{ "schemaVersion": 3, "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:37+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "sourceSnapshots": { "current": { "id": 265879, "timestamp": "2026-09-04T16:48:00+00:00" }, "previous": { "id": 255810, "timestamp": "2026-09-03T16:48:00+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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface 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": "2026-09-04T16:48:00+00:00", "spotMove24hPercent": -1.37, "rv24hPercent": 68.3, "rv7dPercent": 47.11, "rv30dPercent": 51.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 42.1, "oneWeekIvMinus7dRvPoints": -5.01, "oneWeekIvMinus24hRvPoints": -26.2, "oneWeekIvMinus30dRvPoints": -9.41 }, "fitQuality": { "currentObjective": 0.1346548, "previousObjective": 0.01663583, "currentLiveError": 25.03799082, "previousLiveError": 18.96561424 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "8SEP26" ], "removedExpiries": [ "4SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options pair volatility compression with put-rich skew", "executiveSummary": "Ether one-week ATM IV declined while one-week RR25 turned put-rich, pairing softer short-dated volatility with more defensive skew.", "evidenceIds": [ "largest-standard-tenor", "rr25", "back-atm" ], "newsSummary": "No qualifying news context was retained for the Ether options-surface movement.", "marketContextSummary": "No retained news item offers a supported explanation for Ether\u2019s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 42.10%, 5.01 volatility points below seven-day realised volatility of 47.11%; 24-hour realised volatility was 68.30% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.57 volatility points to 46.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 54.06% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.10% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 2.74% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 42.10%.", "tenor": "1W", "value": -5.2 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 14, "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": 2, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 fell 5.20 volatility points to 42.10%. At the cutoff, realised volatility measured 68.30% over 24 hours, 47.11% over seven days and 51.51% over 30 days. Front-end ATM IV averaged 46.29%, -2.57 points from the prior snapshot, while the long end averaged 54.06%, +0.02 points. 1W RR25 moved 2.06 volatility points toward puts to -1.66%, leaving puts richer than calls. 1W BF25 fell 0.30 volatility points to 2.46%. The nearest eligible forward, 7SEP26, fell $33.30 (-1.33%) to $2,462.11. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 42.10%, 5.01 volatility points below seven-day realised volatility of 47.11%; 24-hour realised volatility was 68.30% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.57 volatility points to 46.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 54.06% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.10% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 2.74% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 42.10%.", "tenor": "1W", "value": -5.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.52, "rr25Change": -0.52, "bf25Change": -0.12, "largestAtmMove": { "tenor": "1W", "current": 42.1, "previous": 47.3, "change": -5.2, "historicalSignificance": { "absoluteMove": 5.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 5.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } }, "frontEndAverageAtm": { "current": 46.29, "previous": 48.85, "change": -2.57 }, "longEndAverageAtm": { "current": 54.06, "previous": 54.04, "change": 0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.66, "previous": 0.4, "change": -2.06, "historicalSignificance": { "absoluteMove": 2.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.46, "previous": 2.76, "change": -0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } }, "nearestEligibleForwardMove": { "label": "7SEP26", "daysToExpiry": 2.633, "current": 2462.11, "previous": 2495.41, "change": -33.3, "percentChange": -1.33 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789145280532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.1, "previous": 47.3, "change": -5.2, "percentChange": -10.99 }, "rr25": { "current": -1.66, "previous": 0.4, "change": -2.06, "percentChange": -515.0 }, "bf25": { "current": 2.46, "previous": 2.76, "change": -0.3, "percentChange": -10.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 5.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 2.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } }, { "tenor": "2W", "targetExpiry": 1789750080532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.0, "previous": 48.96, "change": -1.96, "percentChange": -4.0 }, "rr25": { "current": 0.33, "previous": 0.95, "change": -0.62, "percentChange": -65.26 }, "bf25": { "current": 2.57, "previous": 2.79, "change": -0.22, "percentChange": -7.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.96, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 0.62, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 35.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } }, { "tenor": "1M", "targetExpiry": 1791132480532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.76, "previous": 50.3, "change": -0.54, "percentChange": -1.07 }, "rr25": { "current": 0.14, "previous": 0.03, "change": 0.11, "percentChange": 366.67 }, "bf25": { "current": 2.64, "previous": 2.65, "change": -0.01, "percentChange": -0.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 65.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 35.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } }, { "tenor": "3M", "targetExpiry": 1796402880532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.06, "previous": 51.96, "change": 0.1, "percentChange": 0.19 }, "rr25": { "current": 0.52, "previous": 0.48, "change": 0.04, "percentChange": 8.33 }, "bf25": { "current": 3.08, "previous": 3.12, "change": -0.04, "percentChange": -1.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 65.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 70.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } }, { "tenor": "6M", "targetExpiry": 1804265280532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.06, "previous": 54.04, "change": 0.02, "percentChange": 0.04 }, "rr25": { "current": 0.15, "previous": 0.24, "change": -0.09, "percentChange": -37.5 }, "bf25": { "current": 2.95, "previous": 2.98, "change": -0.03, "percentChange": -1.01 }, 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40.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } }, { "tenor": "1Y", "targetExpiry": 1820076480532, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, 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"2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "headline": "Ether options compress as short-dated put volatility becomes richer", "standfirst": "Ether one-week ATM IV declined as one-week RR25 moved into put-rich territory. The move was concentrated at the front end, while long-dated ATM IV was broadly unchanged. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-04", "headline": "Ether short-dated skew turns defensive", "summary": "One-week volatility compressed while the short-dated skew shifted to put-rich pricing. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options compress as short-dated put volatility becomes richer", "standfirst": "Ether one-week ATM IV declined as one-week RR25 moved into put-rich territory. The move was concentrated at the front end, while long-dated ATM IV was broadly unchanged.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-03", "asOfTimestamp": "2026-09-03T20:00:00+00:00", "summary": "Previous session (latest completed): ETH 30-day ATM IV was 51.32 volatility points versus VIX at 14.32; crypto 20-calendar-day RV was 63.7525 versus SPX 20-session RV at 8.4890. The crypto-to-SPX realised-volatility ratio was 7.51, at the 92.0 percentile across 224 prior observations. The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.51, at the 92.0 percentile across 224 prior observations.", "The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.32, "vix": 14.319999694824219, "vix9d": 11.680000305175781, "vix3m": 17.420000076293945, "ivSpread": 37.00000030517578, "ivRatio": 3.5837989590564696, "cryptoRealisedVol20d": 63.75246035526154, "spxRealisedVol20": 8.489037652770298, "rvSpread": 55.26342270249124, "rvRatio": 7.50997497748837, "rvSpreadPercentile": 58.92857142857143, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 91.96428571428571, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.007978352150818902, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3381641159174078, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted DerivaSys market-context v1. Crypto RV is annualised with sqrt(365); SPX RV with sqrt(252). Sources: DerivaSys fixed-tenor surface/canonical crypto index and Yahoo Finance ^VIX/^GSPC." } }