{ "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:28+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378445, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368427, "timestamp": "2026-09-14T21:01:00+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": 85, "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": "2026-09-15T21:01:00+00:00", "spotWindowStart": "2026-09-14T21:01:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -6.17, "rv24hPercent": 61.11, "rv7dPercent": 50.71, "rv30dPercent": 55.99, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 55.04, "oneWeekIvMinus7dRvPoints": 4.33, "oneWeekIvMinus24hRvPoints": -6.07, "oneWeekIvMinus30dRvPoints": -0.95 }, "fitQuality": { "currentObjective": 0.16531374, "previousObjective": 0.09716552, "currentLiveError": 111.90326042, "previousLiveError": 68.32186872 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "19SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options turn defensive as front-end skew swings toward puts", "executiveSummary": "Ether\u2019s defining options move was a sharp front-end shift toward relative put-side volatility. 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relationship.", "event_cluster_id": "market-event-875bc504fd7a" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD", "ATM IV 1W: down 2.08 points to 55.04%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD", "ATM IV 1W: down 2.08 points to 55.04%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD", "ATM IV 1W: down 2.08 points to 55.04%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD", "ATM IV 1W: down 2.08 points to 55.04%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 4.48 volatility points toward puts to -1.59%, leaving puts richer than calls; this was a large move at the 93rd percentile among 28 comparable historical observations. At the cutoff, realised volatility measured 61.11% over 24 hours, 50.71% over seven days and 55.99% over 30 days. Front-end ATM IV averaged 53.55%, -1.22 points from the prior snapshot, while the long end averaged 54.83%, +0.05 points. 1W ATM IV fell 2.08 volatility points to 55.04%. 2W BF25 rose 0.81 volatility points to 3.91%. The nearest eligible forward, 18SEP26, fell $164.90 (-6.42%) to $2,403.80. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 21:01 UTC cutoff, 1W ATM IV was 55.04%, 4.33 volatility points above seven-day realised volatility of 50.71%; 24-hour realised volatility was 61.11% and 30-day realised volatility was 55.99%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.22 volatility points to 53.55% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.05 volatility points to 54.83% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.12 volatility points to -0.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.43 volatility points to 3.65% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.08 volatility points at 1W, to 55.04%.", "tenor": "1W", "value": -2.08 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.64, "rr25Change": -2.12, "bf25Change": 0.43, "largestAtmMove": { "tenor": "1W", "current": 55.04, "previous": 57.12, "change": -2.08, "historicalSignificance": { "absoluteMove": 2.08, "movePercentile30d": 37.5, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 83.9, "classificationPercentile": 39.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } }, "frontEndAverageAtm": { "current": 53.55, "previous": 54.77, "change": -1.22 }, "longEndAverageAtm": { "current": 54.83, "previous": 54.78, "change": 0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.59, "previous": 2.89, "change": -4.48, "historicalSignificance": { "absoluteMove": 4.48, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 3.91, "previous": 3.1, "change": 0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 91.7, "movePercentileFullHistory": 89.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 91.7, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 2403.8, "previous": 2568.7, "change": -164.9, "percentChange": -6.42 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.04, "previous": 57.12, "change": -2.08, "percentChange": -3.64 }, "rr25": { "current": -1.59, "previous": 2.89, "change": -4.48, "percentChange": -155.02 }, "bf25": { "current": 3.83, "previous": 3.59, "change": 0.24, "percentChange": 6.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": 37.5, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 83.9, "classificationPercentile": 39.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 4.48, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": 41.7, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 41.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "2W", "targetExpiry": 1790715660454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.02, "previous": 54.31, "change": -1.29, "percentChange": -2.38 }, "rr25": { "current": -1.73, "previous": 1.64, "change": -3.37, "percentChange": -205.49 }, "bf25": { "current": 3.91, "previous": 3.1, "change": 0.81, "percentChange": 26.13 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.29, "movePercentile30d": 37.5, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 80.6, "classificationPercentile": 46.4, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 3.37, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 12.9, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.81, "movePercentile30d": 91.7, "movePercentileFullHistory": 89.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 91.7, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "1M", "targetExpiry": 1792098060454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.6, "previous": 52.88, "change": -0.28, "percentChange": -0.53 }, "rr25": { "current": -0.98, "previous": 1.05, "change": -2.03, "percentChange": -193.33 }, "bf25": { "current": 3.84, "previous": 3.09, "change": 0.75, "percentChange": 24.27 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": 16.7, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 77.4, "classificationPercentile": 21.4, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 2.03, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 32.3, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.75, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 96.8, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "3M", "targetExpiry": 1797368460454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.92, "previous": 53.51, "change": 0.41, "percentChange": 0.77 }, "rr25": { "current": -0.2, "previous": 0.21, "change": -0.41, "percentChange": -195.24 }, "bf25": { "current": 3.52, "previous": 3.25, "change": 0.27, "percentChange": 8.31 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.41, "movePercentile30d": 50.0, "movePercentileFullHistory": 53.6, "currentLevelPercentileFullHistory": 61.3, "classificationPercentile": 53.6, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 41.7, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 25.8, "classificationPercentile": 42.9, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.27, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.4, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "6M", "targetExpiry": 1805230860454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.83, "previous": 54.78, "change": 0.05, "percentChange": 0.09 }, "rr25": { "current": 0.17, "previous": 0.46, "change": -0.29, "percentChange": -63.04 }, "bf25": { "current": 3.13, "previous": 3.06, "change": 0.07, "percentChange": 2.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 25.0, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 58.1, "classificationPercentile": 25.0, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": 58.3, "movePercentileFullHistory": 53.6, "currentLevelPercentileFullHistory": 51.6, "classificationPercentile": 58.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 41.7, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 87.1, "classificationPercentile": 42.9, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "9M", "targetExpiry": 1813093260454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.54, "previous": 55.63, "change": -0.09, "percentChange": -0.16 }, "rr25": { "current": 0.39, "previous": 0.77, "change": -0.38, "percentChange": -49.35 }, "bf25": { "current": 2.83, "previous": 2.79, "change": 0.04, "percentChange": 1.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.09, "movePercentile30d": 25.0, "movePercentileFullHistory": 28.6, "currentLevelPercentileFullHistory": 41.9, "classificationPercentile": 28.6, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": 75.0, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 45.2, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 16.7, "movePercentileFullHistory": 17.9, "currentLevelPercentileFullHistory": 74.2, "classificationPercentile": 17.9, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "1Y", "targetExpiry": 1821042060454, "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": "16SEP26", "expiry": 1789545600000, "tauYears": 0.00125382, "daysToExpiry": 0.458, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2403.24, "previous": 2567.62, "change": -164.38, "percentChange": -6.4 }, "atmIv": { "current": 49.54, "previous": 60.18, "change": -10.64, "percentChange": -17.68 }, "rr25": { "current": -2.51, "previous": 4.89, "change": -7.4, "percentChange": -151.33 }, "bf25": { "current": 2.35, "previous": 3.99, "change": -1.64, "percentChange": -41.1 }, "svi": { "a": { "current": -0.0822, "previous": -0.0802, "change": -0.002, "percentChange": -2.48 }, "b": { "current": 0.1282, "previous": 0.1494, "change": -0.0212, "percentChange": -14.18 }, "rho": { "current": -0.0587, "previous": 0.1054, "change": -0.164, "percentChange": -155.69 }, "m": { "current": -0.0314, "previous": 0.0431, "change": -0.0745, "percentChange": -172.85 }, "sigma": { "current": 0.6446, "previous": 0.5494, "change": 0.0952, "percentChange": 17.32 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 273.1499, 260.6781, 248.1589, 235.5991, 223.0066, 210.3908, 197.7629, 185.1361, 172.5269, 159.9559, 147.4492, 135.0411, 122.7778, 110.7232, 98.969, 87.6501, 76.9715, 67.2495, 58.9658, 52.8041, 49.5589, 49.7942, 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0.1284, 0.1178, 0.1073, 0.097, 0.087, 0.0773, 0.0679, 0.0587, 0.05, 0.0415, 0.0333, 0.0255, 0.0179, 0.0107, 0.004, -0.0026, -0.0089, -0.0148, -0.0205, -0.0258, -0.0309, -0.0357, -0.0404, -0.0447, -0.0488, -0.0527, -0.0564, -0.06 ] }, { "label": "25JUN27", "values": [ 0.183, 0.1702, 0.1574, 0.1448, 0.1323, 0.1199, 0.1077, 0.0957, 0.0838, 0.0721, 0.0606, 0.0493, 0.0382, 0.0273, 0.0166, 0.0061, -0.0042, -0.0141, -0.024, -0.0336, -0.0429, -0.0521, -0.061, -0.0698, -0.0783, -0.0866, -0.0947, -0.1026, -0.1103, -0.1179, -0.1251, -0.1323, -0.1394, -0.1462, -0.1528, -0.1594, -0.1658, -0.1721, -0.1782, -0.1842, -0.1901 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-15T21:01:00+00:00", "window": { "startAt": "2026-09-14T21:01:00+00:00", "endAt": "2026-09-15T21:01:00+00:00", "endExclusive": true }, "headline": "Ether options turn defensive as front-end skew swings toward puts", "standfirst": "Ether one-week RR25 fell 4.48 volatility points to -1.59%, shifting the front-end smile from call-rich to put-rich relative volatility at the cutoff. Ether one-week ATM IV simultaneously fell 2.08 volatility points to 55.04%, so the move was a skew repricing rather than a broad rise in implied volatility. Ether\u2019s 24-hour spot-index return was -6.17%, while Ether one-week ATM IV remained 4.33 volatility points above seven-day realised volatility. Derivasys data also show richer two-week convexity.", "days": [ { "reportDate": "2026-09-15", "headline": "Ether skew shifts toward puts", "summary": "Ether front-end relative put-side volatility increased while one-week ATM IV eased over the window.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [ { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options turn defensive as front-end skew swings toward puts", "standfirst": "Ether one-week RR25 fell 4.48 volatility points to -1.59%, shifting the front-end smile from call-rich to put-rich relative volatility at the cutoff. Ether one-week ATM IV simultaneously fell 2.08 volatility points to 55.04%, so the move was a skew repricing rather than a broad rise in implied volatility. Ether\u2019s 24-hour spot-index return was -6.17%, while Ether one-week ATM IV remained 4.33 volatility points above seven-day realised volatility. Derivasys data also show richer two-week convexity.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.5 percentile across 231 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.5 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.73, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 35.529999237060544, "ivRatio": 3.0656975384336276, "cryptoRealisedVol20d": 41.206775403548086, "spxRealisedVol20": 9.055854653060562, "rvSpread": 32.15092075048752, "rvRatio": 4.550291163255545, "rvSpreadPercentile": 16.450216450216452, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 37.66233766233766, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.1235934147955526, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2655993893857406, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }