{ "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:44+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366529, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356449, "timestamp": "2026-09-13T16:30:00+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": "2026-09-14T16:30:00+00:00", "spotWindowStart": "2026-09-13T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.77, "rv24hPercent": 44.83, "rv7dPercent": 46.27, "rv30dPercent": 54.62, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.06, "oneWeekIvMinus7dRvPoints": 6.79, "oneWeekIvMinus24hRvPoints": 8.23, "oneWeekIvMinus30dRvPoints": -1.56 }, "fitQuality": { "currentObjective": 0.04166026, "previousObjective": 0.12624589, "currentLiveError": 19.84680091, "previousLiveError": 59.26380695 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s near-expiry smile rotates while fixed tenors hold steady", "executiveSummary": "Over the 24-hour window ending at 16:30 UTC, Ether’s 17SEP26 options smile rotation moved higher by 11.832 volatility points, according to Derivasys data. Ether’s one-week RR25, a measure of call-versus-put implied-volatility skew, rose 1.78 volatility points to 0.30%, leaving calls richer than puts. Ether’s one-week ATM implied volatility rose 0.64 volatility points to 53.06%. Ether’s spot-index return was +0.77% over the matching 24-hour window. At the cutoff, Ether’s one-week ATM implied volatility of 53.06% was 6.79 volatility points above Ether’s seven-day realised volatility of 46.27%.", "evidenceIds": [ "rr25", "realised-vol", "largest-standard-tenor" ], "newsSummary": "News check: no qualifying Ether or broader market event was retained.", "marketContextSummary": "No selected news item can be linked to the observed near-expiry smile rotation.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying news evidence was retained, leaving the relationship between events and the surface change unclear.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.06%, 6.79 volatility points above seven-day realised volatility of 46.27%; 24-hour realised volatility was 44.83% and 30-day realised volatility was 54.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.43 volatility points to 52.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.51% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.98 volatility points to 0.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 3.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 1W, to 53.06%.", "tenor": "1W", "value": 0.64 } ] }, "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": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "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": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+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": 3, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "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 1.78 volatility points toward calls to 0.30%, leaving calls richer than puts; this was a routine move at the 63rd percentile among 27 comparable historical observations. At the cutoff, realised volatility measured 44.83% over 24 hours, 46.27% over seven days and 54.62% over 30 days. Front-end ATM IV averaged 52.08%, +0.43 points from the prior snapshot, while the long end averaged 54.51%, +0.24 points. 1W ATM IV rose 0.64 volatility points to 53.06%. 1W BF25 fell 0.30 volatility points to 2.88%. The nearest eligible forward, 17SEP26, rose $19.36 (+0.77%) to $2,522.39. 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 53.06%, 6.79 volatility points above seven-day realised volatility of 46.27%; 24-hour realised volatility was 44.83% and 30-day realised volatility was 54.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.43 volatility points to 52.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.51% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.98 volatility points to 0.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 3.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 1W, to 53.06%.", "tenor": "1W", "value": 0.64 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.31, "rr25Change": 0.98, "bf25Change": -0.08, "largestAtmMove": { "tenor": "1W", "current": 53.06, "previous": 52.42, "change": 0.64, "historicalSignificance": { "absoluteMove": 0.64, "movePercentile30d": 8.7, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 11.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } }, "frontEndAverageAtm": { "current": 52.08, "previous": 51.65, "change": 0.43 }, "longEndAverageAtm": { "current": 54.51, "previous": 54.27, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.3, "previous": -1.48, "change": 1.78, "historicalSignificance": { "absoluteMove": 1.78, "movePercentile30d": 60.9, "movePercentileFullHistory": 63.0, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 63.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.88, "previous": 3.18, "change": -0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": 56.5, "movePercentileFullHistory": 51.9, "currentLevelPercentileFullHistory": 53.3, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } }, "nearestEligibleForwardMove": { "label": "17SEP26", "daysToExpiry": 2.646, "current": 2522.39, "previous": 2503.03, "change": 19.36, "percentChange": 0.77 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790008200139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.06, "previous": 52.42, "change": 0.64, "percentChange": 1.22 }, "rr25": { "current": 0.3, "previous": -1.48, "change": 1.78, "percentChange": 120.27 }, "bf25": { "current": 2.88, "previous": 3.18, "change": -0.3, "percentChange": -9.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": 8.7, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 11.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.78, "movePercentile30d": 60.9, "movePercentileFullHistory": 63.0, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 63.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 56.5, "movePercentileFullHistory": 51.9, "currentLevelPercentileFullHistory": 53.3, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "2W", "targetExpiry": 1790613000139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.86, "previous": 51.43, "change": 0.43, "percentChange": 0.84 }, "rr25": { "current": -0.23, "previous": -1.4, "change": 1.17, "percentChange": 83.57 }, "bf25": { "current": 3.13, "previous": 3.0, "change": 0.13, "percentChange": 4.33 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": 17.4, "movePercentileFullHistory": 22.2, "currentLevelPercentileFullHistory": 76.7, "classificationPercentile": 22.2, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.17, "movePercentile30d": 60.9, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 26.1, "movePercentileFullHistory": 25.9, "currentLevelPercentileFullHistory": 73.3, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "1M", "targetExpiry": 1791995400139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.32, "previous": 51.11, "change": 0.21, "percentChange": 0.41 }, "rr25": { "current": 0.39, "previous": -0.63, "change": 1.02, "percentChange": 161.9 }, "bf25": { "current": 3.31, "previous": 3.29, "change": 0.02, "percentChange": 0.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 8.7, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 46.7, "classificationPercentile": 14.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 73.9, "movePercentileFullHistory": 77.8, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 77.8, "label": "notable", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.4, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 7.4, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "3M", "targetExpiry": 1797265800139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.0, "previous": 52.96, "change": 0.04, "percentChange": 0.08 }, "rr25": { "current": 0.14, "previous": -0.41, "change": 0.55, "percentChange": 134.15 }, "bf25": { "current": 3.18, "previous": 3.31, "change": -0.13, "percentChange": -3.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 8.7, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 14.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 0.55, "movePercentile30d": 69.6, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 69.6, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 56.5, "movePercentileFullHistory": 55.6, "currentLevelPercentileFullHistory": 70.0, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "6M", "targetExpiry": 1805128200139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.51, "previous": 54.27, "change": 0.24, "percentChange": 0.44 }, "rr25": { "current": 0.23, "previous": -0.15, "change": 0.38, "percentChange": 253.33 }, "bf25": { "current": 2.97, "previous": 3.07, "change": -0.1, "percentChange": -3.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 47.8, "movePercentileFullHistory": 48.1, "currentLevelPercentileFullHistory": 43.3, "classificationPercentile": 48.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": 73.9, "movePercentileFullHistory": 70.4, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 73.9, "label": "notable", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 56.5, "movePercentileFullHistory": 55.6, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "9M", "targetExpiry": 1812990600139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.38, "previous": 55.27, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 0.31, "previous": 0.02, "change": 0.29, "percentChange": 1450.0 }, "bf25": { "current": 2.63, "previous": 2.6, "change": 0.03, "percentChange": 1.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": 34.8, "movePercentileFullHistory": 37.0, "currentLevelPercentileFullHistory": 26.7, "classificationPercentile": 37.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": 60.9, "movePercentileFullHistory": 59.3, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 60.9, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 17.4, "movePercentileFullHistory": 18.5, "currentLevelPercentileFullHistory": 13.3, "classificationPercentile": 18.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "1Y", "targetExpiry": 1820939400139, "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": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2521.32, "previous": 2502.32, "change": 19.0, "percentChange": 0.76 }, "atmIv": { "current": 41.82, "previous": 43.47, "change": -1.65, "percentChange": -3.8 }, "rr25": { "current": 3.98, "previous": -1.08, "change": 5.06, "percentChange": 468.52 }, "bf25": { "current": 1.26, "previous": 2.28, "change": -1.02, "percentChange": -44.74 }, "svi": { "a": { "current": -0.071, "previous": -0.1054, "change": 0.0344, 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0.2904, 0.2986, 0.3062, 0.3132, 0.3198, 0.3257, 0.3312, 0.336, 0.3403 ] }, { "label": "25JUN27", "values": [ -0.024, -0.0254, -0.0264, -0.0269, -0.027, -0.0265, -0.0256, -0.0242, -0.0224, -0.0202, -0.0175, -0.0145, -0.0109, -0.0071, -0.0028, 0.0019, 0.0068, 0.0121, 0.0177, 0.0236, 0.0297, 0.0361, 0.0428, 0.0496, 0.0567, 0.0639, 0.0712, 0.0787, 0.0863, 0.094, 0.1018, 0.1096, 0.1175, 0.1253, 0.1333, 0.1411, 0.149, 0.1568, 0.1647, 0.1723, 0.18 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options rotate toward calls despite modest volatility changes", "standfirst": "Ether’s near-expiry option smile underwent its largest measured rotation at the 17SEP26 expiry, while fixed-tenor volatility changes remained modest. One-week RR25 rose 1.78 volatility points to 0.30%, placing call-side volatility above put-side volatility; one-week ATM IV added 0.64 points to 53.06%.", "days": [ { "reportDate": "2026-09-14", "headline": "Ether skew rotates toward calls", "summary": "Near-expiry Ether options shifted toward relatively richer call-side volatility despite restrained fixed-tenor changes.", "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 rotate toward calls despite modest volatility changes", "standfirst": "Ether’s near-expiry option smile underwent its largest measured rotation at the 17SEP26 expiry, while fixed-tenor volatility changes remained modest. One-week RR25 rose 1.78 volatility points to 0.30%, placing call-side volatility above put-side volatility; one-week ATM IV added 0.64 points to 53.06%.", "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-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }