentLiveError": 21.47577198, "previousLiveError": 21.22668726 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options turn more defensive as short-term put volatility rises", "executiveSummary": "Ether\u2019s options adjustment centred on short-dated skew, with Ether one-week relative put-side volatility increasing while Ether one-week ATM IV declined.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor", "realised-vol" ], "newsSummary": "Remixpoint disclosed the sale of ETH and other altcoin holdings as it narrowed its crypto strategy to Bitcoin. The announcement\u2019s measured reaction does not identify a driver of Ether\u2019s daily options repricing.", "marketContextSummary": "The retained company disclosure has no clear direct link to the day\u2019s Ether options repricing; partial event-time observations do not demonstrate causation.", "marketContext": [ { "title": "Remixpoint disclosure and Ether reaction", "explanation": "Partial event-time ETH spot, ATM IV and RR25 observations do not explain the daily Ether skew move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "front-atm" ], "newsEvidenceIds": [ "78993d45-51bb-4deb-8c75-a5713bc5a9f7" ] } ], "newsEvidenceIds": [ "78993d45-51bb-4deb-8c75-a5713bc5a9f7" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 43.30%, 1.33 volatility points below seven-day realised volatility of 44.63%; 24-hour realised volatility was 50.83% and 30-day realised volatility was 50.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.43 volatility points to 46.23% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.06 volatility points to 54.71% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility points to 2.73% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.17 volatility points at 1W, to 43.30%.", "tenor": "1W", "value": -1.17 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan\u2019s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" } ], "events": [ { "event_cluster_id": "market-event-a924c94feefd", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "primary_article": { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan\u2019s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-a924c94feefd", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "primary_article": { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan\u2019s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.81 volatility points toward puts to -2.00%, leaving puts richer than calls; this was a routine move at the 60th percentile. At the cutoff, realised volatility measured 50.83% over 24 hours, 44.63% over seven days and 50.11% over 30 days. Front-end ATM IV averaged 46.23%, -0.43 points from the prior snapshot, while the long end averaged 54.71%, -0.05 points. The 1Y-minus-1W ATM slope steepened 1.20 points to 12.53 points. 1W ATM IV fell 1.17 volatility points to 43.30%. 2W BF25 rose 0.46 volatility points to 2.72%. The nearest eligible forward, 5SEP26, fell $36.55 (-1.50%) to $2,397.50. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 113, "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 16:30 UTC cutoff, 1W ATM IV was 43.30%, 1.33 volatility points below seven-day realised volatility of 44.63%; 24-hour realised volatility was 50.83% and 30-day realised volatility was 50.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.43 volatility points to 46.23% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.06 volatility points to 54.71% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility points to 2.73% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.17 volatility points at 1W, to 43.30%.", "tenor": "1W", "value": -1.17 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.25, "rr25Change": -0.88, "bf25Change": 0.19, "largestAtmMove": { "tenor": "1W", "current": 43.3, "previous": 44.47, "change": -1.17, "historicalSignificance": { "absoluteMove": 1.17, "movePercentile30d": 18.2, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 26.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } }, "frontEndAverageAtm": { "current": 46.23, "previous": 46.65, "change": -0.43 }, "longEndAverageAtm": { "current": 54.71, "previous": 54.77, "change": -0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": 12.53, "previous": 11.33, "change": 1.2 }, "largestRr25Move": { "tenor": "1W", "current": -2.0, "previous": -0.19, "change": -1.81, "historicalSignificance": { "absoluteMove": 1.81, "movePercentile30d": 54.5, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.72, "previous": 2.26, "change": 0.46, "historicalSignificance": { "absoluteMove": 0.46, "movePercentile30d": 72.7, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 44.4, "classificationPercentile": 72.7, "label": "notable", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } }, "nearestEligibleForwardMove": { "label": "5SEP26", "daysToExpiry": 2.646, "current": 2397.5, "previous": 2434.05, "change": -36.55, "percentChange": -1.5 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788971400374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.3, "previous": 44.47, "change": -1.17, "percentChange": -2.63 }, "rr25": { "current": -2.0, "previous": -0.19, "change": -1.81, "percentChange": -952.63 }, "bf25": { "current": 2.66, "previous": 2.33, "change": 0.33, "percentChange": 14.16 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.17, "movePercentile30d": 18.2, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 26.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 1.81, "movePercentile30d": 54.5, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.33, "movePercentile30d": 63.6, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 63.6, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "2W", "targetExpiry": 1789576200374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.46, "previous": 46.56, "change": -0.1, "percentChange": -0.21 }, "rr25": { "current": -1.18, "previous": 0.34, "change": -1.52, "percentChange": -447.06 }, "bf25": { "current": 2.72, "previous": 2.26, "change": 0.46, "percentChange": 20.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 0.0, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 6.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 1.52, "movePercentile30d": 54.5, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.46, "movePercentile30d": 72.7, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 44.4, "classificationPercentile": 72.7, "label": "notable", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "1M", "targetExpiry": 1790958600374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.92, "previous": 48.93, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -0.84, "previous": -0.51, "change": -0.33, "percentChange": -64.71 }, "bf25": { "current": 2.66, "previous": 2.45, "change": 0.21, "percentChange": 8.57 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 6.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": 45.5, "movePercentileFullHistory": 46.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 46.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 72.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 72.7, "label": "notable", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "3M", "targetExpiry": 1796229000374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.05, "previous": 51.17, "change": -0.12, "percentChange": -0.23 }, "rr25": { "current": -0.3, "previous": 0.52, "change": -0.82, "percentChange": -157.69 }, "bf25": { "current": 3.08, "previous": 2.9, "change": 0.18, "percentChange": 6.21 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.12, "movePercentile30d": 18.2, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 5.6, "classificationPercentile": 26.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.82, "movePercentile30d": 63.6, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 38.9, "classificationPercentile": 63.6, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 54.5, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 72.2, "classificationPercentile": 60.0, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "6M", "targetExpiry": 1804091400374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.59, "previous": 53.73, "change": -0.14, "percentChange": -0.26 }, "rr25": { "current": -0.16, "previous": 0.31, "change": -0.47, "percentChange": -151.61 }, "bf25": { "current": 2.84, "previous": 2.79, "change": 0.05, "percentChange": 1.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.14, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 27.3, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 54.5, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 44.4, "classificationPercentile": 54.5, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 9.1, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 38.9, "classificationPercentile": 13.3, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "9M", "targetExpiry": 1811953800374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.04, "previous": 55.08, "change": -0.04, "percentChange": -0.07 }, "rr25": { "current": 0.13, "previous": 0.52, "change": -0.39, "percentChange": -75.0 }, "bf25": { "current": 2.59, "previous": 2.64, "change": -0.05, "percentChange": -1.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 18.2, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 5.6, "classificationPercentile": 26.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 54.5, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 38.9, "classificationPercentile": 54.5, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 27.3, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } }, { "tenor": "1Y", "targetExpiry": 1819902600374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.83, "previous": 55.8, "change": 0.03, "percentChange": 0.05 }, "rr25": { "current": 0.3, "previous": 0.65, "change": -0.35, "percentChange": -53.85 }, "bf25": { "current": 2.42, "previous": 2.53, "change": -0.11, "percentChange": -4.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.03, "movePercentile30d": 9.1, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 5.6, "classificationPercentile": 13.3, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 0.35, "movePercentile30d": 72.7, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 38.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 45.5, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 45.5, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } } ], "listedExpiries": [ { "label": "3SEP26", "expiry": 1788422400000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2396.8, "previous": 2433.2, "change": -36.4, "percentChange": -1.5 }, "atmIv": { "current": 40.67, "previous": 42.06, "change": -1.39, "percentChange": -3.3 }, "rr25": { "current": -1.12, "previous": -1.17, "change": 0.05, "percentChange": 4.27 }, "bf25": { "current": 1.44, "previous": 2.01, "change": -0.57, "percentChange": -28.36 }, "svi": { "a": { "current": -0.0808, "previous": -0.0997, "change": 0.0189, "percentChange": 18.94 }, "b": { "current": 0.1106, "previous": 0.1427, "change": -0.0321, "percentChange": -22.5 }, "rho": { "current": -0.0466, "previous": -0.0441, "change": -0.0025, "percentChange": -5.73 }, "m": { "current": -0.0297, "previous": -0.0252, "change": -0.0045, "percentChange": -17.69 }, "sigma": { "current": 0.7341, "previous": 0.7048, "change": 0.0293, "percentChange": 4.15 } }, "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": [ 200.3989, 191.2101, 182.0009, 172.7768, 163.5443, 154.3109, 145.0857, 135.8801, 126.7075, 117.5855, 108.5364, 99.5895, 90.7845, 82.1761, 73.8417, 65.8936, 58.4964, 51.8922, 46.4247, 42.5358, 40.6795, 41.1275, 43.8026, 48.3278, 54.2323, 61.1074, 68.6511, 76.6554, 84.9791, 93.5259, 102.2288, 111.0404, 119.926, 128.8599, 137.8225, 146.7985, 155.7759, 164.7451, 173.6982, 182.6287, 191.5312 ], "previous": [ 148.9099, 142.4118, 135.9101, 129.4108, 122.9211, 116.4494, 110.006, 103.6032, 97.2562, 90.9839, 84.8099, 78.7644, 72.8863, 67.2262, 61.85, 56.8442, 52.32, 48.4166, 45.2976, 43.1348, 42.0755, 42.201, 43.4977, 45.8616, 49.1333, 53.1388, 57.7186, 62.7396, 68.0967, 73.7089, 79.5143, 85.4657, 91.527, 97.67, 103.8726, 110.1175, 116.3906, 122.6806, 128.9782, 135.2756, 141.5666 ], "change": [ 51.489, 48.7983, 46.0908, 43.366, 40.6232, 37.8615, 35.0797, 32.2769, 29.4513, 26.6016, 23.7265, 20.8251, 17.8982, 14.9499, 11.9917, 9.0494, 6.1764, 3.4756, 1.1271, -0.599, -1.396, -1.0735, 0.3049, 2.4662, 5.099, 7.9686, 10.9325, 13.9158, 16.8824, 19.817, 22.7145, 25.5747, 28.399, 31.1899, 33.9499, 36.681, 39.3853, 42.0645, 44.72, 47.3531, 49.9646 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 15.015, "rotation": -1.012, "wingChange": 24.617, "rmsChange": 28.959 } }, { "label": "4SEP26", "expiry": 1788508800000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2397.16, "previous": 2433.61, "change": -36.45, "percentChange": -1.5 }, "atmIv": { "current": 41.38, "previous": 43.32, "change": -1.94, "percentChange": -4.48 }, "rr25": { "current": -1.67, "previous": -0.91, "change": -0.76, "percentChange": -83.52 }, "bf25": { "current": 2.03, "previous": 2.41, "change": -0.38, "percentChange": -15.77 }, "svi": { "a": { "current": -0.074, "previous": -0.0956, "change": 0.0216, "percentChange": 22.59 }, "b": { "current": 0.1247, "previous": 0.1509, "change": -0.0262, "percentChange": -17.38 }, "rho": { "current": -0.0651, "previous": -0.0457, "change": -0.0194, "percentChange": -42.49 }, "m": { "current": -0.0311, "previous": -0.0241, "change": -0.007, "percentChange": -29.17 }, "sigma": { "current": 0.601, "previous": 0.6432, "change": -0.0422, "percentChange": -6.56 } }, "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": [ 150.8815, 144.3648, 137.8334, 131.2935, 124.7521, 118.2177, 111.7003, 105.2123, 98.7687, 92.3878, 86.0931, 79.9139, 73.8882, 68.0654, 62.5101, 57.3075, 52.5686, 48.4345, 45.075, 42.6744, 41.3985, 41.3479, 42.5212, 44.8148, 48.0597, 52.0685, 56.6689, 61.718, 67.1034, 72.7396, 78.5615, 84.5199, 90.5774, 96.7049, 102.8799, 109.0847, 115.3051, 121.5297, 127.7492, 133.9561, 140.1441 ], "previous": [ 128.2076, 122.8495, 117.4936, 112.1466, 106.816, 101.5111, 96.2428, 91.0242, 85.8713, 80.8033, 75.8441, 71.0233, 66.3775, 61.9523, 57.8041, 54.002, 50.6286, 47.7783, 45.5518, 44.0451, 43.3332, 43.4536, 44.3969, 46.1085, 48.5023, 51.4775, 54.9335, 58.7789, 62.9353, 67.338, 71.9345, 76.6826, 81.5487, 86.5055, 91.5313, 96.6084, 101.7224, 106.8614, 112.0155, 117.1767, 122.3381 ], "change": [ 22.6739, 21.5153, 20.3398, 19.1469, 17.9361, 16.7066, 15.4575, 14.1881, 12.8974, 11.5845, 10.249, 8.8906, 7.5107, 6.1131, 4.706, 3.3055, 1.94, 0.6562, -0.4768, -1.3707, -1.9347, -2.1057, -1.8757, -1.2937, -0.4426, 0.591, 1.7354, 2.9391, 4.1681, 5.4016, 6.627, 7.8373, 9.0287, 10.1994, 11.3486, 12.4763, 13.5827, 14.6683, 15.7337, 16.7794, 17.806 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 4.98, "rotation": -3.622, "wingChange": 10.373, "rmsChange": 11.38 } }, { "label": "5SEP26", "expiry": 1788595200000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2397.5, "previous": 2434.05, "change": -36.55, "percentChange": -1.5 }, "atmIv": { "current": 44.22, "previous": 44.61, "change": -0.39, "percentChange": -0.87 }, "rr25": { "current": -1.7, "previous": -1.03, "change": -0.67, "percentChange": -65.05 }, "bf25": { "current": 2.48, "previous": 2.27, "change": 0.21, "percentChange": 9.25 }, "svi": { "a": { "current": -0.1001, "previous": -0.117, "change": 0.0169, "percentChange": 14.44 }, "b": { "current": 0.155, "previous": 0.1617, "change": -0.0066, "percentChange": -4.11 }, "rho": { "current": -0.0614, "previous": -0.1061, "change": 0.0447, "percentChange": 42.1 }, "m": { "current": -0.031, "previous": -0.0712, "change": 0.0402, "percentChange": 56.45 }, "sigma": { "current": 0.6562, "previous": 0.7402, "change": -0.0841, "percentChange": -11.36 } }, "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": [ 130.6734, 125.2635, 119.8576, 114.462, 109.0845, 103.734, 98.4212, 93.1588, 87.9623, 82.8502, 77.8456, 72.9765, 68.2777, 63.7924, 59.5739, 55.6874, 52.2106, 49.2334, 46.8528, 45.1638, 44.2449, 44.1423, 44.8582, 46.3504, 48.5421, 51.3378, 54.6385, 58.3514, 62.396, 66.7045, 71.2218, 75.9031, 80.7126, 85.6214, 90.6064, 95.6486, 100.7328, 105.8462, 110.9786, 116.1212, 121.2669 ], "previous": [ 110.3707, 105.9659, 101.5848, 97.2343, 92.922, 88.6572, 84.4504, 80.3141, 76.263, 72.3145, 68.4891, 64.8112, 61.3098, 58.0186, 54.977, 52.2297, 49.8256, 47.8166, 46.2532, 45.1803, 44.6311, 44.6221, 45.1501, 46.1929, 47.7123, 49.66, 51.9828, 54.6278, 57.5454, 60.6911, 64.0259, 67.5166, 71.1351, 74.8579, 78.665, 82.54, 86.469, 90.4404, 94.4444, 98.4727, 102.5183 ], "change": [ 20.3027, 19.2976, 18.2728, 17.2277, 16.1625, 15.0768, 13.9708, 12.8447, 11.6993, 10.5357, 9.3565, 8.1653, 6.9679, 5.7738, 4.5969, 3.4577, 2.385, 1.4168, 0.5996, -0.0165, -0.3862, -0.4798, -0.2919, 0.1575, 0.8298, 1.6778, 2.6557, 3.7236, 4.8506, 6.0134, 7.1959, 8.3865, 9.5775, 10.7635, 11.9414, 13.1086, 14.2638, 15.4058, 16.5342, 17.6485, 18.7486 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 5.389, "rotation": -2.161, "wingChange": 8.662, "rmsChange": 10.927 } }, { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.02368723, "daysToExpiry": 8.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2399.27, "previous": 2435.87, "change": -36.6, "percentChange": -1.5 }, "atmIv": { "current": 44.0, "previous": 44.43, "change": -0.43, "percentChange": -0.97 }, "rr25": { "current": -1.95, "previous": 0.06, "change": -2.01, "percentChange": -3350.0 }, "bf25": { "current": 2.73, "previous": 2.34, "change": 0.39, "percentChange": 16.67 }, "svi": { "a": { "current": -0.1018, "previous": -0.1188, "change": 0.017, "percentChange": 14.31 }, "b": { "current": 0.1692, "previous": 0.1697, "change": -0.0005, "percentChange": -0.29 }, "rho": { "current": -0.1355, "previous": -0.1439, "change": 0.0084, "percentChange": 5.84 }, "m": { "current": -0.0684, "previous": -0.1055, "change": 0.0371, "percentChange": 35.17 }, "sigma": { "current": 0.6348, "previous": 0.7389, "change": -0.1042, "percentChange": -14.1 } }, "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": [ 86.6229, 83.6766, 80.7557, 77.866, 75.0139, 72.2069, 69.4532, 66.7622, 64.1445, 61.6118, 59.1775, 56.8562, 54.6643, 52.6194, 50.7406, 49.0477, 47.561, 46.3004, 45.2843, 44.5284, 44.0447, 43.8402, 43.9165, 44.2695, 44.8894, 45.762, 46.8695, 48.1919, 49.7081, 51.3968, 53.2374, 55.2106, 57.2987, 59.4853, 61.756, 64.098, 66.4999, 68.9517, 71.4447, 73.9712, 76.5247 ], "previous": [ 76.6794, 74.1954, 71.7503, 69.3502, 67.0014, 64.7112, 62.4876, 60.3393, 58.276, 56.308, 54.4469, 52.7045, 51.0937, 49.6277, 48.3197, 47.1827, 46.229, 45.4694, 44.9128, 44.5656, 44.4314, 44.5103, 44.7992, 45.2921, 45.9801, 46.8521, 47.8957, 49.0971, 50.4425, 51.9179, 53.5097, 55.2052, 56.9924, 58.86, 60.7981, 62.7975, 64.8499, 66.9479, 69.0849, 71.255, 73.453 ], "change": [ 9.9435, 9.4812, 9.0054, 8.5158, 8.0125, 7.4957, 6.9656, 6.4229, 5.8685, 5.3038, 4.7306, 4.1517, 3.5706, 2.9917, 2.4209, 1.865, 1.332, 0.831, 0.3715, -0.0372, -0.3867, -0.6701, -0.8827, -1.0226, -1.0907, -1.0901, -1.0262, -0.9052, -0.7344, -0.5211, -0.2723, 0.0054, 0.3063, 0.6253, 0.9579, 1.3005, 1.65, 2.0038, 2.3598, 2.7162, 3.0717 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 1.357, "rotation": -5.003, "wingChange": 2.616, "rmsChange": 4.214 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.04286531, "daysToExpiry": 15.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2400.99, "previous": 2437.82, "change": -36.83, "percentChange": -1.51 }, "atmIv": { "current": 46.86, "previous": 47.29, "change": -0.43, "percentChange": -0.91 }, "rr25": { "current": -1.06, "previous": 0.43, "change": -1.49, "percentChange": -346.51 }, "bf25": { "current": 2.72, "previous": 2.23, "change": 0.49, "percentChange": 21.97 }, "svi": { "a": { "current": -0.1035, "previous": -0.1283, "change": 0.0248, "percentChange": 19.3 }, "b": { "current": 0.1692, "previous": 0.1701, "change": -0.0009, "percentChange": -0.54 }, "rho": { "current": -0.1355, "previous": -0.1444, "change": 0.009, "percentChange": 6.22 }, "m": { "current": -0.0749, "previous": -0.1217, "change": 0.0468, "percentChange": 38.47 }, "sigma": { "current": 0.6737, "previous": 0.8227, "change": -0.1491, "percentChange": -18.12 } }, "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": [ 71.3046, 69.4421, 67.6131, 65.822, 64.0736, 62.3731, 60.7258, 59.1378, 57.6151, 56.1644, 54.7925, 53.5064, 52.3132, 51.2201, 50.2342, 49.3621, 48.6101, 47.9836, 47.4875, 47.1253, 46.8993, 46.8107, 46.859, 47.0426, 47.3585, 47.8025, 48.3693, 49.0527, 49.8462, 50.7425, 51.7342, 52.8138, 53.974, 55.2075, 56.5075, 57.8672, 59.2805, 60.7417, 62.2453, 63.7863, 65.3601 ], "previous": [ 65.0343, 63.5213, 62.049, 60.6211, 59.2417, 57.9148, 56.6448, 55.4362, 54.2935, 53.2215, 52.2248, 51.3079, 50.4755, 49.7318, 49.0808, 48.526, 48.0704, 47.7166, 47.4663, 47.3206, 47.2798, 47.3433, 47.5099, 47.7776, 48.1435, 48.6046, 49.1568, 49.796, 50.5176, 51.3169, 52.189, 53.129, 54.1321, 55.1935, 56.3084, 57.4726, 58.6817, 59.9317, 61.2188, 62.5394, 63.8902 ], "change": [ 6.2703, 5.9208, 5.5641, 5.2009, 4.8319, 4.4583, 4.081, 3.7016, 3.3216, 2.9429, 2.5677, 2.1985, 1.8377, 1.4883, 1.1534, 0.8361, 0.5397, 0.267, 0.0212, -0.1953, -0.3805, -0.5326, -0.6509, -0.735, -0.785, -0.8021, -0.7875, -0.7433, -0.6714, -0.5744, -0.4548, -0.3152, -0.1581, 0.014, 0.1991, 0.3946, 0.5988, 0.81, 1.0265, 1.2469, 1.4699 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 0.577, "rotation": -3.022, "wingChange": 1.437, "rmsChange": 2.499 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.06204339, "daysToExpiry": 22.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2403.79, "previous": 2440.64, "change": -36.85, "percentChange": -1.51 }, "atmIv": { "current": 48.28, "previous": 48.28, "change": 0.0, "percentChange": 0.0 }, "rr25": { "current": -1.35, "previous": -1.3, "change": -0.05, "percentChange": -3.85 }, "bf25": { "current": 2.49, "previous": 2.4, "change": 0.09, "percentChange": 3.75 }, "svi": { "a": { "current": -0.1124, "previous": -0.1172, "change": 0.0048, "percentChange": 4.09 }, "b": { "current": 0.1692, "previous": 0.1701, "change": -0.0009, "percentChange": -0.54 }, "rho": { "current": -0.1356, "previous": -0.1442, "change": 0.0085, "percentChange": 5.92 }, "m": { "current": -0.0747, "previous": -0.0848, "change": 0.0102, "percentChange": 11.98 }, "sigma": { "current": 0.7565, "previous": 0.7856, "change": -0.0291, "percentChange": -3.7 } }, "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": [ 65.1362, 63.8283, 62.5509, 61.3071, 60.0996, 58.9315, 57.806, 56.7265, 55.6961, 54.7185, 53.7968, 52.9347, 52.1354, 51.4021, 50.7381, 50.1461, 49.6289, 49.1886, 48.8274, 48.5466, 48.3474, 48.2302, 48.1953, 48.2421, 48.3698, 48.5768, 48.8614, 49.2212, 49.6538, 50.156, 50.725, 51.3572, 52.0492, 52.7977, 53.5989, 54.4494, 55.3458, 56.2846, 57.2627, 58.2767, 59.3238 ], "previous": [ 64.1335, 62.8939, 61.6849, 60.5091, 59.3691, 58.2678, 57.208, 56.1926, 55.2248, 54.3075, 53.4438, 52.6366, 51.8889, 51.2036, 50.5833, 50.0305, 49.5475, 49.1362, 48.7982, 48.5349, 48.347, 48.2352, 48.1992, 48.2389, 48.3532, 48.541, 48.8007, 49.1302, 49.5273, 49.9895, 50.5139, 51.0977, 51.7379, 52.4313, 53.1749, 53.9653, 54.7997, 55.6749, 56.5879, 57.5359, 58.5162 ], "change": [ 1.0027, 0.9344, 0.866, 0.798, 0.7305, 0.6637, 0.598, 0.5339, 0.4713, 0.411, 0.353, 0.2981, 0.2465, 0.1985, 0.1548, 0.1156, 0.0814, 0.0524, 0.0292, 0.0117, 0.0004, -0.005, -0.0039, 0.0032, 0.0166, 0.0358, 0.0607, 0.091, 0.1265, 0.1665, 0.2111, 0.2595, 0.3113, 0.3664, 0.424, 0.4841, 0.5461, 0.6097, 0.6748, 0.7408, 0.8076 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.188, "rotation": -0.142, "wingChange": 0.282, "rmsChange": 0.463 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.15793381, "daysToExpiry": 57.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2410.45, "previous": 2446.49, "change": -36.04, "percentChange": -1.47 }, "atmIv": { "current": 49.86, "previous": 50.1, "change": -0.24, "percentChange": -0.48 }, "rr25": { "current": -0.12, "previous": 0.87, "change": -0.99, "percentChange": -113.79 }, "bf25": { "current": 2.88, "previous": 2.49, "change": 0.39, "percentChange": 15.66 }, "svi": { "a": { "current": -0.0878, "previous": -0.105, "change": 0.0172, "percentChange": 16.39 }, "b": { "current": 0.1843, "previous": 0.1851, "change": -0.0007, "percentChange": -0.38 }, "rho": { "current": -0.2065, "previous": -0.2129, "change": 0.0063, "percentChange": 2.97 }, "m": { "current": -0.128, "previous": -0.1796, "change": 0.0516, "percentChange": 28.75 }, "sigma": { "current": 0.7044, "previous": 0.8033, "change": -0.0989, "percentChange": -12.31 } }, "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": [ 57.6183, 56.9551, 56.3148, 55.6987, 55.108, 54.5438, 54.0073, 53.4995, 53.0216, 52.5745, 52.1592, 51.7765, 51.4272, 51.112, 50.8314, 50.586, 50.3762, 50.202, 50.0638, 49.9614, 49.8948, 49.8637, 49.8679, 49.9067, 49.9796, 50.0861, 50.2252, 50.3963, 50.5983, 50.8302, 51.0912, 51.38, 51.6956, 52.0368, 52.4026, 52.7917, 53.203, 53.6354, 54.0876, 54.5587, 55.0475 ], "previous": [ 55.823, 55.2755, 54.7513, 54.2512, 53.776, 53.3266, 52.9038, 52.5082, 52.1405, 51.8013, 51.4912, 51.2107, 50.9602, 50.74, 50.5503, 50.3913, 50.2631, 50.1658, 50.0991, 50.063, 50.0571, 50.0812, 50.1348, 50.2175, 50.3286, 50.4677, 50.634, 50.8267, 51.0453, 51.2887, 51.5563, 51.8472, 52.1604, 52.4951, 52.8504, 53.2255, 53.6193, 54.0311, 54.4599, 54.9049, 55.3652 ], "change": [ 1.7953, 1.6796, 1.5635, 1.4475, 1.332, 1.2172, 1.1035, 0.9913, 0.8811, 0.7732, 0.668, 0.5658, 0.467, 0.372, 0.2811, 0.1947, 0.1131, 0.0362, -0.0353, -0.1016, -0.1623, -0.2175, -0.2669, -0.3108, -0.349, -0.3816, -0.4088, -0.4304, -0.447, -0.4585, -0.4651, -0.4672, -0.4648, -0.4583, -0.4478, -0.4338, -0.4163, -0.3957, -0.3723, -0.3462, -0.3177 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.014, "rotation": -1.133, "wingChange": 0.264, "rmsChange": 0.731 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.23464613, "daysToExpiry": 85.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2416.11, "previous": 2452.16, "change": -36.05, "percentChange": -1.47 }, "atmIv": { "current": 50.93, "previous": 51.07, "change": -0.14, "percentChange": -0.27 }, "rr25": { "current": -0.22, "previous": 0.62, "change": -0.84, "percentChange": -135.48 }, "bf25": { "current": 3.1, "previous": 2.88, "change": 0.22, "percentChange": 7.64 }, "svi": { "a": { "current": -0.0607, "previous": -0.0667, "change": 0.006, "percentChange": 9.01 }, "b": { "current": 0.1856, "previous": 0.1851, "change": 0.0005, "percentChange": 0.29 }, "rho": { "current": -0.2103, "previous": -0.2126, "change": 0.0023, "percentChange": 1.1 }, "m": { "current": -0.1103, "previous": -0.144, "change": 0.0337, "percentChange": 23.43 }, "sigma": { "current": 0.6697, "previous": 0.7108, "change": -0.0411, "percentChange": -5.78 } }, "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": [ 56.8891, 56.3938, 55.9156, 55.4554, 55.0138, 54.5918, 54.1899, 53.8089, 53.4495, 53.1123, 52.7979, 52.5067, 52.2393, 51.9961, 51.7775, 51.5836, 51.4148, 51.2711, 51.1526, 51.0593, 50.9912, 50.948, 50.9296, 50.9356, 50.9658, 51.0196, 51.0967, 51.1965, 51.3185, 51.462, 51.6264, 51.8111, 52.0154, 52.2385, 52.4797, 52.7384, 53.0137, 53.3049, 53.6113, 53.9322, 54.2669 ], "previous": [ 55.888, 55.4499, 55.0294, 54.6273, 54.2441, 53.8805, 53.537, 53.2143, 52.9127, 52.6327, 52.3747, 52.1392, 51.9264, 51.7365, 51.5697, 51.4262, 51.3059, 51.2091, 51.1355, 51.085, 51.0575, 51.0528, 51.0705, 51.1104, 51.1719, 51.2548, 51.3586, 51.4827, 51.6266, 51.7897, 51.9714, 52.1712, 52.3884, 52.6224, 52.8725, 53.1381, 53.4185, 53.7131, 54.0212, 54.3423, 54.6756 ], "change": [ 1.0011, 0.9439, 0.8862, 0.8281, 0.7697, 0.7113, 0.6529, 0.5946, 0.5368, 0.4796, 0.4232, 0.3675, 0.3129, 0.2596, 0.2078, 0.1574, 0.1089, 0.062, 0.0171, -0.0257, -0.0663, -0.1048, -0.1409, -0.1748, -0.2061, -0.2352, -0.2619, -0.2862, -0.3081, -0.3277, -0.345, -0.3601, -0.373, -0.3839, -0.3928, -0.3997, -0.4048, -0.4082, -0.4099, -0.4101, -0.4087 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.004, "rotation": -0.768, "wingChange": 0.105, "rmsChange": 0.456 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.31135846, "daysToExpiry": 113.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2421.04, "previous": 2456.69, "change": -35.65, "percentChange": -1.45 }, "atmIv": { "current": 51.44, "previous": 51.58, "change": -0.14, "percentChange": -0.27 }, "rr25": { "current": -0.56, "previous": 0.12, "change": -0.68, "percentChange": -566.67 }, "bf25": { "current": 3.02, "previous": 2.98, "change": 0.04, "percentChange": 1.34 }, "svi": { "a": { "current": -0.0504, "previous": -0.0483, "change": -0.002, "percentChange": -4.2 }, "b": { "current": 0.1915, "previous": 0.1916, "change": -0.0001, "percentChange": -0.07 }, "rho": { "current": -0.2228, "previous": -0.2395, "change": 0.0167, "percentChange": 6.97 }, "m": { "current": -0.1069, "previous": -0.1411, "change": 0.0342, "percentChange": 24.26 }, "sigma": { "current": 0.7109, "previous": 0.709, "change": 0.0019, "percentChange": 0.28 } }, "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": [ 56.3745, 55.9842, 55.607, 55.2436, 54.8944, 54.56, 54.2407, 53.937, 53.6493, 53.378, 53.1234, 52.886, 52.6659, 52.4634, 52.2788, 52.1122, 51.9637, 51.8334, 51.7214, 51.6277, 51.5523, 51.495, 51.4558, 51.4345, 51.4308, 51.4446, 51.4756, 51.5235, 51.588, 51.6687, 51.7652, 51.8771, 52.004, 52.1455, 52.3012, 52.4705, 52.653, 52.8483, 53.0558, 53.2752, 53.5058 ], "previous": [ 55.9101, 55.542, 55.188, 54.8484, 54.5238, 54.2147, 53.9213, 53.6442, 53.3836, 53.1398, 52.9132, 52.7039, 52.5123, 52.3385, 52.1825, 52.0446, 51.9246, 51.8228, 51.7389, 51.6729, 51.6248, 51.5943, 51.5813, 51.5856, 51.6068, 51.6447, 51.6989, 51.7692, 51.8551, 51.9563, 52.0723, 52.2028, 52.3472, 52.5052, 52.6763, 52.86, 53.0558, 53.2634, 53.4822, 53.7118, 53.9517 ], "change": [ 0.4644, 0.4422, 0.419, 0.3952, 0.3706, 0.3453, 0.3194, 0.2928, 0.2657, 0.2382, 0.2102, 0.1821, 0.1536, 0.1249, 0.0963, 0.0676, 0.0391, 0.0106, -0.0175, -0.0452, -0.0725, -0.0993, -0.1255, -0.1511, -0.176, -0.2001, -0.2233, -0.2457, -0.2671, -0.2876, -0.3071, -0.3257, -0.3432, -0.3597, -0.3751, -0.3895, -0.4028, -0.4151, -0.4264, -0.4366, -0.4459 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.056, "rotation": -0.517, "wingChange": 0.024, "rmsChange": 0.291 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.56067353, "daysToExpiry": 204.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2445.21, "previous": 2481.27, "change": -36.06, "percentChange": -1.45 }, "atmIv": { "current": 53.98, "previous": 54.14, "change": -0.16, "percentChange": -0.3 }, "rr25": { "current": -0.1, "previous": 0.34, "change": -0.44, "percentChange": -129.41 }, "bf25": { "current": 2.8, "previous": 2.76, "change": 0.04, "percentChange": 1.45 }, "svi": { "a": { "current": -0.0449, "previous": -0.0258, "change": -0.0191, "percentChange": -73.87 }, "b": { "current": 0.2673, "previous": 0.2506, "change": 0.0168, "percentChange": 6.69 }, "rho": { "current": -0.4405, "previous": -0.4178, "change": -0.0227, "percentChange": -5.44 }, "m": { "current": -0.3528, "previous": -0.3328, "change": -0.02, "percentChange": -6.0 }, "sigma": { "current": 0.8679, "previous": 0.8385, "change": 0.0294, "percentChange": 3.51 } }, "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": [ 56.8676, 56.6336, 56.4096, 56.1955, 55.9914, 55.7973, 55.6134, 55.4395, 55.2758, 55.1221, 54.9786, 54.845, 54.7214, 54.6078, 54.504, 54.4099, 54.3255, 54.2507, 54.1854, 54.1293, 54.0825, 54.0447, 54.0158, 53.9956, 53.9841, 53.981, 53.9861, 53.9993, 54.0205, 54.0494, 54.0858, 54.1296, 54.1806, 54.2387, 54.3035, 54.375, 54.4529, 54.5371, 54.6274, 54.7236, 54.8255 ], "previous": [ 56.6805, 56.4625, 56.2541, 56.0556, 55.8669, 55.6881, 55.5192, 55.3602, 55.2111, 55.072, 54.9427, 54.8233, 54.7137, 54.6138, 54.5236, 54.443, 54.3718, 54.3099, 54.2573, 54.2138, 54.1793, 54.1536, 54.1366, 54.1281, 54.1279, 54.1359, 54.152, 54.1759, 54.2074, 54.2464, 54.2927, 54.3462, 54.4065, 54.4736, 54.5472, 54.6272, 54.7134, 54.8055, 54.9035, 55.0071, 55.1162 ], "change": [ 0.1871, 0.1711, 0.1555, 0.1399, 0.1245, 0.1092, 0.0942, 0.0793, 0.0647, 0.0501, 0.0359, 0.0217, 0.0077, -0.006, -0.0196, -0.0331, -0.0463, -0.0592, -0.0719, -0.0845, -0.0968, -0.1089, -0.1208, -0.1325, -0.1438, -0.1549, -0.1659, -0.1766, -0.1869, -0.197, -0.2069, -0.2166, -0.2259, -0.2349, -0.2437, -0.2522, -0.2605, -0.2684, -0.2761, -0.2835, -0.2907 ], "classification": [ "limited movement" ], "parallelShift": -0.089, "rotation": -0.243, "wingChange": 0.011, "rmsChange": 0.164 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.8099886, "daysToExpiry": 295.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2471.93, "previous": 2509.32, "change": -37.39, "percentChange": -1.49 }, "atmIv": { "current": 55.28, "previous": 55.31, "change": -0.03, "percentChange": -0.05 }, "rr25": { "current": 0.18, "previous": 0.56, "change": -0.38, "percentChange": -67.86 }, "bf25": { "current": 2.54, "previous": 2.6, "change": -0.06, "percentChange": -2.31 }, "svi": { "a": { "current": -0.0069, "previous": 0.0321, "change": -0.039, "percentChange": -121.51 }, "b": { "current": 0.3057, "previous": 0.2748, "change": 0.0309, "percentChange": 11.26 }, "rho": { "current": -0.5064, "previous": -0.4673, "change": -0.0391, "percentChange": -8.37 }, "m": { "current": -0.4745, "previous": -0.4022, "change": -0.0723, "percentChange": -17.97 }, "sigma": { "current": 0.9646, "previous": 0.89, "change": 0.0746, "percentChange": 8.39 } }, "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": [ 57.283, 57.1241, 56.9721, 56.8269, 56.6885, 56.557, 56.4322, 56.3141, 56.2028, 56.0981, 55.9999, 55.9084, 55.8232, 55.7445, 55.6721, 55.606, 55.546, 55.4921, 55.4443, 55.4023, 55.3662, 55.3357, 55.3109, 55.2917, 55.2778, 55.2693, 55.2661, 55.2679, 55.2748, 55.2865, 55.3031, 55.3244, 55.3503, 55.3806, 55.4154, 55.4544, 55.4976, 55.5449, 55.5962, 55.6514, 55.7103 ], "previous": [ 57.1208, 56.9674, 56.8209, 56.6814, 56.5488, 56.4231, 56.3042, 56.1922, 56.0871, 55.9887, 55.897, 55.812, 55.7336, 55.6617, 55.5963, 55.5373, 55.4847, 55.4382, 55.3978, 55.3635, 55.3352, 55.3126, 55.2958, 55.2846, 55.2789, 55.2786, 55.2837, 55.2939, 55.3091, 55.3293, 55.3544, 55.3842, 55.4186, 55.4574, 55.5007, 55.5482, 55.5999, 55.6557, 55.7154, 55.7789, 55.8461 ], "change": [ 0.1622, 0.1567, 0.1512, 0.1455, 0.1397, 0.1339, 0.128, 0.1219, 0.1157, 0.1094, 0.1029, 0.0964, 0.0896, 0.0828, 0.0758, 0.0687, 0.0613, 0.0539, 0.0465, 0.0388, 0.031, 0.0231, 0.0151, 0.0071, -0.0011, -0.0093, -0.0176, -0.026, -0.0343, -0.0428, -0.0513, -0.0598, -0.0683, -0.0768, -0.0853, -0.0938, -0.1023, -0.1108, -0.1192, -0.1275, -0.1358 ], "classification": [ "limited movement" ], "parallelShift": 0.028, "rotation": -0.154, "wingChange": -0.005, "rmsChange": 0.093 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "11SEP26", "value": -5.003, "score": 5.003, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -1.81, "score": 1.81, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -1.17, "score": 1.17, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": 0.46, "score": 0.46, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "18SEP26", "value": -0.1491, "score": 0.1491, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "5SEP26", "value": 0.0447, "score": 0.0447, "unit": "parameter units" } ], "expiryEffects": [ { "label": "4SEP26", "daysToExpiry": 1.646, "metric": "Smile rotation", "value": -3.622, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "3SEP26", "daysToExpiry": 0.646, "metric": "ATM IV change", "value": -1.39, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 8.60495238, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "3SEP26", "expiry": 1788422400000, "value": 0.009729096134, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "3SEP26", "expiry": 1788422400000, "value": -12.66372793, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00174053, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -0.96324202, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -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 ], "rows": [ { "label": "3SEP26", "values": [ 51.489, 48.7983, 46.0908, 43.366, 40.6232, 37.8615, 35.0797, 32.2769, 29.4513, 26.6016, 23.7265, 20.8251, 17.8982, 14.9499, 11.9917, 9.0494, 6.1764, 3.4756, 1.1271, -0.599, -1.396, -1.0735, 0.3049, 2.4662, 5.099, 7.9686, 10.9325, 13.9158, 16.8824, 19.817, 22.7145, 25.5747, 28.399, 31.1899, 33.9499, 36.681, 39.3853, 42.0645, 44.72, 47.3531, 49.9646 ] }, { "label": "4SEP26", "values": [ 22.6739, 21.5153, 20.3398, 19.1469, 17.9361, 16.7066, 15.4575, 14.1881, 12.8974, 11.5845, 10.249, 8.8906, 7.5107, 6.1131, 4.706, 3.3055, 1.94, 0.6562, -0.4768, -1.3707, -1.9347, -2.1057, -1.8757, -1.2937, -0.4426, 0.591, 1.7354, 2.9391, 4.1681, 5.4016, 6.627, 7.8373, 9.0287, 10.1994, 11.3486, 12.4763, 13.5827, 14.6683, 15.7337, 16.7794, 17.806 ] }, { "label": "5SEP26", "values": [ 20.3027, 19.2976, 18.2728, 17.2277, 16.1625, 15.0768, 13.9708, 12.8447, 11.6993, 10.5357, 9.3565, 8.1653, 6.9679, 5.7738, 4.5969, 3.4577, 2.385, 1.4168, 0.5996, -0.0165, -0.3862, -0.4798, -0.2919, 0.1575, 0.8298, 1.6778, 2.6557, 3.7236, 4.8506, 6.0134, 7.1959, 8.3865, 9.5775, 10.7635, 11.9414, 13.1086, 14.2638, 15.4058, 16.5342, 17.6485, 18.7486 ] }, { "label": "11SEP26", "values": [ 9.9435, 9.4812, 9.0054, 8.5158, 8.0125, 7.4957, 6.9656, 6.4229, 5.8685, 5.3038, 4.7306, 4.1517, 3.5706, 2.9917, 2.4209, 1.865, 1.332, 0.831, 0.3715, -0.0372, -0.3867, -0.6701, -0.8827, -1.0226, -1.0907, -1.0901, -1.0262, -0.9052, -0.7344, -0.5211, -0.2723, 0.0054, 0.3063, 0.6253, 0.9579, 1.3005, 1.65, 2.0038, 2.3598, 2.7162, 3.0717 ] }, { "label": "18SEP26", "values": [ 6.2703, 5.9208, 5.5641, 5.2009, 4.8319, 4.4583, 4.081, 3.7016, 3.3216, 2.9429, 2.5677, 2.1985, 1.8377, 1.4883, 1.1534, 0.8361, 0.5397, 0.267, 0.0212, -0.1953, -0.3805, -0.5326, -0.6509, -0.735, -0.785, -0.8021, -0.7875, -0.7433, -0.6714, -0.5744, -0.4548, -0.3152, -0.1581, 0.014, 0.1991, 0.3946, 0.5988, 0.81, 1.0265, 1.2469, 1.4699 ] }, { "label": "25SEP26", "values": [ 1.0027, 0.9344, 0.866, 0.798, 0.7305, 0.6637, 0.598, 0.5339, 0.4713, 0.411, 0.353, 0.2981, 0.2465, 0.1985, 0.1548, 0.1156, 0.0814, 0.0524, 0.0292, 0.0117, 0.0004, -0.005, -0.0039, 0.0032, 0.0166, 0.0358, 0.0607, 0.091, 0.1265, 0.1665, 0.2111, 0.2595, 0.3113, 0.3664, 0.424, 0.4841, 0.5461, 0.6097, 0.6748, 0.7408, 0.8076 ] }, { "label": "30OCT26", "values": [ 1.7953, 1.6796, 1.5635, 1.4475, 1.332, 1.2172, 1.1035, 0.9913, 0.8811, 0.7732, 0.668, 0.5658, 0.467, 0.372, 0.2811, 0.1947, 0.1131, 0.0362, -0.0353, -0.1016, -0.1623, -0.2175, -0.2669, -0.3108, -0.349, -0.3816, -0.4088, -0.4304, -0.447, -0.4585, -0.4651, -0.4672, -0.4648, -0.4583, -0.4478, -0.4338, -0.4163, -0.3957, -0.3723, -0.3462, -0.3177 ] }, { "label": "27NOV26", "values": [ 1.0011, 0.9439, 0.8862, 0.8281, 0.7697, 0.7113, 0.6529, 0.5946, 0.5368, 0.4796, 0.4232, 0.3675, 0.3129, 0.2596, 0.2078, 0.1574, 0.1089, 0.062, 0.0171, -0.0257, -0.0663, -0.1048, -0.1409, -0.1748, -0.2061, -0.2352, -0.2619, -0.2862, -0.3081, -0.3277, -0.345, -0.3601, -0.373, -0.3839, -0.3928, -0.3997, -0.4048, -0.4082, -0.4099, -0.4101, -0.4087 ] }, { "label": "25DEC26", "values": [ 0.4644, 0.4422, 0.419, 0.3952, 0.3706, 0.3453, 0.3194, 0.2928, 0.2657, 0.2382, 0.2102, 0.1821, 0.1536, 0.1249, 0.0963, 0.0676, 0.0391, 0.0106, -0.0175, -0.0452, -0.0725, -0.0993, -0.1255, -0.1511, -0.176, -0.2001, -0.2233, -0.2457, -0.2671, -0.2876, -0.3071, -0.3257, -0.3432, -0.3597, -0.3751, -0.3895, -0.4028, -0.4151, -0.4264, -0.4366, -0.4459 ] }, { "label": "26MAR27", "values": [ 0.1871, 0.1711, 0.1555, 0.1399, 0.1245, 0.1092, 0.0942, 0.0793, 0.0647, 0.0501, 0.0359, 0.0217, 0.0077, -0.006, -0.0196, -0.0331, -0.0463, -0.0592, -0.0719, -0.0845, -0.0968, -0.1089, -0.1208, -0.1325, -0.1438, -0.1549, -0.1659, -0.1766, -0.1869, -0.197, -0.2069, -0.2166, -0.2259, -0.2349, -0.2437, -0.2522, -0.2605, -0.2684, -0.2761, -0.2835, -0.2907 ] }, { "label": "25JUN27", "values": [ 0.1622, 0.1567, 0.1512, 0.1455, 0.1397, 0.1339, 0.128, 0.1219, 0.1157, 0.1094, 0.1029, 0.0964, 0.0896, 0.0828, 0.0758, 0.0687, 0.0613, 0.0539, 0.0465, 0.0388, 0.031, 0.0231, 0.0151, 0.0071, -0.0011, -0.0093, -0.0176, -0.026, -0.0343, -0.0428, -0.0513, -0.0598, -0.0683, -0.0768, -0.0853, -0.0938, -0.1023, -0.1108, -0.1192, -0.1275, -0.1358 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options turn more defensive as short-term put volatility rises", "standfirst": "Ether one-week RR25 fell 1.81 volatility points to -2.00%, leaving one-week relative put-side volatility richer than one-week call-side volatility. Ether one-week ATM IV fell 1.17 volatility points to 43.30%, while Ether front-end ATM IV across the 1W, 2W and 1M tenors averaged 46.23%, a decline of 0.43 volatility points in Ether front-end ATM IV across the 1W, 2W and 1M tenors. Ether\u2019s 1Y-minus-1W ATM IV slope rose to 12.53 volatility points.", "days": [ { "reportDate": "2026-09-02", "headline": "Ether skew turns toward puts", "summary": "Ether\u2019s one-week relative put-side volatility rose as Ether front-end ATM IV edged lower.", "macro": { "summary": "No qualifying macro event was retained for Ether.", "events": [] }, "crypto": { "summary": "Remixpoint disclosed sales of ETH and other altcoin holdings.", "events": [ { "eventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "title": "Japan\u2019s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00" } ] } } ] }, "headline": "Ether options turn more defensive as short-term put volatility rises", "standfirst": "Ether one-week RR25 fell 1.81 volatility points to -2.00%, leaving one-week relative put-side volatility richer than one-week call-side volatility. Ether one-week ATM IV fell 1.17 volatility points to 43.30%, while Ether front-end ATM IV across the 1W, 2W and 1M tenors averaged 46.23%, a decline of 0.43 volatility points in Ether front-end ATM IV across the 1W, 2W and 1M tenors. Ether\u2019s 1Y-minus-1W ATM IV slope rose to 12.53 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): ETH 30-day ATM IV was 49.23 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 49.23, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 32.889999847412106, "ivRatio": 3.012851869049895, "cryptoRealisedVol20d": 61.61714954199401, "spxRealisedVol20": 7.367486433677291, "rvSpread": 54.24966310831672, "rvRatio": 8.3633882595749, "rvSpreadPercentile": 56.75675675675676, "rvSpreadPercentileSampleCount": 222, "rvRatioPercentile": 95.94594594594595, "rvRatioPercentileSampleCount": 222, "returnCorrelation30": 0.033348895505809314, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.32840511043797044, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }