{ "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:42:41+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276758, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266684, "timestamp": "2026-09-04T18:43:00+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": 48, "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": "2026-09-05T18:43:00+00:00", "spotMove24hPercent": 1.1, "rv24hPercent": 20.8, "rv7dPercent": 46.83, "rv30dPercent": 51.21, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 43.37, "oneWeekIvMinus7dRvPoints": -3.46, "oneWeekIvMinus24hRvPoints": 22.57, "oneWeekIvMinus30dRvPoints": -7.84 }, "fitQuality": { "currentObjective": 0.11268026, "previousObjective": 0.05484201, "currentLiveError": 47.62459671, "previousLiveError": 18.82138707 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether\u2019s near-expiry surface rotates toward call-side volatility", "executiveSummary": "A pronounced near-expiry rotation defined Ether options trading, with the one-week RR25 reversal providing the clearest standard-tenor confirmation.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 18:43 UTC cutoff, 1W ATM IV was 43.37%, 3.46 volatility points below seven-day realised volatility of 46.83%; 24-hour realised volatility was 20.80% and 30-day realised volatility was 51.21%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.87 volatility points to 46.76% 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 54.17% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.25 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 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 +1.78 volatility points at 1W, to 43.37%.", "tenor": "1W", "value": 1.78 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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 RR25 moved 2.83 volatility points toward calls to 1.36%, leaving calls richer than puts. At the cutoff, realised volatility measured 20.80% over 24 hours, 46.83% over seven days and 51.21% over 30 days. Front-end ATM IV averaged 46.76%, +0.87 points from the prior snapshot, while the long end averaged 54.17%, -0.02 points. 1W ATM IV rose 1.78 volatility points to 43.37%. 2W BF25 rose 0.21 volatility points to 2.93%. The nearest eligible forward, 8SEP26, rose $24.37 (+0.99%) to $2,476.91. 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 18:43 UTC cutoff, 1W ATM IV was 43.37%, 3.46 volatility points below seven-day realised volatility of 46.83%; 24-hour realised volatility was 20.80% and 30-day realised volatility was 51.21%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.87 volatility points to 46.76% 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 54.17% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.25 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 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 +1.78 volatility points at 1W, to 43.37%.", "tenor": "1W", "value": 1.78 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.52, "rr25Change": 1.25, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 43.37, "previous": 41.59, "change": 1.78, "historicalSignificance": { "absoluteMove": 1.78, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 19.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } }, "frontEndAverageAtm": { "current": 46.76, "previous": 45.89, "change": 0.87 }, "longEndAverageAtm": { "current": 54.17, "previous": 54.19, "change": -0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.36, "previous": -1.47, "change": 2.83, "historicalSignificance": { "absoluteMove": 2.83, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.93, "previous": 2.72, "change": 0.21, "historicalSignificance": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } }, "nearestEligibleForwardMove": { "label": "8SEP26", "daysToExpiry": 2.553, "current": 2476.91, "previous": 2452.54, "change": 24.37, "percentChange": 0.99 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.37, "previous": 41.59, "change": 1.78, "percentChange": 4.28 }, "rr25": { "current": 1.36, "previous": -1.47, "change": 2.83, "percentChange": 192.52 }, "bf25": { "current": 2.42, "previous": 2.39, "change": 0.03, "percentChange": 1.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.78, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 19.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 2.83, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } }, { "tenor": "2W", "targetExpiry": 1789843380296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.46, "previous": 46.67, "change": 0.79, "percentChange": 1.69 }, "rr25": { "current": 2.09, "previous": 0.88, "change": 1.21, "percentChange": 137.5 }, "bf25": { "current": 2.93, "previous": 2.72, "change": 0.21, "percentChange": 7.72 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 1.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } }, { "tenor": "1M", "targetExpiry": 1791225780296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.46, "previous": 49.42, "change": 0.04, "percentChange": 0.08 }, "rr25": { "current": 1.82, "previous": 0.36, "change": 1.46, "percentChange": 405.56 }, "bf25": { "current": 2.76, "previous": 2.7, "change": 0.06, "percentChange": 2.22 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 1.46, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 90.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 47.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } }, { "tenor": "3M", "targetExpiry": 1796496180296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.08, "previous": 52.09, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": 1.23, "previous": 0.83, "change": 0.4, "percentChange": 48.19 }, "bf25": { "current": 2.93, "previous": 2.97, "change": -0.04, "percentChange": -1.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 0.4, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 90.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 57.1, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } }, { "tenor": "6M", "targetExpiry": 1804358580296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.17, "previous": 54.19, "change": -0.02, "percentChange": -0.04 }, "rr25": { "current": 0.73, "previous": 0.36, "change": 0.37, "percentChange": 102.78 }, "bf25": { "current": 2.93, "previous": 2.9, "change": 0.03, "percentChange": 1.03 }, 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"atmIv": { "current": 55.38, "previous": 55.38, "change": 0.0, "percentChange": 0.0 }, "rr25": { "current": 0.92, "previous": 0.51, "change": 0.41, "percentChange": 80.39 }, "bf25": { "current": 2.66, "previous": 2.71, "change": -0.05, "percentChange": -1.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.0, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 81.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } }, { "tenor": "1Y", "targetExpiry": 1820169780296, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "6SEP26", "expiry": 1788681600000, "tauYears": 0.00151638, "daysToExpiry": 0.553, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2476.67, "previous": 2452.01, "change": 24.66, "percentChange": 1.01 }, "atmIv": { "current": 32.78, "previous": 25.82, "change": 6.96, "percentChange": 26.96 }, "rr25": { "current": 4.16, "previous": -1.71, "change": 5.87, "percentChange": 343.27 }, "bf25": { "current": 0.78, "previous": 0.83, "change": -0.05, "percentChange": -6.02 }, "svi": { "a": { "current": -0.0423, "previous": -0.0739, "change": 0.0316, "percentChange": 42.8 }, "b": { "current": 0.0605, "previous": 0.1011, "change": -0.0407, "percentChange": -40.2 }, "rho": { "current": 0.0281, "previous": -0.142, "change": 0.1701, "percentChange": 119.78 }, "m": { "current": -0.0075, "previous": -0.094, "change": 0.0866, "percentChange": 92.07 }, "sigma": { "current": 0.7011, "previous": 0.7407, "change": -0.0396, "percentChange": -5.34 } }, "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": [ 145.139, 137.7679, 130.3747, 122.9644, 115.5434, 108.1191, 100.7013, 93.302, 85.9369, 78.6273, 71.402, 64.3016, 57.385, 50.7404, 44.503, 38.8822, 34.1961, 30.8845, 29.4242, 30.0917, 32.76, 36.9987, 42.3366, 48.408, 54.9655, 61.8492, 68.9552, 76.2149, 83.5811, 91.021, 98.5104, 106.0314, 113.5704, 121.1166, 128.6613, 136.1975, 143.7194, 151.2221, 158.7013, 166.1536, 173.5758 ], "previous": [ 126.7182, 120.9492, 115.1757, 109.4015, 103.6305, 97.8674, 92.118, 86.3888, 80.6879, 75.0253, 69.4137, 63.8694, 58.414, 53.0766, 47.8981, 42.936, 38.2739, 34.0328, 30.3856, 27.563, 25.8287, 25.3968, 26.3206, 28.457, 31.5493, 35.3363, 39.6087, 44.2156, 49.0531, 54.05, 59.1569, 64.3392, 69.5718, 74.8364, 80.1193, 85.41, 90.7004, 95.9841, 101.2559, 106.5117, 111.7483 ], "change": [ 18.4208, 16.8187, 15.199, 13.5629, 11.9129, 10.2517, 8.5833, 6.9132, 5.249, 3.602, 1.9883, 0.4322, -1.029, -2.3362, -3.3951, -4.0538, -4.0778, -3.1483, -0.9614, 2.5287, 6.9313, 11.6019, 16.016, 19.951, 23.4162, 26.5129, 29.3465, 31.9993, 34.528, 36.971, 39.3535, 41.6922, 43.9986, 46.2802, 48.542, 50.7875, 53.019, 55.238, 57.4454, 59.6419, 61.8275 ], 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one-week RR25 to 1.36%. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.", "days": [ { "reportDate": "2026-09-05", "headline": "Near-expiry Ether skew turns call-rich", "summary": "The nearest expiry rotated sharply as one-week relative call-side volatility increased. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Ether context was retained.", "events": [] } } ] }, "headline": "Ether options shift toward calls as near-expiry pricing rotates", "standfirst": "Ether\u2019s nearest-expiry smile rotation was the largest surface dislocation, accompanied by a 2.83-point rise in Ether one-week RR25 to 1.36%. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: ETH 30D ATM IV 49.28 volatility points; VIX 14.53; IV spread 34.75. ETH 20D realised volatility 65.3250 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 7.87, at the 93.8 percentile across 225 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.87, at the 93.8 percentile across 225 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 49.28, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 34.75000026702881, "ivRatio": 3.391603641132545, "cryptoRealisedVol20d": 65.32496046150138, "spxRealisedVol20": 8.300077397171014, "rvSpread": 57.02488306433036, "rvRatio": 7.870403772833087, "rvSpreadPercentile": 60.44444444444444, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 93.77777777777777, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.02891644151562212, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3292850648186534, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }