{ "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:43+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255739, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245726, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 4.27, "rv24hPercent": 46.46, "rv7dPercent": 43.69, "rv30dPercent": 50.39, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 47.71, "oneWeekIvMinus7dRvPoints": 4.02, "oneWeekIvMinus24hRvPoints": 1.25, "oneWeekIvMinus30dRvPoints": -2.68 }, "fitQuality": { "currentObjective": 0.01286345, "previousObjective": 0.06601746, "currentLiveError": 28.90199189, "previousLiveError": 23.11335803 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether\u2019s front end absorbs the day\u2019s volatility repricing", "executiveSummary": "Ether\u2019s primary surface move was a 4.73-point increase in one-week ATM IV, concentrating the repricing at short maturities.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "back-atm" ], "newsSummary": "News Check: no qualifying ETH-related event met the retention threshold.", "marketContextSummary": "There is no retained news basis for linking a catalyst to the options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 47.71%, 4.02 volatility points above seven-day realised volatility of 43.69%; 24-hour realised volatility was 46.46% and 30-day realised volatility was 50.39%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.76 volatility points to 48.91% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.26 volatility points to 55.05% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.09 volatility points to 0.48% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 2.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.73 volatility points at 1W, to 47.71%.", "tenor": "1W", "value": 4.73 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "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": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "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 ATM IV rose 4.73 volatility points to 47.71%, a notable move at the 81st percentile. At the cutoff, realised volatility measured 46.46% over 24 hours, 43.69% over seven days and 50.39% over 30 days. Front-end ATM IV averaged 48.91%, +2.76 points from the prior snapshot, while the long end averaged 55.05%, +0.26 points. The 1Y-minus-1W ATM slope flattened 4.89 points to 8.15 points. 1W RR25 moved 2.11 volatility points toward calls to 0.52%, leaving calls richer than puts. 1W BF25 rose 0.21 volatility points to 2.80%. The nearest eligible forward, 6SEP26, rose $97.71 (+4.08%) to $2,494.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 110, "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 16:38 UTC cutoff, 1W ATM IV was 47.71%, 4.02 volatility points above seven-day realised volatility of 43.69%; 24-hour realised volatility was 46.46% and 30-day realised volatility was 50.39%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.76 volatility points to 48.91% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.26 volatility points to 55.05% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.09 volatility points to 0.48% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 2.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.73 volatility points at 1W, to 47.71%.", "tenor": "1W", "value": 4.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.62, "rr25Change": 1.09, "bf25Change": 0.07, "largestAtmMove": { "tenor": "1W", "current": 47.71, "previous": 42.98, "change": 4.73, "historicalSignificance": { "absoluteMove": 4.73, "movePercentile30d": 75.0, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 81.2, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } }, "frontEndAverageAtm": { "current": 48.91, "previous": 46.14, "change": 2.76 }, "longEndAverageAtm": { "current": 55.05, "previous": 54.78, "change": 0.26 }, "oneYearMinusOneWeekAtmSlope": { "current": 8.15, "previous": 13.04, "change": -4.89 }, "largestRr25Move": { "tenor": "1W", "current": 0.52, "previous": -1.59, "change": 2.11, "historicalSignificance": { "absoluteMove": 2.11, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.8, "previous": 2.59, "change": 0.21, "historicalSignificance": { "absoluteMove": 0.21, "movePercentile30d": 41.7, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 41.7, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } }, "nearestEligibleForwardMove": { "label": "6SEP26", "daysToExpiry": 2.64, "current": 2494.26, "previous": 2396.55, "change": 97.71, "percentChange": 4.08 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789058280236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.71, "previous": 42.98, "change": 4.73, "percentChange": 11.01 }, "rr25": { "current": 0.52, "previous": -1.59, "change": 2.11, "percentChange": 132.7 }, "bf25": { "current": 2.8, "previous": 2.59, "change": 0.21, "percentChange": 8.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.73, "movePercentile30d": 75.0, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 81.2, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 2.11, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 41.7, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 41.7, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "2W", "targetExpiry": 1789663080236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.57, "previous": 46.4, "change": 2.17, "percentChange": 4.68 }, "rr25": { "current": 0.95, "previous": -1.07, "change": 2.02, "percentChange": 188.79 }, "bf25": { "current": 2.77, "previous": 2.71, "change": 0.06, "percentChange": 2.21 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.17, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 52.6, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 2.02, "movePercentile30d": 75.0, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 81.2, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 8.3, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 12.5, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "1M", "targetExpiry": 1791045480236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.44, "previous": 49.05, "change": 1.39, "percentChange": 2.83 }, "rr25": { "current": 0.02, "previous": -0.79, "change": 0.81, "percentChange": 102.53 }, "bf25": { "current": 2.66, "previous": 2.67, "change": -0.01, "percentChange": -0.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.39, "movePercentile30d": 58.3, "movePercentileFullHistory": 62.5, "currentLevelPercentileFullHistory": 36.8, "classificationPercentile": 62.5, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 0.81, "movePercentile30d": 50.0, "movePercentileFullHistory": 62.5, "currentLevelPercentileFullHistory": 68.4, "classificationPercentile": 62.5, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 6.2, "currentLevelPercentileFullHistory": 36.8, "classificationPercentile": 6.2, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "3M", "targetExpiry": 1796315880236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.06, "previous": 51.14, "change": 0.92, "percentChange": 1.8 }, "rr25": { "current": 0.45, "previous": -0.28, "change": 0.73, "percentChange": 260.71 }, "bf25": { "current": 3.11, "previous": 3.08, "change": 0.03, "percentChange": 0.97 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.92, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 58.3, "movePercentileFullHistory": 56.2, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 58.3, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 8.3, "movePercentileFullHistory": 18.8, "currentLevelPercentileFullHistory": 73.7, "classificationPercentile": 18.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "6M", "targetExpiry": 1804178280236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.23, "previous": 53.55, "change": 0.68, "percentChange": 1.27 }, "rr25": { "current": 0.2, "previous": -0.16, "change": 0.36, "percentChange": 225.0 }, "bf25": { "current": 2.98, "previous": 2.8, "change": 0.18, "percentChange": 6.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.68, "movePercentile30d": 83.3, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 58.3, "movePercentileFullHistory": 56.2, "currentLevelPercentileFullHistory": 68.4, "classificationPercentile": 58.3, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 66.7, "movePercentileFullHistory": 62.5, "currentLevelPercentileFullHistory": 68.4, "classificationPercentile": 66.7, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "9M", "targetExpiry": 1812040680236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.32, "previous": 55.13, "change": 0.19, "percentChange": 0.34 }, "rr25": { "current": 0.51, "previous": 0.11, "change": 0.4, "percentChange": 363.64 }, "bf25": { "current": 2.63, "previous": 2.59, "change": 0.04, "percentChange": 1.54 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.19, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 37.5, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 0.4, "movePercentile30d": 58.3, "movePercentileFullHistory": 56.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 58.3, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 25.0, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 25.0, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } }, { "tenor": "1Y", "targetExpiry": 1819989480236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.86, "previous": 56.02, "change": -0.16, "percentChange": -0.29 }, "rr25": { "current": 0.74, "previous": 0.25, "change": 0.49, "percentChange": 196.0 }, "bf25": { "current": 2.4, "previous": 2.45, "change": -0.05, "percentChange": -2.04 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 58.3, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 10.5, "classificationPercentile": 58.3, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 91.7, "movePercentileFullHistory": 93.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 93.8, "label": "large", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 16.7, "movePercentileFullHistory": 18.8, "currentLevelPercentileFullHistory": 5.3, "classificationPercentile": 18.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } } ], "listedExpiries": [ { "label": "4SEP26", "expiry": 1788508800000, "tauYears": 0.0017542, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2493.74, "previous": 2395.9, "change": 97.84, "percentChange": 4.08 }, "atmIv": { "current": 54.4, "previous": 41.45, "change": 12.95, "percentChange": 31.24 }, "rr25": { "current": 2.38, "previous": -1.62, "change": 4.0, "percentChange": 246.91 }, "bf25": { "current": 2.04, "previous": 2.04, "change": 0.0, "percentChange": 0.0 }, "svi": { "a": { "current": -0.0661, "previous": -0.0729, "change": 0.0068, "percentChange": 9.39 }, "b": { "current": 0.1027, "previous": 0.1238, "change": -0.0211, "percentChange": -17.06 }, "rho": { "current": 0.0498, "previous": -0.0613, "change": 0.1111, "percentChange": 181.23 }, "m": { "current": 0.0236, "previous": -0.0288, "change": 0.0524, "percentChange": 181.88 }, "sigma": { "current": 0.6496, "previous": 0.5966, "change": 0.053, "percentChange": 8.89 } }, "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": [ 196.2792, 187.4081, 178.5146, 169.6068, 160.6948, 151.7908, 142.9096, 134.0699, 125.2951, 116.6152, 108.0686, 99.7061, 91.5947, 83.8245, 76.5167, 69.8339, 63.989, 59.2465, 55.9018, 54.2263, 54.3835, 56.3639, 59.9902, 64.9876, 71.0654, 77.9673, 85.4884, 93.4729, 101.8041, 110.3952, 119.1813, 128.113, 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Ether front-end ATM IV across the one-week, two-week and one-month tenors rose 2.76 volatility points on average, while Ether long-end ATM IV across the six-month and one-year tenors rose 0.26 volatility points on average. The Ether one-year-minus-one-week ATM IV slope was 8.15 volatility points.", "days": [ { "reportDate": "2026-09-03", "headline": "Ether front-end volatility rises sharply", "summary": "One-week ATM implied volatility led the advance while the long end changed only modestly.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options reprice higher as one-week volatility jumps", "standfirst": "Ether one-week ATM IV increased 4.73 volatility points to 47.71%, a notable move at the 81.2 percentile. Ether front-end ATM IV across the one-week, two-week and one-month tenors rose 2.76 volatility points on average, while Ether long-end ATM IV across the six-month and one-year tenors rose 0.26 volatility points on average. The Ether one-year-minus-one-week ATM IV slope was 8.15 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-02", "asOfTimestamp": "2026-09-02T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session crypto and equity-volatility context. The crypto-to-SPX realised-volatility ratio was 8.21, at the 95.1 percentile across 223 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.21, at the 95.1 percentile across 223 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 48.87, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 33.67000019073486, "ivRatio": 3.2151316192919532, "cryptoRealisedVol20d": 62.32360394180741, "spxRealisedVol20": 7.588171409644216, "rvSpread": 54.735432532163195, "rvRatio": 8.21325726282316, "rvSpreadPercentile": 58.29596412556054, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 95.06726457399103, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.020968517459520112, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3227145915296376, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }