{ "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:31+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326185, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316108, "timestamp": "2026-09-09T16:30:00+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": "2026-09-10T16:30:00+00:00", "spotWindowStart": "2026-09-09T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -2.23, "rv24hPercent": 41.08, "rv7dPercent": 42.29, "rv30dPercent": 52.43, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 50.0, "oneWeekIvMinus7dRvPoints": 7.71, "oneWeekIvMinus24hRvPoints": 8.92, "oneWeekIvMinus30dRvPoints": -2.43 }, "fitQuality": { "currentObjective": 0.03103974, "previousObjective": 0.03213263, "currentLiveError": 15.05049504, "previousLiveError": 12.26679159 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "14SEP26", "2OCT26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-month convexity adjustment accompanied a sharp skew reversal", "executiveSummary": "The one-month BF25 decline to 2.53% was the largest surface adjustment selected for the report. Separately, the one-week RR25 shift to minus 0.30% made puts relatively richer than calls, while front-end ATM IV moved lower.", "evidenceIds": [ "bf25", "rr25" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.00%, 7.71 volatility points above seven-day realised volatility of 42.29%; 24-hour realised volatility was 41.08% and 30-day realised volatility was 52.43%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.89 volatility points to 50.63% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.32 volatility points to 54.43% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.92% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.31 volatility points at 1W, to 50.00%.", "tenor": "1W", "value": -2.31 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "ETH", "MACRO" ], "completedScopes": [ "ETH", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 2, "discoveryEventsScanned": 4, "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": 4, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 3, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W RR25 moved 2.96 volatility points toward puts to -0.30%, leaving puts richer than calls; this was a notable move at the 87th percentile among 23 comparable historical observations. At the cutoff, realised volatility measured 41.08% over 24 hours, 42.29% over seven days and 52.43% over 30 days. Front-end ATM IV averaged 50.63%, -1.89 points from the prior snapshot, while the long end averaged 54.43%, -0.32 points. 1W ATM IV fell 2.31 volatility points to 50.00%. 1M BF25 fell 0.69 volatility points to 2.53%. The nearest eligible forward, 13SEP26, fell $51.92 (-2.08%) to $2,438.87. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 107, "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 50.00%, 7.71 volatility points above seven-day realised volatility of 42.29%; 24-hour realised volatility was 41.08% and 30-day realised volatility was 52.43%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.89 volatility points to 50.63% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.32 volatility points to 54.43% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.92% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.31 volatility points at 1W, to 50.00%.", "tenor": "1W", "value": -2.31 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.28, "rr25Change": -1.53, "bf25Change": -0.22, "largestAtmMove": { "tenor": "1W", "current": 50.0, "previous": 52.31, "change": -2.31, "historicalSignificance": { "absoluteMove": 2.31, "movePercentile30d": null, "movePercentileFullHistory": 39.1, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 39.1, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } }, "frontEndAverageAtm": { "current": 50.63, "previous": 52.53, "change": -1.89 }, "longEndAverageAtm": { "current": 54.43, "previous": 54.75, "change": -0.32 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.3, "previous": 2.66, "change": -2.96, "historicalSignificance": { "absoluteMove": 2.96, "movePercentile30d": null, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 87.0, "label": "notable", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.53, "previous": 3.22, "change": -0.69, "historicalSignificance": { "absoluteMove": 0.69, "movePercentile30d": null, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 11.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } }, "nearestEligibleForwardMove": { "label": "13SEP26", "daysToExpiry": 2.646, "current": 2438.87, "previous": 2490.79, "change": -51.92, "percentChange": -2.08 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789662600070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.0, "previous": 52.31, "change": -2.31, "percentChange": -4.42 }, "rr25": { "current": -0.3, "previous": 2.66, "change": -2.96, "percentChange": -111.28 }, "bf25": { "current": 3.04, "previous": 3.14, "change": -0.1, "percentChange": -3.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.31, "movePercentile30d": null, "movePercentileFullHistory": 39.1, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 39.1, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 2.96, "movePercentile30d": null, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 87.0, "label": "notable", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 8.7, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 8.7, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "2W", "targetExpiry": 1790267400070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.63, "previous": 52.85, "change": -2.22, "percentChange": -4.2 }, "rr25": { "current": -0.47, "previous": 2.3, "change": -2.77, "percentChange": -120.43 }, "bf25": { "current": 2.69, "previous": 2.9, "change": -0.21, "percentChange": -7.24 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.22, "movePercentile30d": null, "movePercentileFullHistory": 69.6, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 69.6, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 2.77, "movePercentile30d": null, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 34.6, "classificationPercentile": 91.3, "label": "large", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": 43.5, "currentLevelPercentileFullHistory": 42.3, "classificationPercentile": 43.5, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "1M", "targetExpiry": 1791649800070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.27, "previous": 52.42, "change": -1.15, "percentChange": -2.19 }, "rr25": { "current": 0.59, "previous": 1.56, "change": -0.97, "percentChange": -62.18 }, "bf25": { "current": 2.53, "previous": 3.22, "change": -0.69, "percentChange": -21.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.15, "movePercentile30d": null, "movePercentileFullHistory": 60.9, "currentLevelPercentileFullHistory": 42.3, "classificationPercentile": 60.9, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.97, "movePercentile30d": null, "movePercentileFullHistory": 69.6, "currentLevelPercentileFullHistory": 53.8, "classificationPercentile": 69.6, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.69, "movePercentile30d": null, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 11.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "3M", "targetExpiry": 1796920200070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.92, "previous": 53.31, "change": -0.39, "percentChange": -0.73 }, "rr25": { "current": 0.35, "previous": 0.94, "change": -0.59, "percentChange": -62.77 }, "bf25": { "current": 3.19, "previous": 3.34, "change": -0.15, "percentChange": -4.49 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.39, "movePercentile30d": null, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 47.8, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.59, "movePercentile30d": null, "movePercentileFullHistory": 69.6, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 69.6, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": null, "movePercentileFullHistory": 60.9, "currentLevelPercentileFullHistory": 76.9, "classificationPercentile": 60.9, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "6M", "targetExpiry": 1804782600070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.43, "previous": 54.75, "change": -0.32, "percentChange": -0.58 }, "rr25": { "current": 0.04, "previous": 0.4, "change": -0.36, "percentChange": -90.0 }, "bf25": { "current": 3.14, "previous": 3.1, "change": 0.04, "percentChange": 1.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 30.8, "classificationPercentile": 52.2, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": null, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 42.3, "classificationPercentile": 65.2, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": 17.4, "currentLevelPercentileFullHistory": 88.5, "classificationPercentile": 17.4, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "9M", "targetExpiry": 1812645000070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.3, "previous": 55.59, "change": -0.29, "percentChange": -0.52 }, "rr25": { "current": 0.27, "previous": 0.49, "change": -0.22, "percentChange": -44.9 }, "bf25": { "current": 2.77, "previous": 2.89, "change": -0.12, "percentChange": -4.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.29, "movePercentile30d": null, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 11.5, "classificationPercentile": 65.2, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": 43.5, "currentLevelPercentileFullHistory": 26.9, "classificationPercentile": 43.5, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 57.7, "classificationPercentile": 52.2, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } }, { "tenor": "1Y", "targetExpiry": 1820593800070, "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": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00176945, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2438.11, "previous": 2490.09, "change": -51.98, "percentChange": -2.09 }, "atmIv": { "current": 40.7, "previous": 46.88, "change": -6.18, "percentChange": -13.18 }, "rr25": { "current": -0.12, "previous": 0.74, "change": -0.86, "percentChange": -116.22 }, "bf25": { "current": 1.46, "previous": 2.28, "change": -0.82, 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"2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options lower convexity as short-dated put volatility strengthens", "standfirst": "Ether one-month BF25 fell 0.69 volatility points to 2.53% during the window, a large adjustment at the 91.3 percentile of comparable full-history moves. Meanwhile, one-week RR25 dropped 2.96 points to minus 0.30%, placing relative put-side volatility above call-side volatility. One-week ATM IV finished at 50.00%, down 2.31 points, and Ether’s 24-hour spot-index return was minus 2.23%. DerivaSys data show convexity easing alongside a marked skew reversal.", "days": [ { "reportDate": "2026-09-10", "headline": "Ether convexity and skew reset", "summary": "One-month convexity declined as the one-week relative volatility balance moved toward puts.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options lower convexity as short-dated put volatility strengthens", "standfirst": "Ether one-month BF25 fell 0.69 volatility points to 2.53% during the window, a large adjustment at the 91.3 percentile of comparable full-history moves. Meanwhile, one-week RR25 dropped 2.96 points to minus 0.30%, placing relative put-side volatility above call-side volatility. One-week ATM IV finished at 50.00%, down 2.31 points, and Ether’s 24-hour spot-index return was minus 2.23%. DerivaSys data show convexity easing alongside a marked skew reversal.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-minus-SPX realised-volatility spread was 27.01 points, at the 8.4 percentile across 227 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 27.01 points, at the 8.4 percentile across 227 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.17, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 35.710000915527345, "ivRatio": 3.1695019988922084, "cryptoRealisedVol20d": 35.633870749503586, "spxRealisedVol20": 8.623791287785536, "rvSpread": 27.01007946171805, "rvRatio": 4.1320423419771615, "rvSpreadPercentile": 8.370044052863436, "rvSpreadPercentileSampleCount": 227, "rvRatioPercentile": 26.87224669603524, "rvRatioPercentileSampleCount": 227, "returnCorrelation30": 0.050053186294946615, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.320910966495544, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }