{ "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:32:12+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316108, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306032, "timestamp": "2026-09-08T16:30:00+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": "2026-09-09T16:30:00+00:00", "spotWindowStart": "2026-09-08T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.13, "rv24hPercent": 45.53, "rv7dPercent": 43.08, "rv30dPercent": 52.16, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 52.31, "oneWeekIvMinus7dRvPoints": 9.23, "oneWeekIvMinus24hRvPoints": 6.78, "oneWeekIvMinus30dRvPoints": 0.15 }, "fitQuality": { "currentObjective": 0.03213263, "previousObjective": 0.07310928, "currentLiveError": 12.26679159, "previousLiveError": 32.84685306 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-month convexity reprices alongside a firmer front end", "executiveSummary": "Ether’s one-month BF25 rose to 3.22%, a notable move in the available history, while front-end ATM IV increased by 1.74 volatility points on average. One-week implied volatility also remained above seven-day realised volatility.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Ether’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.31%, 9.23 volatility points above seven-day realised volatility of 43.08%; 24-hour realised volatility was 45.53% and 30-day realised volatility was 52.16%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.74 volatility points to 52.53% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.36 volatility points to 54.75% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 3.14% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.12 volatility points at 1W, to 52.31%.", "tenor": "1W", "value": 2.12 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 2, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 2, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "1W ATM IV rose 2.12 volatility points to 52.31%, a routine move at the 36th percentile among 22 comparable historical observations. At the cutoff, realised volatility measured 45.53% over 24 hours, 43.08% over seven days and 52.16% over 30 days. Front-end ATM IV averaged 52.53%, +1.74 points from the prior snapshot, while the long end averaged 54.75%, +0.36 points. 2W RR25 moved 1.08 volatility points toward calls to 2.30%, leaving calls richer than puts. 1M BF25 rose 0.50 volatility points to 3.22%. The nearest eligible forward, 12SEP26, fell $0.14 (-0.01%) to $2,490.46. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 103, "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 52.31%, 9.23 volatility points above seven-day realised volatility of 43.08%; 24-hour realised volatility was 45.53% and 30-day realised volatility was 52.16%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.74 volatility points to 52.53% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.36 volatility points to 54.75% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 3.14% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.12 volatility points at 1W, to 52.31%.", "tenor": "1W", "value": 2.12 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.28, "rr25Change": 0.41, "bf25Change": 0.25, "largestAtmMove": { "tenor": "1W", "current": 52.31, "previous": 50.19, "change": 2.12, "historicalSignificance": { "absoluteMove": 2.12, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } }, "frontEndAverageAtm": { "current": 52.53, "previous": 50.79, "change": 1.74 }, "longEndAverageAtm": { "current": 54.75, "previous": 54.39, "change": 0.36 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 2.3, "previous": 1.22, "change": 1.08, "historicalSignificance": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": 54.5, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 54.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 3.22, "previous": 2.72, "change": 0.5, "historicalSignificance": { "absoluteMove": 0.5, "movePercentile30d": null, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 86.4, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } }, "nearestEligibleForwardMove": { "label": "12SEP26", "daysToExpiry": 2.646, "current": 2490.46, "previous": 2490.6, "change": -0.14, "percentChange": -0.01 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.31, "previous": 50.19, "change": 2.12, "percentChange": 4.22 }, "rr25": { "current": 2.66, "previous": 1.66, "change": 1.0, "percentChange": 60.24 }, "bf25": { "current": 3.14, "previous": 3.04, "change": 0.1, "percentChange": 3.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.12, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.0, "movePercentile30d": null, "movePercentileFullHistory": 22.7, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 22.7, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 13.6, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 13.6, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "2W", "targetExpiry": 1790181000546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.85, "previous": 50.77, "change": 2.08, "percentChange": 4.1 }, "rr25": { "current": 2.3, "previous": 1.22, "change": 1.08, "percentChange": 88.52 }, "bf25": { "current": 2.9, "previous": 2.54, "change": 0.36, "percentChange": 14.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": null, "movePercentileFullHistory": 68.2, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 68.2, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": 54.5, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 54.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.36, "movePercentile30d": null, "movePercentileFullHistory": 72.7, "currentLevelPercentileFullHistory": 64.0, "classificationPercentile": 72.7, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "1M", "targetExpiry": 1791563400546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.42, "previous": 51.4, "change": 1.02, "percentChange": 1.98 }, "rr25": { "current": 1.56, "previous": 1.38, "change": 0.18, "percentChange": 13.04 }, "bf25": { "current": 3.22, "previous": 2.72, "change": 0.5, "percentChange": 18.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.02, "movePercentile30d": null, "movePercentileFullHistory": 45.5, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 45.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 0.18, "movePercentile30d": null, "movePercentileFullHistory": 22.7, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 22.7, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.5, "movePercentile30d": null, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 86.4, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "3M", "targetExpiry": 1796833800546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.31, "previous": 52.51, "change": 0.8, "percentChange": 1.52 }, "rr25": { "current": 0.94, "previous": 0.93, "change": 0.01, "percentChange": 1.08 }, "bf25": { "current": 3.34, "previous": 3.13, "change": 0.21, "percentChange": 6.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.8, "movePercentile30d": null, "movePercentileFullHistory": 77.3, "currentLevelPercentileFullHistory": 52.0, "classificationPercentile": 77.3, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": 4.5, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 4.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 86.4, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "6M", "targetExpiry": 1804696200546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.75, "previous": 54.39, "change": 0.36, "percentChange": 0.66 }, "rr25": { "current": 0.4, "previous": 0.64, "change": -0.24, "percentChange": -37.5 }, "bf25": { "current": 3.1, "previous": 3.02, "change": 0.08, "percentChange": 2.65 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.36, "movePercentile30d": null, "movePercentileFullHistory": 59.1, "currentLevelPercentileFullHistory": 52.0, "classificationPercentile": 59.1, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 0.24, "movePercentile30d": null, "movePercentileFullHistory": 40.9, "currentLevelPercentileFullHistory": 68.0, "classificationPercentile": 40.9, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 88.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "9M", "targetExpiry": 1812558600546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.59, "previous": 55.49, "change": 0.1, "percentChange": 0.18 }, "rr25": { "current": 0.49, "previous": 0.69, "change": -0.2, "percentChange": -28.99 }, "bf25": { "current": 2.89, "previous": 2.75, "change": 0.14, "percentChange": 5.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 31.8, "currentLevelPercentileFullHistory": 36.0, "classificationPercentile": 31.8, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 44.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": 63.6, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 63.6, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "1Y", "targetExpiry": 1820507400546, "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": "10SEP26", "expiry": 1789027200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2489.87, "previous": 2490.1, "change": -0.23, "percentChange": -0.01 }, "atmIv": { "current": 44.97, "previous": 44.15, "change": 0.82, "percentChange": 1.86 }, "rr25": { "current": 2.41, "previous": 1.28, "change": 1.13, "percentChange": 88.28 }, "bf25": { "current": 1.57, "previous": 2.12, "change": -0.55, "percentChange": -25.94 }, "svi": { "a": { "current": -0.0852, "previous": -0.0806, "change": -0.0047, "percentChange": -5.77 }, "b": { "current": 0.113, "previous": 0.1288, "change": -0.0157, "percentChange": -12.22 }, "rho": { "current": 0.1017, "previous": 0.0415, "change": 0.0602, "percentChange": 145.13 }, "m": { "current": 0.068, "previous": 0.0207, "change": 0.0473, "percentChange": 227.91 }, "sigma": { "current": 0.7612, "previous": 0.6332, "change": 0.128, "percentChange": 20.21 } }, "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": [ 185.6218, 176.9969, 168.3488, 159.6837, 151.0091, 142.3341, 133.6702, 125.0317, 116.437, 107.9097, 99.4812, 91.1935, 83.1043, 75.2939, 67.8755, 61.01, 54.9236, 49.9205, 46.3707, 44.639, 44.9503, 47.2757, 51.3508, 56.8059, 63.2889, 70.5183, 78.2877, 86.4504, 94.9027, 103.5706, 112.4005, 121.3525, 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0.0767, 0.0709, 0.0656, 0.0606, 0.056, 0.0517, 0.0478, 0.0444, 0.0413, 0.0385, 0.0361, 0.0341, 0.0325, 0.0313, 0.0303 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options gain convexity as short-dated volatility strengthens", "standfirst": "Ether one-month BF25 rose 0.50 volatility points to 3.22%, the material surface move, while one-week ATM IV climbed 2.12 points to 52.31%. BF25 measures the relative pricing of options away from the centre of the distribution. DerivaSys data put front-end ATM IV at 52.53%, up 1.74 points; Ether’s 24-hour spot-index return was 0.13%, and one-week implied volatility exceeded seven-day realised volatility by 9.23 points.", "days": [ { "reportDate": "2026-09-09", "headline": "Ether convexity and front-end volatility rise", "summary": "One-month BF25 posted a notable increase as shorter-dated Ether implied volatility advanced.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Ether options gain convexity as short-dated volatility strengthens", "standfirst": "Ether one-month BF25 rose 0.50 volatility points to 3.22%, the material surface move, while one-week ATM IV climbed 2.12 points to 52.31%. BF25 measures the relative pricing of options away from the centre of the distribution. DerivaSys data put front-end ATM IV at 52.53%, up 1.74 points; Ether’s 24-hour spot-index return was 0.13%, and one-week implied volatility exceeded seven-day realised volatility by 9.23 points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 6.37, at the 73.5 percentile across 226 prior observations. The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.37, at the 73.5 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.82, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 36.09999973297119, "ivRatio": 3.296437603037926, "cryptoRealisedVol20d": 54.36608239986415, "spxRealisedVol20": 8.535776328313373, "rvSpread": 45.83030607155077, "rvRatio": 6.369201852153806, "rvSpreadPercentile": 39.38053097345133, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 73.45132743362832, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.03279786013393464, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3113951791988672, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }