{ "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:38:37+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346340, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 336261, "timestamp": "2026-09-11T16:29:00+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": "2026-09-12T16:29:00+00:00", "spotWindowStart": "2026-09-11T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.26, "rv24hPercent": 37.2, "rv7dPercent": 45.57, "rv30dPercent": 54.07, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.48, "oneWeekIvMinus7dRvPoints": 2.91, "oneWeekIvMinus24hRvPoints": 11.28, "oneWeekIvMinus30dRvPoints": -5.59 }, "fitQuality": { "currentObjective": 0.42699563, "previousObjective": 0.03879196, "currentLiveError": 227.96922003, "previousLiveError": 16.45329124 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-week options skew swings toward puts", "executiveSummary": "Ether’s clearest surface change was the one-week RR25 decline to -1.16%, placing put volatility above call volatility on that measure. Front-end ATM IV also fell by 1.91 points on average.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item supports a causal link to Ether’s options repricing; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 48.48%, 2.91 volatility points above seven-day realised volatility of 45.57%; 24-hour realised volatility was 37.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.91 volatility points to 49.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.01 volatility points to 54.28% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -3.12 volatility points at 1W, to 48.48%.", "tenor": "1W", "value": -3.12 } ] }, "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": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 5, "hasMore": false, "nextCursor": null, "resultSha256": "498fd1abae5bc2fe9cc33bac748debc03af822fb970b0aa34f765e2aa83a43c9" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "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": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "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 3.76 volatility points toward puts to -1.16%, leaving puts richer than calls; this was a notable move at the 88th percentile among 25 comparable historical observations. At the cutoff, realised volatility measured 37.20% over 24 hours, 45.57% over seven days and 54.07% over 30 days. Front-end ATM IV averaged 49.29%, -1.91 points from the prior snapshot, while the long end averaged 54.28%, +0.01 points. 1W ATM IV fell 3.12 volatility points to 48.48%. 1M BF25 rose 0.40 volatility points to 3.36%. The nearest eligible forward, 15SEP26, fell $34.60 (-1.35%) to $2,533.69. 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 48.48%, 2.91 volatility points above seven-day realised volatility of 45.57%; 24-hour realised volatility was 37.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.91 volatility points to 49.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.01 volatility points to 54.28% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -3.12 volatility points at 1W, to 48.48%.", "tenor": "1W", "value": -3.12 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.18, "rr25Change": -1.33, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 48.48, "previous": 51.6, "change": -3.12, "historicalSignificance": { "absoluteMove": 3.12, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 64.3, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } }, "frontEndAverageAtm": { "current": 49.29, "previous": 51.2, "change": -1.91 }, "longEndAverageAtm": { "current": 54.28, "previous": 54.27, "change": 0.01 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.16, "previous": 2.6, "change": -3.76, "historicalSignificance": { "absoluteMove": 3.76, "movePercentile30d": 85.7, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 88.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 3.36, "previous": 2.96, "change": 0.4, "historicalSignificance": { "absoluteMove": 0.4, "movePercentile30d": 85.7, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } }, "nearestEligibleForwardMove": { "label": "15SEP26", "daysToExpiry": 2.647, "current": 2533.69, "previous": 2568.29, "change": -34.6, "percentChange": -1.35 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.48, "previous": 51.6, "change": -3.12, "percentChange": -6.05 }, "rr25": { "current": -1.16, "previous": 2.6, "change": -3.76, "percentChange": -144.62 }, "bf25": { "current": 3.14, "previous": 3.12, "change": 0.02, "percentChange": 0.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.12, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 64.3, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 85.7, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 88.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 4.8, "movePercentileFullHistory": 8.0, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 8.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "2W", "targetExpiry": 1790440140702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.41, "previous": 50.99, "change": -1.58, "percentChange": -3.1 }, "rr25": { "current": -0.94, "previous": 0.41, "change": -1.35, "percentChange": -329.27 }, "bf25": { "current": 2.84, "previous": 2.51, "change": 0.33, "percentChange": 13.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.58, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 57.1, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 1.35, "movePercentile30d": 61.9, "movePercentileFullHistory": 68.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 68.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.33, "movePercentile30d": 85.7, "movePercentileFullHistory": 76.0, "currentLevelPercentileFullHistory": 60.7, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "1M", "targetExpiry": 1791822540702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.97, "previous": 51.0, "change": -1.03, "percentChange": -2.02 }, "rr25": { "current": -0.3, "previous": 0.92, "change": -1.22, "percentChange": -132.61 }, "bf25": { "current": 3.36, "previous": 2.96, "change": 0.4, "percentChange": 13.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.03, "movePercentile30d": 47.6, "movePercentileFullHistory": 48.0, "currentLevelPercentileFullHistory": 35.7, "classificationPercentile": 48.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 1.22, "movePercentile30d": 81.0, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 84.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.4, "movePercentile30d": 85.7, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "3M", "targetExpiry": 1797092940702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.75, "previous": 52.91, "change": -0.16, "percentChange": -0.3 }, "rr25": { "current": -0.07, "previous": -0.06, "change": -0.01, "percentChange": -16.67 }, "bf25": { "current": 3.31, "previous": 3.26, "change": 0.05, "percentChange": 1.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 23.8, "movePercentileFullHistory": 28.0, "currentLevelPercentileFullHistory": 46.4, "classificationPercentile": 28.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 4.0, "currentLevelPercentileFullHistory": 39.3, "classificationPercentile": 4.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 28.6, "movePercentileFullHistory": 32.0, "currentLevelPercentileFullHistory": 92.9, "classificationPercentile": 32.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "6M", "targetExpiry": 1804955340702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.28, "previous": 54.27, "change": 0.01, "percentChange": 0.02 }, "rr25": { "current": -0.15, "previous": 0.15, "change": -0.3, "percentChange": -200.0 }, "bf25": { "current": 2.99, "previous": 3.27, "change": -0.28, "percentChange": -8.56 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 4.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 4.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 0.3, "movePercentile30d": 61.9, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 32.1, "classificationPercentile": 61.9, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.28, "movePercentile30d": 90.5, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 60.7, "classificationPercentile": 90.5, "label": "large", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "9M", "targetExpiry": 1812817740702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.23, "previous": 55.3, "change": -0.07, "percentChange": -0.13 }, "rr25": { "current": 0.06, "previous": 0.35, "change": -0.29, "percentChange": -82.86 }, "bf25": { "current": 2.66, "previous": 2.87, "change": -0.21, "percentChange": -7.32 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.07, "movePercentile30d": 23.8, "movePercentileFullHistory": 28.0, "currentLevelPercentileFullHistory": 10.7, "classificationPercentile": 28.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": 61.9, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 61.9, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 90.5, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 90.5, "label": "large", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "1Y", "targetExpiry": 1820766540702, "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": "13SEP26", "expiry": 1789286400000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2532.66, "previous": 2567.49, "change": -34.83, "percentChange": -1.36 }, "atmIv": { "current": 24.61, "previous": 39.71, "change": -15.1, "percentChange": -38.03 }, "rr25": { "current": 0.59, "previous": 1.48, "change": -0.89, "percentChange": -60.14 }, "bf25": { "current": 0.49, "previous": 1.84, "change": -1.35, "percentChange": -73.37 }, "svi": { "a": { 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defensive as one-week skew swings toward puts", "standfirst": "Ether one-week RR25 dropped 3.76 volatility points to -1.16%, a notable shift toward relative put-side volatility at the 16:29 UTC cutoff. Ether’s 24-hour spot-index return was -1.26%, while one-week ATM IV of 48.48% sat 2.91 points above seven-day realised volatility, according to DerivaSys data.", "days": [ { "reportDate": "2026-09-12", "headline": "Ether skew makes a defensive turn", "summary": "The one-week skew change was notable, while no qualifying news catalyst was retained.", "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 defensive as one-week skew swings toward puts", "standfirst": "Ether one-week RR25 dropped 3.76 volatility points to -1.16%, a notable shift toward relative put-side volatility at the 16:29 UTC cutoff. Ether’s 24-hour spot-index return was -1.26%, while one-week ATM IV of 48.48% sat 2.91 points above seven-day realised volatility, according to DerivaSys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned ETH volatility context. The crypto-minus-SPX realised-volatility spread was 25.34 points, at the 7.4 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 25.34 points, at the 7.4 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.25, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 34.40999984741211, "ivRatio": 3.172348454289018, "cryptoRealisedVol20d": 34.32767262539102, "spxRealisedVol20": 8.992020679301438, "rvSpread": 25.335651946089577, "rvRatio": 3.8175704716081484, "rvSpreadPercentile": 7.423580786026201, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 24.017467248908297, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": -0.003322401294194273, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2572700402440163, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252)." } }