{ "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:01:04+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306032, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295955, "timestamp": "2026-09-07T16:30:00+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": "2026-09-08T16:30:00+00:00", "spotMove24hPercent": 0.79, "rv24hPercent": 36.33, "rv7dPercent": 43.92, "rv30dPercent": 51.88, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 50.19, "oneWeekIvMinus7dRvPoints": 6.27, "oneWeekIvMinus24hRvPoints": 13.86, "oneWeekIvMinus30dRvPoints": -1.69 }, "fitQuality": { "currentObjective": 0.07310928, "previousObjective": 0.01718816, "currentLiveError": 32.84685306, "previousLiveError": 15.91106793 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options pair front-end IV strength with softer BF25", "executiveSummary": "Derivasys data show Ether\u2019s one-week ATM IV at 50.19%, up 2.35 volatility points during the observation window. Ether\u2019s one-week ATM IV exceeded Ether\u2019s seven-day realised volatility by 6.27 volatility points.\n\nThe Ether one-month BF25 reading was 2.72% after a 0.19-volatility-point decline. That BF25 move was routine against the available historical sample.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "News Check: no qualifying event was retained for Ether\u2019s options repricing.", "marketContextSummary": "No retained news item supports an assessment of the Ether options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.19%, 6.27 volatility points above seven-day realised volatility of 43.92%; 24-hour realised volatility was 36.33% and 30-day realised volatility was 51.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.48 volatility points to 50.79% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 54.39% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to 1.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.04 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.35 volatility points at 1W, to 50.19%.", "tenor": "1W", "value": 2.35 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+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": 9, "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": 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 2.35 volatility points to 50.19%, a routine move at the 43rd percentile among 21 comparable historical observations. At the cutoff, realised volatility measured 36.33% over 24 hours, 43.92% over seven days and 51.88% over 30 days. Front-end ATM IV averaged 50.79%, +1.48 points from the prior snapshot, while the long end averaged 54.39%, +0.11 points. 1W RR25 moved 0.83 volatility points toward calls to 1.66%, leaving calls richer than puts. 1M BF25 fell 0.19 volatility points to 2.72%. The nearest eligible forward, 11SEP26, rose $18.83 (+0.76%) to $2,490.39. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "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 16:30 UTC cutoff, 1W ATM IV was 50.19%, 6.27 volatility points above seven-day realised volatility of 43.92%; 24-hour realised volatility was 36.33% and 30-day realised volatility was 51.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.48 volatility points to 50.79% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 54.39% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to 1.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.04 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.35 volatility points at 1W, to 50.19%.", "tenor": "1W", "value": 2.35 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.96, "rr25Change": -0.01, "bf25Change": -0.04, "largestAtmMove": { "tenor": "1W", "current": 50.19, "previous": 47.84, "change": 2.35, "historicalSignificance": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 42.9, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } }, "frontEndAverageAtm": { "current": 50.79, "previous": 49.31, "change": 1.48 }, "longEndAverageAtm": { "current": 54.39, "previous": 54.28, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.66, "previous": 0.83, "change": 0.83, "historicalSignificance": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.72, "previous": 2.91, "change": -0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 66.7, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 2.646, "current": 2490.39, "previous": 2471.56, "change": 18.83, "percentChange": 0.76 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789489800759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.19, "previous": 47.84, "change": 2.35, "percentChange": 4.91 }, "rr25": { "current": 1.66, "previous": 0.83, "change": 0.83, "percentChange": 100.0 }, "bf25": { "current": 3.04, "previous": 2.87, "change": 0.17, "percentChange": 5.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 42.9, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 19.0, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "2W", "targetExpiry": 1790094600759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.77, "previous": 49.46, "change": 1.31, "percentChange": 2.65 }, "rr25": { "current": 1.22, "previous": 1.36, "change": -0.14, "percentChange": -10.29 }, "bf25": { "current": 2.54, "previous": 2.64, "change": -0.1, "percentChange": -3.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.31, "movePercentile30d": null, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 19.0, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 29.2, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "1M", "targetExpiry": 1791477000759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.4, "previous": 50.63, "change": 0.77, "percentChange": 1.52 }, "rr25": { "current": 1.38, "previous": 1.77, "change": -0.39, "percentChange": -22.03 }, "bf25": { "current": 2.72, "previous": 2.91, "change": -0.19, "percentChange": -6.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.77, "movePercentile30d": null, "movePercentileFullHistory": 38.1, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 38.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": null, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 57.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 66.7, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "3M", "targetExpiry": 1796747400759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.51, "previous": 52.26, "change": 0.25, "percentChange": 0.48 }, "rr25": { "current": 0.93, "previous": 1.27, "change": -0.34, "percentChange": -26.77 }, "bf25": { "current": 3.13, "previous": 3.27, "change": -0.14, "percentChange": -4.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.25, "movePercentile30d": null, "movePercentileFullHistory": 28.6, "currentLevelPercentileFullHistory": 41.7, "classificationPercentile": 28.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": null, "movePercentileFullHistory": 38.1, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 38.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 47.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "6M", "targetExpiry": 1804609800759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.39, "previous": 54.28, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 0.64, "previous": 0.66, "change": -0.02, "percentChange": -3.03 }, "bf25": { "current": 3.02, "previous": 2.96, "change": 0.06, "percentChange": 2.03 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 29.2, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": 4.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 4.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 79.2, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "9M", "targetExpiry": 1812472200759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.49, "previous": 55.47, "change": 0.02, "percentChange": 0.04 }, "rr25": { "current": 0.69, "previous": 0.76, "change": -0.07, "percentChange": -9.21 }, "bf25": { "current": 2.75, "previous": 2.7, "change": 0.05, "percentChange": 1.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 33.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "1Y", "targetExpiry": 1820421000759, "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": "9SEP26", "expiry": 1788940800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2489.9, "previous": 2471.06, "change": 18.84, "percentChange": 0.76 }, "atmIv": { "current": 42.72, "previous": 42.39, "change": 0.33, "percentChange": 0.78 }, "rr25": { "current": 2.41, "previous": 0.67, "change": 1.74, "percentChange": 259.7 }, "bf25": { "current": 1.47, "previous": 1.91, "change": -0.44, "percentChange": -23.04 }, "svi": { "a": { "current": -0.0856, "previous": -0.0824, "change": -0.0032, "percentChange": -3.93 }, "b": { "current": 0.1114, "previous": 0.1262, "change": -0.0147, "percentChange": -11.68 }, "rho": { "current": 0.0427, "previous": 0.0279, "change": 0.0149, "percentChange": 53.32 }, "m": { "current": 0.0231, "previous": 0.0154, "change": 0.0076, "percentChange": 49.54 }, "sigma": { "current": 0.7716, "previous": 0.6594, "change": 0.1122, "percentChange": 17.02 } }, "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": [ 185.5121, 176.7546, 167.9783, 159.1895, 150.3954, 141.605, 132.8294, 124.0822, 115.3811, 106.7487, 98.2151, 89.8204, 81.6203, 73.6925, 66.1484, 59.1482, 52.9215, 47.7845, 44.1309, 42.3562, 42.7029, 45.1266, 49.3244, 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0.0739, 0.0711, 0.0683, 0.0655, 0.0625, 0.0596, 0.0567, 0.0538, 0.0509, 0.0481, 0.0453, 0.0426, 0.0399, 0.0373, 0.0348, 0.0323, 0.03, 0.0277, 0.0255, 0.0235, 0.0215, 0.0195, 0.0177, 0.0159, 0.0143, 0.0126, 0.0111, 0.0096, 0.0083, 0.0069, 0.0056, 0.0044, 0.0032, 0.0021, 0.0009, -0.0001, -0.0013, -0.0022 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options reprice as one-month BF25 eases and one-week ATM IV rises", "standfirst": "Ether\u2019s one-week ATM IV rose 2.35 volatility points to 50.19% over the observation window, lifting the cost of near-term options protection. Ether spot gained 0.78% over 24 hours, while Ether\u2019s one-week ATM IV stood 6.27 volatility points above Ether\u2019s seven-day realised volatility of 43.92%.\n\nEther\u2019s one-month BF25 fell 0.19 volatility points to 2.72%. BF25 describes the curvature of the options smile, and the one-month Ether BF25 move was routine against the available historical sample. Derivasys data show that longer-dated Ether ATM IV changed little by comparison.", "days": [ { "reportDate": "2026-09-08", "headline": "Ether options lift at one week while the monthly smile softens", "summary": "At the cutoff, Ether\u2019s one-week ATM IV was 50.19% after a 2.35-volatility-point increase. Ether\u2019s one-month BF25, a measure of smile curvature, declined 0.19 volatility points to 2.72%.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options reprice as one-month BF25 eases and one-week ATM IV rises", "standfirst": "Ether\u2019s one-week ATM IV rose 2.35 volatility points to 50.19% over the observation window, lifting the cost of near-term options protection. Ether spot gained 0.78% over 24 hours, while Ether\u2019s one-week ATM IV stood 6.27 volatility points above Ether\u2019s seven-day realised volatility of 43.92%.\n\nEther\u2019s one-month BF25 fell 0.19 volatility points to 2.72%. BF25 describes the curvature of the options smile, and the one-month Ether BF25 move was routine against the available historical sample. Derivasys data show that longer-dated Ether ATM IV changed little by comparison.", "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): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "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 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }