{ "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:42:22+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336261, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326179, "timestamp": "2026-09-10T16:29:00+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": "2026-09-11T16:29:00+00:00", "spotWindowStart": "2026-09-10T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 5.17, "rv24hPercent": 75.6, "rv7dPercent": 44.02, "rv30dPercent": 53.88, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 51.6, "oneWeekIvMinus7dRvPoints": 7.58, "oneWeekIvMinus24hRvPoints": -24.0, "oneWeekIvMinus30dRvPoints": -2.28 }, "fitQuality": { "currentObjective": 0.03879196, "previousObjective": 0.03171064, "currentLiveError": 16.45329124, "previousLiveError": 7.71163716 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether call-side volatility becomes richer", "executiveSummary": "Ether’s one-week RR25 advanced 2.90 volatility points to 2.60%, making the front-end call-rich.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No qualifying Ether news item was retained for this window.", "marketContextSummary": "No retained news evidence supports a direct explanation for Ether’s skew repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 51.60%, 7.58 volatility points above seven-day realised volatility of 44.02%; 24-hour realised volatility was 75.60% and 30-day realised volatility was 53.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.56 volatility points to 51.20% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.15 volatility points to 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.76 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.60 volatility points at 1W, to 51.60%.", "tenor": "1W", "value": 1.6 } ] }, "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": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "4a8080657f4a4fac369c78a6b10dbf4cde6ca330eece164dc96bcf47cbdde527" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 5, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 5, "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 2.90 volatility points toward calls to 2.60%, leaving calls richer than puts; this was a notable move at the 88th percentile among 24 comparable historical observations. At the cutoff, realised volatility measured 75.60% over 24 hours, 44.02% over seven days and 53.88% over 30 days. Front-end ATM IV averaged 51.20%, +0.56 points from the prior snapshot, while the long end averaged 54.27%, -0.15 points. 1W ATM IV rose 1.60 volatility points to 51.60%. 1M BF25 rose 0.43 volatility points to 2.96%. The nearest eligible forward, 14SEP26, rose $128.21 (+5.26%) to $2,567.93. 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 16:29 UTC cutoff, 1W ATM IV was 51.60%, 7.58 volatility points above seven-day realised volatility of 44.02%; 24-hour realised volatility was 75.60% and 30-day realised volatility was 53.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.56 volatility points to 51.20% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.15 volatility points to 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.76 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.60 volatility points at 1W, to 51.60%.", "tenor": "1W", "value": 1.6 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.3, "rr25Change": 0.76, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 51.6, "previous": 50.0, "change": 1.6, "historicalSignificance": { "absoluteMove": 1.6, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } }, "frontEndAverageAtm": { "current": 51.2, "previous": 50.64, "change": 0.56 }, "longEndAverageAtm": { "current": 54.27, "previous": 54.42, "change": -0.15 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 2.6, "previous": -0.3, "change": 2.9, "historicalSignificance": { "absoluteMove": 2.9, "movePercentile30d": 85.0, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.96, "previous": 2.53, "change": 0.43, "historicalSignificance": { "absoluteMove": 0.43, "movePercentile30d": 85.0, "movePercentileFullHistory": 79.2, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 85.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } }, "nearestEligibleForwardMove": { "label": "14SEP26", "daysToExpiry": 2.647, "current": 2567.93, "previous": 2439.72, "change": 128.21, "percentChange": 5.26 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.6, "previous": 50.0, "change": 1.6, "percentChange": 3.2 }, "rr25": { "current": 2.6, "previous": -0.3, "change": 2.9, "percentChange": 966.67 }, "bf25": { "current": 3.12, "previous": 3.04, "change": 0.08, "percentChange": 2.63 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.6, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 2.9, "movePercentile30d": 85.0, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "2W", "targetExpiry": 1790353740743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.99, "previous": 50.64, "change": 0.35, "percentChange": 0.69 }, "rr25": { "current": 0.41, "previous": -0.48, "change": 0.89, "percentChange": 185.42 }, "bf25": { "current": 2.51, "previous": 2.68, "change": -0.17, "percentChange": -6.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.35, "movePercentile30d": 20.0, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 25.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.89, "movePercentile30d": 45.0, "movePercentileFullHistory": 54.2, "currentLevelPercentileFullHistory": 48.1, "classificationPercentile": 54.2, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.2, "currentLevelPercentileFullHistory": 25.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "1M", "targetExpiry": 1791736140743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.0, "previous": 51.27, "change": -0.27, "percentChange": -0.53 }, "rr25": { "current": 0.92, "previous": 0.59, "change": 0.33, "percentChange": 55.93 }, "bf25": { "current": 2.96, "previous": 2.53, "change": 0.43, "percentChange": 17.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.27, "movePercentile30d": 15.0, "movePercentileFullHistory": 20.8, "currentLevelPercentileFullHistory": 40.7, "classificationPercentile": 20.8, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 59.3, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.43, "movePercentile30d": 85.0, "movePercentileFullHistory": 79.2, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 85.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "3M", "targetExpiry": 1797006540743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.91, "previous": 52.92, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -0.06, "previous": 0.35, "change": -0.41, "percentChange": -117.14 }, "bf25": { "current": 3.26, "previous": 3.19, "change": 0.07, "percentChange": 2.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 48.1, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 37.0, "classificationPercentile": 50.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 35.0, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 85.2, "classificationPercentile": 37.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "6M", "targetExpiry": 1804868940743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.27, "previous": 54.42, "change": -0.15, "percentChange": -0.28 }, "rr25": { "current": 0.15, "previous": 0.04, "change": 0.11, "percentChange": 275.0 }, "bf25": { "current": 3.27, "previous": 3.16, "change": 0.11, "percentChange": 3.48 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.15, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.2, "currentLevelPercentileFullHistory": 22.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 48.1, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 55.0, "movePercentileFullHistory": 54.2, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 55.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "9M", "targetExpiry": 1812731340743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.3, "previous": 55.29, "change": 0.01, "percentChange": 0.02 }, "rr25": { "current": 0.35, "previous": 0.27, "change": 0.08, "percentChange": 29.63 }, "bf25": { "current": 2.87, "previous": 2.79, "change": 0.08, "percentChange": 2.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 5.0, "movePercentileFullHistory": 8.3, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 8.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.2, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 30.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 40.0, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 40.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "1Y", "targetExpiry": 1820680140743, "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": "12SEP26", "expiry": 1789200000000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2566.82, "previous": 2439.06, "change": 127.76, "percentChange": 5.24 }, "atmIv": { "current": 50.01, "previous": 50.59, "change": -0.58, "percentChange": -1.15 }, "rr25": { "current": 3.89, "previous": -1.31, "change": 5.2, "percentChange": 396.95 }, "bf25": { "current": 1.85, "previous": 2.61, "change": -0.76, "percentChange": -29.12 }, "svi": { "a": { "current": -0.057, "previous": 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calls richer than puts at the cutoff. The move was notable against the available history. Ether’s 24-hour spot-index return was 5.17%, while one-week ATM IV of 51.60% stood 7.58 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-11", "headline": "Ether skew swings toward calls", "summary": "Ether short-dated skew repriced toward calls as one-week implied volatility also increased.", "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 turn call-rich as short-dated skew reprices sharply", "standfirst": "Ether one-week RR25 rose 2.90 volatility points to 2.60%, shifting relative volatility toward calls and leaving calls richer than puts at the cutoff. The move was notable against the available history. Ether’s 24-hour spot-index return was 5.17%, while one-week ATM IV of 51.60% stood 7.58 points above seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and ETH context. The crypto-minus-SPX realised-volatility spread was 23.47 points, at the 7.0 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.25 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 23.47 points, at the 7.0 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.25 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.09, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 33.24999984741211, "ivRatio": 2.863789213173792, "cryptoRealisedVol20d": 32.202661737380225, "spxRealisedVol20": 8.729045135983702, "rvSpread": 23.47361660139652, "rvRatio": 3.689139102355118, "rvSpreadPercentile": 7.017543859649122, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 21.05263157894737, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": -0.005654580703899749, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2518355495700392, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }