{ "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:02:56+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296122, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286067, "timestamp": "2026-09-06T16:54:00+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": "2026-09-07T16:54:00+00:00", "spotMove24hPercent": -0.11, "rv24hPercent": 36.41, "rv7dPercent": 44.17, "rv30dPercent": 51.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 47.83, "oneWeekIvMinus7dRvPoints": 3.66, "oneWeekIvMinus24hRvPoints": 11.42, "oneWeekIvMinus30dRvPoints": -3.68 }, "fitQuality": { "currentObjective": 0.03423594, "previousObjective": 0.0827856, "currentLiveError": 21.5356241, "previousLiveError": 35.46850424 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options lift medium-term convexity amid firmer near-term volatility", "executiveSummary": "ETH\u2019s defining options move was the increase in three-month BF25, accompanied by a modest rise in front-end ATM IV and a lower one-week RR25.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "The Ethereum Foundation published its current and emerging protocol priorities after appointing Protocol cluster coordinators in May. The announcement is relevant background for Ether but does not establish an explanation for the observed surface moves.", "marketContextSummary": "The protocol-priorities publication coincided with the observed options repricing, but the available reaction evidence does not establish a direct link.", "marketContext": [ { "title": "Protocol update offers only contextual background", "explanation": "The Ethereum Foundation publication preceded an observed four-hour rise in ETH ATM IV, while RR25 and BF25 declined over that interval. Those timed observations are insufficient to attribute the day\u2019s firmer front end or higher three-month convexity to the announcement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "bf25" ], "newsEvidenceIds": [ "7cf5e039-7cda-4d58-ad67-ace4c5623c97" ] } ], "newsEvidenceIds": [ "7cf5e039-7cda-4d58-ad67-ace4c5623c97" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:54 UTC cutoff, 1W ATM IV was 47.83%, 3.66 volatility points above seven-day realised volatility of 44.17%; 24-hour realised volatility was 36.41% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points to 49.28% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.05 volatility points to 54.29% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 1.14% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 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 +1.40 volatility points at 1W, to 47.83%.", "tenor": "1W", "value": 1.4 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 7, "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": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" } ], "events": [ { "event_cluster_id": "market-event-c7764e08ba16", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" }, "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-c7764e08ba16", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.86 volatility points toward puts to 0.77%, leaving calls richer than puts; this was a routine move at the 50th percentile among 20 comparable historical observations. At the cutoff, realised volatility measured 36.41% over 24 hours, 44.17% over seven days and 51.51% over 30 days. Front-end ATM IV averaged 49.28%, +0.52 points from the prior snapshot, while the long end averaged 54.29%, -0.05 points. 1W ATM IV rose 1.40 volatility points to 47.83%. 3M BF25 rose 0.25 volatility points to 3.27%. The nearest eligible forward, 10SEP26, fell $2.15 (-0.09%) to $2,482.09. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 16:54 UTC cutoff, 1W ATM IV was 47.83%, 3.66 volatility points above seven-day realised volatility of 44.17%; 24-hour realised volatility was 36.41% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points to 49.28% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.05 volatility points to 54.29% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 1.14% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 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 +1.40 volatility points at 1W, to 47.83%.", "tenor": "1W", "value": 1.4 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.24, "rr25Change": -0.81, "bf25Change": 0.01, "largestAtmMove": { "tenor": "1W", "current": 47.83, "previous": 46.43, "change": 1.4, "historicalSignificance": { "absoluteMove": 1.4, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } }, "frontEndAverageAtm": { "current": 49.28, "previous": 48.77, "change": 0.52 }, "longEndAverageAtm": { "current": 54.29, "previous": 54.34, "change": -0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.77, "previous": 2.63, "change": -1.86, "historicalSignificance": { "absoluteMove": 1.86, "movePercentile30d": null, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 3.27, "previous": 3.02, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": null, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.3, "classificationPercentile": 85.0, "label": "notable", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } }, "nearestEligibleForwardMove": { "label": "10SEP26", "daysToExpiry": 2.629, "current": 2482.09, "previous": 2484.24, "change": -2.15, "percentChange": -0.09 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789404840510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.83, "previous": 46.43, "change": 1.4, "percentChange": 3.02 }, "rr25": { "current": 0.77, "previous": 2.63, "change": -1.86, "percentChange": -70.72 }, "bf25": { "current": 2.85, "previous": 2.95, "change": -0.1, "percentChange": -3.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.4, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 1.86, "movePercentile30d": null, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 10.0, "currentLevelPercentileFullHistory": 60.9, "classificationPercentile": 10.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "2W", "targetExpiry": 1790009640510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.34, "previous": 49.14, "change": 0.2, "percentChange": 0.41 }, "rr25": { "current": 1.26, "previous": 2.73, 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-0.0312, -0.0309, -0.0305, -0.03, -0.0295, -0.0289, -0.0282, -0.0275, -0.0268 ] }, { "label": "25JUN27", "values": [ 0.1256, 0.1187, 0.112, 0.1056, 0.0994, 0.0932, 0.0874, 0.0816, 0.0762, 0.0708, 0.0656, 0.0606, 0.0557, 0.051, 0.0464, 0.042, 0.0377, 0.0336, 0.0295, 0.0256, 0.0218, 0.0181, 0.0144, 0.0109, 0.0074, 0.004, 0.0007, -0.0025, -0.0056, -0.0087, -0.0117, -0.0147, -0.0177, -0.0206, -0.0234, -0.0262, -0.029, -0.0317, -0.0344, -0.0371, -0.0398 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Ether options add three-month convexity as front end firms", "standfirst": "Ether\u2019s three-month BF25 rose 0.25 volatility points to 3.27%, a notable move that lifted the convexity measure to its 91.3 percentile of available history. Front-end ATM IV averaged 49.28%, up 0.52 points, while one-week skew rotated toward puts but remained call-rich.", "days": [ { "reportDate": "2026-09-07", "headline": "Ether convexity rises as the front end strengthens", "summary": "Three-month convexity increased notably while short-dated implied volatility edged higher and skew softened.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Ethereum Foundation outlined current and emerging protocol priorities following coordinator appointments.", "events": [ { "eventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "title": "EF Protocol: Current and Emerging Priorities", "publisher": "Ethereum Foundation", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00" } ] } } ] }, "headline": "Ether options add three-month convexity as front end firms", "standfirst": "Ether\u2019s three-month BF25 rose 0.25 volatility points to 3.27%, a notable move that lifted the convexity measure to its 91.3 percentile of available history. Front-end ATM IV averaged 49.28%, up 0.52 points, while one-week skew rotated toward puts but remained call-rich.", "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-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }