{ "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:42+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356449, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346348, "timestamp": "2026-09-12T16:30:00+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": "2026-09-13T16:30:00+00:00", "spotWindowStart": "2026-09-12T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.17, "rv24hPercent": 28.2, "rv7dPercent": 45.19, "rv30dPercent": 54.07, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 52.42, "oneWeekIvMinus7dRvPoints": 7.23, "oneWeekIvMinus24hRvPoints": 24.22, "oneWeekIvMinus30dRvPoints": -1.65 }, "fitQuality": { "currentObjective": 0.12624589, "previousObjective": 0.50551916, "currentLiveError": 59.26380695, "previousLiveError": 275.18068975 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether near-term options reprice higher with put-side skew", "executiveSummary": "Ether one-week ATM IV advanced to 52.42%, led by a 3.94-point rise in the one-week tenor. The front-end average gained 2.37 points while the long end was broadly unchanged, and RR25 moved toward puts.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "rr25" ], "newsSummary": "No qualifying Ether or broader-market news context was retained.", "marketContextSummary": "No retained news event provides a supported direct link to Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.42%, 7.23 volatility points above seven-day realised volatility of 45.19%; 24-hour realised volatility was 28.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.37 volatility points to 51.65% 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 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.29 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.94 volatility points at 1W, to 52.42%.", "tenor": "1W", "value": 3.94 } ] }, "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": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "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 ATM IV rose 3.94 volatility points to 52.42%, a notable move at the 73rd percentile among 26 comparable historical observations. At the cutoff, realised volatility measured 28.20% over 24 hours, 45.19% over seven days and 54.07% over 30 days. Front-end ATM IV averaged 51.65%, +2.37 points from the prior snapshot, while the long end averaged 54.27%, -0.01 points. 2W RR25 moved 0.45 volatility points toward puts to -1.40%, leaving puts richer than calls. 2W BF25 rose 0.15 volatility points to 3.00%. The nearest eligible forward, 16SEP26, fell $31.14 (-1.23%) to $2,502.77. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.42%, 7.23 volatility points above seven-day realised volatility of 45.19%; 24-hour realised volatility was 28.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.37 volatility points to 51.65% 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 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.29 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.94 volatility points at 1W, to 52.42%.", "tenor": "1W", "value": 3.94 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.46, "rr25Change": -0.29, "bf25Change": 0.04, "largestAtmMove": { "tenor": "1W", "current": 52.42, "previous": 48.48, "change": 3.94, "historicalSignificance": { "absoluteMove": 3.94, "movePercentile30d": 68.2, "movePercentileFullHistory": 73.1, "currentLevelPercentileFullHistory": 82.8, "classificationPercentile": 73.1, "label": "notable", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } }, "frontEndAverageAtm": { "current": 51.65, "previous": 49.29, "change": 2.37 }, "longEndAverageAtm": { "current": 54.27, "previous": 54.28, "change": -0.01 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -1.4, "previous": -0.95, "change": -0.45, "historicalSignificance": { "absoluteMove": 0.45, "movePercentile30d": 36.4, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 3.0, "previous": 2.85, "change": 0.15, "historicalSignificance": { "absoluteMove": 0.15, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.9, "currentLevelPercentileFullHistory": 72.4, "classificationPercentile": 27.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } }, "nearestEligibleForwardMove": { "label": "16SEP26", "daysToExpiry": 2.646, "current": 2502.77, "previous": 2533.91, "change": -31.14, "percentChange": -1.23 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.42, "previous": 48.48, "change": 3.94, "percentChange": 8.13 }, "rr25": { "current": -1.48, "previous": -1.17, "change": -0.31, "percentChange": -26.5 }, "bf25": { "current": 3.18, "previous": 3.15, "change": 0.03, "percentChange": 0.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.94, "movePercentile30d": 68.2, "movePercentileFullHistory": 73.1, "currentLevelPercentileFullHistory": 82.8, "classificationPercentile": 73.1, "label": "notable", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 9.1, "movePercentileFullHistory": 11.5, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 11.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 4.5, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 75.9, "classificationPercentile": 7.7, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "2W", "targetExpiry": 1790526600205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.43, "previous": 49.41, "change": 2.02, "percentChange": 4.09 }, "rr25": { "current": -1.4, "previous": -0.95, "change": -0.45, "percentChange": -47.37 }, "bf25": { "current": 3.0, "previous": 2.85, "change": 0.15, "percentChange": 5.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.02, "movePercentile30d": 63.6, "movePercentileFullHistory": 69.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 69.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.45, "movePercentile30d": 36.4, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.9, "currentLevelPercentileFullHistory": 72.4, "classificationPercentile": 27.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "1M", "targetExpiry": 1791909000205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.11, "previous": 49.97, "change": 1.14, "percentChange": 2.28 }, "rr25": { "current": -0.63, "previous": -0.3, "change": -0.33, "percentChange": -110.0 }, "bf25": { "current": 3.29, "previous": 3.36, "change": -0.07, "percentChange": -2.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.14, "movePercentile30d": 59.1, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 44.8, "classificationPercentile": 61.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": 36.4, "movePercentileFullHistory": 38.5, "currentLevelPercentileFullHistory": 41.4, "classificationPercentile": 38.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 27.3, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 30.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "3M", "targetExpiry": 1797179400205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 52.75, "change": 0.21, "percentChange": 0.4 }, "rr25": { "current": -0.41, "previous": -0.07, "change": -0.34, "percentChange": -485.71 }, "bf25": { "current": 3.31, "previous": 3.31, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 31.8, "movePercentileFullHistory": 34.6, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 34.6, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": 36.4, "movePercentileFullHistory": 38.5, "currentLevelPercentileFullHistory": 24.1, "classificationPercentile": 38.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 89.7, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "6M", "targetExpiry": 1805041800205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.27, "previous": 54.28, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -0.15, "previous": -0.15, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 3.07, "previous": 2.99, "change": 0.08, "percentChange": 2.68 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 34.5, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 40.9, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "9M", "targetExpiry": 1812904200205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.27, "previous": 55.23, "change": 0.04, "percentChange": 0.07 }, "rr25": { "current": 0.02, "previous": 0.06, "change": -0.04, "percentChange": -66.67 }, "bf25": { "current": 2.6, "previous": 2.66, "change": -0.06, "percentChange": -2.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 13.6, "movePercentileFullHistory": 19.2, "currentLevelPercentileFullHistory": 13.8, "classificationPercentile": 19.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 18.2, "movePercentileFullHistory": 19.2, "currentLevelPercentileFullHistory": 27.6, "classificationPercentile": 19.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 36.4, "movePercentileFullHistory": 34.6, "currentLevelPercentileFullHistory": 6.9, "classificationPercentile": 36.4, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "1Y", "targetExpiry": 1820853000205, "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": "14SEP26", "expiry": 1789372800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2501.84, "previous": 2533.0, "change": -31.16, "percentChange": -1.23 }, "atmIv": { "current": 36.48, "previous": 32.36, "change": 4.12, "percentChange": 12.73 }, "rr25": { "current": -0.67, "previous": 1.02, "change": -1.69, "percentChange": -165.69 }, "bf25": { "current": 1.43, "previous": 1.68, "change": -0.25, "percentChange": -14.88 }, "svi": { "a": { 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"values": [ 1.1286, 1.0875, 1.0466, 1.006, 0.9655, 0.9252, 0.8852, 0.8456, 0.8062, 0.7672, 0.7286, 0.6903, 0.6526, 0.6155, 0.5787, 0.5425, 0.5071, 0.4722, 0.4381, 0.4047, 0.3721, 0.3403, 0.3094, 0.2794, 0.2503, 0.2222, 0.1951, 0.1689, 0.1438, 0.1199, 0.0969, 0.0749, 0.0541, 0.0343, 0.0156, -0.002, -0.0186, -0.0342, -0.0487, -0.0622, -0.0748 ] }, { "label": "25DEC26", "values": [ 0.2605, 0.2509, 0.242, 0.2336, 0.2259, 0.2187, 0.212, 0.2057, 0.2, 0.1946, 0.1894, 0.1847, 0.1802, 0.1759, 0.1718, 0.1678, 0.1639, 0.1601, 0.1563, 0.1526, 0.1488, 0.1449, 0.1411, 0.1372, 0.133, 0.129, 0.1247, 0.1204, 0.1159, 0.1114, 0.1067, 0.1021, 0.0973, 0.0924, 0.0876, 0.0827, 0.0778, 0.0729, 0.068, 0.0631, 0.0583 ] }, { "label": "26MAR27", "values": [ 0.0573, 0.0501, 0.0433, 0.0366, 0.0304, 0.0245, 0.0189, 0.0137, 0.0087, 0.0041, -0.0002, -0.0042, -0.0078, -0.011, -0.014, -0.0166, -0.0189, -0.0209, -0.0226, -0.0239, -0.0249, -0.0257, -0.0262, -0.0263, -0.0262, -0.0259, -0.0252, -0.0243, -0.0232, -0.0218, -0.0202, -0.0184, -0.0163, -0.0142, -0.0117, -0.0091, -0.0063, -0.0033, -0.0002, 0.0031, 0.0065 ] }, { "label": "25JUN27", "values": [ 0.0278, 0.0281, 0.0287, 0.0295, 0.0305, 0.0316, 0.0328, 0.034, 0.0353, 0.0367, 0.038, 0.0393, 0.0405, 0.0417, 0.0428, 0.0437, 0.0446, 0.0453, 0.0459, 0.0464, 0.0468, 0.0469, 0.0468, 0.0467, 0.0462, 0.0456, 0.0449, 0.0441, 0.043, 0.0417, 0.0403, 0.0387, 0.037, 0.0351, 0.033, 0.0309, 0.0286, 0.0261, 0.0234, 0.0208, 0.018 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options turn more defensive as near-term volatility climbs", "standfirst": "Ether one-week ATM IV rose 3.94 volatility points to 52.42% during the observation window, while the 24-hour spot-index return was -1.17%. At the cutoff, one-week ATM IV sat 7.23 points above seven-day realised volatility, signalling a higher implied reading than the recent realised measure. DerivaSys data also show downside relative volatility becoming richer: Ether two-week RR25 fell 0.45 points to -1.40%, meaning puts were richer than calls on that measure.", "days": [ { "reportDate": "2026-09-13", "headline": "Ether short-dated volatility turns higher", "summary": "One-week implied volatility rose as relative put-side volatility strengthened across the front end.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options turn more defensive as near-term volatility climbs", "standfirst": "Ether one-week ATM IV rose 3.94 volatility points to 52.42% during the observation window, while the 24-hour spot-index return was -1.17%. At the cutoff, one-week ATM IV sat 7.23 points above seven-day realised volatility, signalling a higher implied reading than the recent realised measure. DerivaSys data also show downside relative volatility becoming richer: Ether two-week RR25 fell 0.45 points to -1.40%, meaning puts were richer than calls on that measure.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. 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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }