{ "schemaVersion": 3, "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:25:14+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "sourceSnapshots": { "current": { "id": 286100, "timestamp": "2026-09-06T16:59:00+00:00" }, "previous": { "id": 276033, "timestamp": "2026-09-05T16:59:00+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": "2026-09-06T16:59:00+00:00", "spotMove24hPercent": 0.53, "rv24hPercent": 31.88, "rv7dPercent": 47.07, "rv30dPercent": 51.17, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 46.95, "oneWeekIvMinus7dRvPoints": -0.12, "oneWeekIvMinus24hRvPoints": 15.07, "oneWeekIvMinus30dRvPoints": -4.22 }, "fitQuality": { "currentObjective": 0.10200613, "previousObjective": 0.06050049, "currentLiveError": 50.89873236, "previousLiveError": 68.86050047 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "6SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether\u2019s near-term options surface shifts toward calls", "executiveSummary": "Ether\u2019s front-end repricing paired a 4.63-point increase in one-week ATM IV with a substantial move toward call-side volatility.", "evidenceIds": [ "rr25", "largest-standard-tenor", "front-atm", "realised-vol" ], "newsSummary": "No qualifying news context was retained for Ether options.", "marketContextSummary": "No retained news item supports a direct explanation for the Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:59 UTC cutoff, 1W ATM IV was 46.95%, broadly in line with seven-day realised volatility of 47.07%; 24-hour realised volatility was 31.88% and 30-day realised volatility was 51.17%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.14 volatility points to 49.13% 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 54.25% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.90 volatility points to 1.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 2.93% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.63 volatility points at 1W, to 46.95%.", "tenor": "1W", "value": 4.63 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+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": 1, "discoveryEventsScanned": 2, "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": 1, "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 rose 4.63 volatility points to 46.95%. At the cutoff, realised volatility measured 31.88% over 24 hours, 47.07% over seven days and 51.17% over 30 days. Front-end ATM IV averaged 49.13%, +3.14 points from the prior snapshot, while the long end averaged 54.25%, -0.02 points. 1W RR25 moved 1.79 volatility points toward calls to 2.55%, leaving calls richer than puts. 1W BF25 rose 0.63 volatility points to 2.99%. The nearest eligible forward, 9SEP26, rose $11.26 (+0.46%) to $2,484.21. 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 16:59 UTC cutoff, 1W ATM IV was 46.95%, broadly in line with seven-day realised volatility of 47.07%; 24-hour realised volatility was 31.88% and 30-day realised volatility was 51.17%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.14 volatility points to 49.13% 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 54.25% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.90 volatility points to 1.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 2.93% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.63 volatility points at 1W, to 46.95%.", "tenor": "1W", "value": 4.63 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.0, "rr25Change": 0.9, "bf25Change": 0.2, "largestAtmMove": { "tenor": "1W", "current": 46.95, "previous": 42.32, "change": 4.63, "historicalSignificance": { "absoluteMove": 4.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 54.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } }, "frontEndAverageAtm": { "current": 49.13, "previous": 45.99, "change": 3.14 }, "longEndAverageAtm": { "current": 54.25, "previous": 54.27, "change": -0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 2.55, "previous": 0.76, "change": 1.79, "historicalSignificance": { "absoluteMove": 1.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 72.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.99, "previous": 2.36, "change": 0.63, "historicalSignificance": { "absoluteMove": 0.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } }, "nearestEligibleForwardMove": { "label": "9SEP26", "daysToExpiry": 2.626, "current": 2484.21, "previous": 2472.95, "change": 11.26, "percentChange": 0.46 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789318740207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.95, "previous": 42.32, "change": 4.63, "percentChange": 10.94 }, "rr25": { "current": 2.55, "previous": 0.76, "change": 1.79, "percentChange": 235.53 }, "bf25": { "current": 2.99, "previous": 2.36, "change": 0.63, "percentChange": 26.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 54.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 1.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 72.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "2W", "targetExpiry": 1789923540207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.62, "previous": 46.14, "change": 3.48, "percentChange": 7.54 }, "rr25": { "current": 2.77, "previous": 1.57, "change": 1.2, "percentChange": 76.43 }, "bf25": { "current": 2.87, "previous": 2.75, "change": 0.12, "percentChange": 4.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.48, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 68.2, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 1.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 72.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "1M", "targetExpiry": 1791305940207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.81, "previous": 49.51, "change": 1.3, "percentChange": 2.63 }, "rr25": { "current": 2.23, "previous": 1.32, "change": 0.91, "percentChange": 68.94 }, "bf25": { "current": 2.87, "previous": 2.64, "change": 0.23, "percentChange": 8.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 45.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.91, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 95.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 68.2, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "3M", "targetExpiry": 1796576340207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.45, "previous": 51.84, "change": 0.61, "percentChange": 1.18 }, "rr25": { "current": 1.44, "previous": 1.07, "change": 0.37, "percentChange": 34.58 }, "bf25": { "current": 3.02, "previous": 2.95, "change": 0.07, "percentChange": 2.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.61, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 40.9, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.37, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 90.9, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "6M", "targetExpiry": 1804438740207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.25, "previous": 54.27, "change": -0.02, "percentChange": -0.04 }, "rr25": { "current": 0.76, "previous": 0.53, "change": 0.23, "percentChange": 43.4 }, "bf25": { "current": 2.88, "previous": 2.93, "change": -0.05, "percentChange": -1.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 27.3, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 81.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 45.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "9M", "targetExpiry": 1812301140207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.52, "previous": 55.38, "change": 0.14, "percentChange": 0.25 }, "rr25": { "current": 0.91, "previous": 0.87, "change": 0.04, "percentChange": 4.6 }, "bf25": { "current": 2.71, "previous": 2.65, "change": 0.06, "percentChange": 2.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 31.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 81.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } }, { "tenor": "1Y", "targetExpiry": 1820249940207, "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": "7SEP26", "expiry": 1788768000000, "tauYears": 0.00171425, "daysToExpiry": 0.626, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2483.05, "previous": 2472.85, "change": 10.2, "percentChange": 0.41 }, "atmIv": { "current": 38.08, "previous": 32.59, "change": 5.49, "percentChange": 16.85 }, "rr25": { "current": 1.59, "previous": 0.26, "change": 1.33, "percentChange": 511.54 }, "bf25": { "current": 1.03, "previous": 1.18, "change": -0.15, "percentChange": -12.71 }, "svi": { "a": { "current": -0.064, "previous": -0.0691, "change": 0.0052, "percentChange": 7.47 }, "b": { "current": 0.0864, "previous": 0.1041, "change": -0.0177, "percentChange": -17.02 }, "rho": { "current": 0.0477, "previous": 0.0042, "change": 0.0434, "percentChange": 1026.25 }, "m": { "current": 0.0274, "previous": 0.0015, "change": 0.0259, "percentChange": 1697.24 }, "sigma": { "current": 0.7442, "previous": 0.6686, "change": 0.0756, "percentChange": 11.31 } }, "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": [ 169.3659, 161.4303, 153.4735, 145.5007, 137.5183, 129.5342, 121.5578, 113.6012, 105.6794, 97.8122, 90.0253, 82.3535, 74.8446, 67.5657, 60.6127, 54.1249, 48.3033, 43.4299, 39.866, 37.9925, 38.0677, 40.0862, 43.7827, 48.7779, 54.716, 61.3214, 68.3972, 75.8076, 83.4583, 91.2834, 99.2356, 107.2805, 115.3922, 123.5509, 131.7412, 139.9508, 148.1697, 156.3897, 164.6038, 172.8064, 180.9924 ], "previous": [ 126.1798, 120.5193, 114.8456, 109.1637, 103.479, 97.7984, 92.1302, 86.4846, 80.8744, 75.3155, 69.8287, 64.4409, 59.1877, 54.117, 49.2935, 44.8055, 40.7719, 37.3473, 34.7185, 33.0804, 32.5855, 33.2862, 35.1101, 37.8933, 41.4396, 45.5667, 50.1263, 55.0055, 60.1204, 65.4095, 70.8273, 76.34, 81.9217, 87.5526, 93.2174, 98.9036, 104.6015, 110.303, 116.0014, 121.6912, 127.3678 ], "change": [ 43.1861, 40.911, 38.6279, 36.337, 34.0393, 31.7358, 29.4276, 27.1166, 24.805, 22.4967, 20.1966, 17.9126, 15.6569, 13.4487, 11.3192, 9.3194, 7.5314, 6.0826, 5.1475, 4.9121, 5.4822, 6.8, 8.6726, 10.8846, 13.2764, 15.7547, 18.2709, 20.8021, 23.3379, 25.8739, 28.4083, 30.9405, 33.4705, 35.9983, 38.5238, 41.0472, 43.5682, 46.0867, 48.6024, 51.1152, 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-0.0436, -0.0369, -0.0301 ] }, { "label": "25JUN27", "values": [ 0.2207, 0.2201, 0.2192, 0.2183, 0.217, 0.2156, 0.214, 0.2123, 0.2105, 0.2085, 0.2064, 0.2043, 0.2021, 0.1998, 0.1974, 0.1951, 0.1928, 0.1905, 0.1883, 0.186, 0.1839, 0.1817, 0.1797, 0.1778, 0.1761, 0.1744, 0.1729, 0.1715, 0.1703, 0.1692, 0.1683, 0.1676, 0.1671, 0.1668, 0.1666, 0.1667, 0.167, 0.1674, 0.1681, 0.169, 0.1701 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "headline": "Ether options reprice higher as short-dated calls grow richer", "standfirst": "Ether\u2019s short-dated options surface moved higher, with one-week ATM IV rising 4.63 volatility points to 46.95%. One-week RR25 increased 1.79 points to 2.55%, meaning calls carried higher implied volatility than puts. Front-end ATM IV averaged 49.13%, while the long end was effectively unchanged, concentrating the adjustment in nearer expiries.", "days": [ { "reportDate": "2026-09-06", "headline": "Ether front end reopens higher", "summary": "One-week implied volatility and call-side volatility both rose, while longer-dated implied volatility barely changed.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options reprice higher as short-dated calls grow richer", "standfirst": "Ether\u2019s short-dated options surface moved higher, with one-week ATM IV rising 4.63 volatility points to 46.95%. One-week RR25 increased 1.79 points to 2.55%, meaning calls carried higher implied volatility than puts. Front-end ATM IV averaged 49.13%, while the long end was effectively unchanged, concentrating the adjustment in nearer expiries.", "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 SPX/VIX session. ETH 30-day ATM IV was 49.28 volatility points; VIX was 14.529999732971191. Sources: DerivaSys 30-day fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, and ^GSPC via Yahoo Finance. 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": "market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252)." } }