{ "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:30:48+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386630, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376589, "timestamp": "2026-09-15T16:30:00+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": 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": "2026-09-16T16:30:00+00:00", "spotWindowStart": "2026-09-15T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.07, "rv24hPercent": 59.58, "rv7dPercent": 50.76, "rv30dPercent": 56.27, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.07, "oneWeekIvMinus7dRvPoints": 2.31, "oneWeekIvMinus24hRvPoints": -6.51, "oneWeekIvMinus30dRvPoints": -3.2 }, "fitQuality": { "currentObjective": 0.11950123, "previousObjective": 0.22362243, "currentLiveError": 90.4285356, "previousLiveError": 253.99791994 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "20SEP26" ], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether short-dated implied volatility retreats but retains a realised premium", "executiveSummary": "Ether one-week ATM IV fell 6.05 volatility points to 53.07% at the cutoff, while remaining 2.31 volatility points above seven-day realised volatility.", "evidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsSummary": "Decrypt reported combined outflows from Bitcoin, Ethereum and XRP ETFs of roughly $593 million. NPR reported expectations for a Federal Reserve interest-rate increase.", "marketContextSummary": "Both retained reports are relevant market context, but neither supplies a measured Ether-options reaction that would support a causal account of the front-end compression.", "marketContext": [ { "title": "News Check", "explanation": "The ETF report names Ethereum and the Federal Reserve report is broad macro context, but no measured ETH-specific options response was available. The connection to the one-week ATM IV decline remains unproven.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.07%, 2.31 volatility points above seven-day realised volatility of 50.76%; 24-hour realised volatility was 59.58% and 30-day realised volatility was 56.27%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.99 volatility points to 52.16% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 54.87% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.40 volatility points to -0.23% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.25 volatility points to 3.48% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -6.05 volatility points at 1W, to 53.07%.", "tenor": "1W", "value": -6.05 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "ETH", "GLOBAL", "MACRO" ], "completedScopes": [ "ETH", "GLOBAL", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": null, "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-16T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-15T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMTQ6NDA6MjcuMDExMTcwKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjVkMjVhNjEyLTk0MmEtNDNmNS1iMTNlLWY4NjhmNDc0ZGY5MSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "7d6d8e05d160444264c58ff690bd1955e1d042bd827295673a0c46ca7c81db7b" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMTQ6NDA6MjcuMDExMTcwKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjVkMjVhNjEyLTk0MmEtNDNmNS1iMTNlLWY4NjhmNDc0ZGY5MSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMTM6MDk6MjQuNjMwODMyKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjNmZjU3OWNhLTE5MTYtNGQyMy1iMTA2LWRlNzBkNmQzMjljMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "058b534563f18ebafad6012846a9e414c4763934ca966132e5bf4a5fad941669" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMTM6MDk6MjQuNjMwODMyKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjNmZjU3OWNhLTE5MTYtNGQyMy1iMTA2LWRlNzBkNmQzMjljMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMTE6MjE6MDUuMjIwNDMzKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjNlZjEwYWMxLTE2M2EtNDNkMi1hYmM5LTY0OTFkNTYwMDY1NiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "8017181194fa095cbde46656540983f5b1e9e2d8aebad8460d06d16b43ace798" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMTE6MjE6MDUuMjIwNDMzKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjNlZjEwYWMxLTE2M2EtNDNkMi1hYmM5LTY0OTFkNTYwMDY1NiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMDk6NDc6MzkuMTgxMDE3KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjM4NGM3MmJhLThhYTAtNDcxMi1iOGYzLWM0NTc2YTk2YWIxMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "b5ce46dcfce1a503d24694afa6ad74b51934a3ad1e4b29066e125b358a222e4f" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMDk6NDc6MzkuMTgxMDE3KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjM4NGM3MmJhLThhYTAtNDcxMi1iOGYzLWM0NTc2YTk2YWIxMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMDY6NTA6MDMuODk3OTUwKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImMwNjdkODgzLTBjYTUtNDg0YS05NmRmLTY3MTA4OTcwNDI0OCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "bc3cd258ff72cf5bb97201832a80b1e05ff5f5a201b2a210b12e346b6ed59104" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMDY6NTA6MDMuODk3OTUwKzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImMwNjdkODgzLTBjYTUtNDg0YS05NmRmLTY3MTA4OTcwNDI0OCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTZUMDI6MjQ6NDQuNjE5NDU2KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjVjZGZlZjIzLTFlNWMtNDk2OC1hNWZkLWYzNjE1N2JiOTRmMSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "98d4a4668f6b5af18974f8db20fc30230b05660d3420e34793da58df5c348f5e" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTZUMDI6MjQ6NDQuNjE5NDU2KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjVjZGZlZjIzLTFlNWMtNDk2OC1hNWZkLWYzNjE1N2JiOTRmMSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTVUMjI6MTg6NDguNTE4NjA1KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImJkY2E1Mjg2LTQ0ZjktNGQyNS05MWU2LWM5YWNiMjQ0ZDRhMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "1a54d01c6cd80743036ef2e5d0bdfc02e44f96e754d5f4827e6092d0f1338249" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTVUMjI6MTg6NDguNTE4NjA1KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImJkY2E1Mjg2LTQ0ZjktNGQyNS05MWU2LWM5YWNiMjQ0ZDRhMyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTVUMTk6MTY6NTguNjQyOTc1KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImY4ZDFkMmQ4LTlhYjUtNDQ3Yi04NTk5LTllYjZhNmVkNjIyZCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "a1203337d8fb3b3f6adf17339b8fe16754bd316c80d9210b8739ccad6fc573c7" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTVUMTk6MTY6NTguNjQyOTc1KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6ImY4ZDFkMmQ4LTlhYjUtNDQ3Yi04NTk5LTllYjZhNmVkNjIyZCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTVUMTc6MTQ6MDYuNzI0NjY5KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjAzYjU2MDE1LTIwMzUtNGNjMy1iZDk0LTg5MmVjMDI2ZTA4ZCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "71431977f3481b3fb93bc0227528eef0fc1ec8d849610317bd83d45c39c14a1c" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTVUMTc6MTQ6MDYuNzI0NjY5KzAwOjAwIiwiZmlsdGVycyI6IjM5ZWEwNDM5OGE1NmZhN2QiLCJpZCI6IjAzYjU2MDE1LTIwMzUtNGNjMy1iZDk0LTg5MmVjMDI2ZTA4ZCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 18, "hasMore": false, "nextCursor": null, "resultSha256": "5af53af88e59e179c8304b8434054f7ab9442baa1984a43ad44359184f53f3f4" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-16T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-15T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 5, "hasMore": false, "nextCursor": null, "resultSha256": "4a5c84dabece9c48cffcd1a65d62760ff72275fe0958b56c38380916ee51479c" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-16T16:30:00+00:00", "window": { "startAt": "2026-09-15T16:30:00+00:00", "endAt": "2026-09-16T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 11, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 468, "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": 2, "feedEntriesScanned": 7, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 2, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "8e855ad3-1bf3-48dd-b480-8e989019ee71", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "1e9ab3e2-097c-468c-a822-1483053ff9e1", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "37376a43-1778-4f17-8a6a-f0ff053b2120", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "531c70fe-990c-470d-b549-c51d295e1f57", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "1147b4b3-0ded-4a16-bf22-440b9e0f30fd", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "Decrypt's ETF report names ETH and NPR's Fed report is broad economic context. Both qualify as context but lack measured ETH-specific reaction evidence, so no causal link is asserted.", "eventsSelected": 2 }, "items": [ { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" } ], "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 6.05 volatility points to 53.07%, a notable move at the 86th percentile among 29 comparable historical observations. At the cutoff, realised volatility measured 59.58% over 24 hours, 50.76% over seven days and 56.27% over 30 days. Front-end ATM IV averaged 52.16%, -3.99 points from the prior snapshot, while the long end averaged 54.87%, -0.28 points. 1W RR25 moved 0.73 volatility points toward calls to -0.56%, leaving puts richer than calls. 1W BF25 fell 0.81 volatility points to 3.32%. The nearest eligible forward, 19SEP26, fell $29.63 (-1.22%) to $2,394.89. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "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 53.07%, 2.31 volatility points above seven-day realised volatility of 50.76%; 24-hour realised volatility was 59.58% and 30-day realised volatility was 56.27%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.99 volatility points to 52.16% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 54.87% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.40 volatility points to -0.23% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.25 volatility points to 3.48% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -6.05 volatility points at 1W, to 53.07%.", "tenor": "1W", "value": -6.05 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.56, "rr25Change": 0.4, "bf25Change": -0.25, "largestAtmMove": { "tenor": "1W", "current": 53.07, "previous": 59.12, "change": -6.05, "historicalSignificance": { "absoluteMove": 6.05, "movePercentile30d": 84.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } }, "frontEndAverageAtm": { "current": 52.16, "previous": 56.14, "change": -3.99 }, "longEndAverageAtm": { "current": 54.87, "previous": 55.15, "change": -0.28 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.56, "previous": -1.29, "change": 0.73, "historicalSignificance": { "absoluteMove": 0.73, "movePercentile30d": 32.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.32, "previous": 4.13, "change": -0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 96.0, "movePercentileFullHistory": 93.1, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 96.0, "label": "large", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } }, "nearestEligibleForwardMove": { "label": "19SEP26", "daysToExpiry": 2.646, "current": 2394.89, "previous": 2424.52, "change": -29.63, "percentChange": -1.22 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790181000813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.07, "previous": 59.12, "change": -6.05, "percentChange": -10.23 }, "rr25": { "current": -0.56, "previous": -1.29, "change": 0.73, "percentChange": 56.59 }, "bf25": { "current": 3.32, "previous": 4.13, "change": -0.81, "percentChange": -19.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.05, "movePercentile30d": 84.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 32.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.81, "movePercentile30d": 96.0, "movePercentileFullHistory": 93.1, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 96.0, "label": "large", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "2W", "targetExpiry": 1790785800813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.48, "previous": 55.38, "change": -3.9, "percentChange": -7.04 }, "rr25": { "current": -0.92, "previous": -0.77, "change": -0.15, "percentChange": -19.48 }, "bf25": { "current": 3.9, "previous": 3.93, "change": -0.03, "percentChange": -0.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.9, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 82.8, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 8.0, "movePercentileFullHistory": 17.2, "currentLevelPercentileFullHistory": 28.1, "classificationPercentile": 17.2, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 4.0, "movePercentileFullHistory": 6.9, "currentLevelPercentileFullHistory": 90.6, "classificationPercentile": 6.9, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "1M", "targetExpiry": 1792168200813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.92, "previous": 53.93, "change": -2.01, "percentChange": -3.73 }, "rr25": { "current": -0.4, "previous": -0.71, "change": 0.31, "percentChange": 43.66 }, "bf25": { "current": 3.66, "previous": 3.67, "change": -0.01, "percentChange": -0.27 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.01, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 82.8, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 28.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 40.6, "classificationPercentile": 31.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.4, "currentLevelPercentileFullHistory": 93.8, "classificationPercentile": 3.4, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "3M", "targetExpiry": 1797438600813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.66, "previous": 54.22, "change": -0.56, "percentChange": -1.03 }, "rr25": { "current": 0.2, "previous": -0.3, "change": 0.5, "percentChange": 166.67 }, "bf25": { "current": 3.3, "previous": 3.6, "change": -0.3, "percentChange": -8.33 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.56, "movePercentile30d": 60.0, "movePercentileFullHistory": 65.5, "currentLevelPercentileFullHistory": 59.4, "classificationPercentile": 65.5, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.5, "movePercentile30d": 52.0, "movePercentileFullHistory": 51.7, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 52.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 84.4, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "6M", "targetExpiry": 1805301000813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.87, "previous": 55.15, "change": -0.28, "percentChange": -0.51 }, "rr25": { "current": 0.54, "previous": -0.05, "change": 0.59, "percentChange": 1180.0 }, "bf25": { "current": 3.2, "previous": 3.29, "change": -0.09, "percentChange": -2.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": 56.0, "movePercentileFullHistory": 58.6, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 58.6, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.59, "movePercentile30d": 76.0, "movePercentileFullHistory": 72.4, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 76.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 56.0, "movePercentileFullHistory": 55.2, "currentLevelPercentileFullHistory": 96.9, "classificationPercentile": 56.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "9M", "targetExpiry": 1813163400813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.36, "previous": 55.74, "change": -0.38, "percentChange": -0.68 }, "rr25": { "current": 0.43, "previous": 0.33, "change": 0.1, "percentChange": 30.3 }, "bf25": { "current": 2.85, "previous": 2.89, "change": -0.04, "percentChange": -1.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.38, "movePercentile30d": 84.0, "movePercentileFullHistory": 79.3, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 84.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": 24.0, "movePercentileFullHistory": 24.1, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 24.1, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.7, "currentLevelPercentileFullHistory": 78.1, "classificationPercentile": 20.7, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "1Y", "targetExpiry": 1821112200813, "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": "17SEP26", "expiry": 1789632000000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2394.13, "previous": 2424.01, "change": -29.88, "percentChange": -1.23 }, "atmIv": { "current": 74.26, "previous": 68.12, "change": 6.14, "percentChange": 9.01 }, "rr25": { "current": -0.44, "previous": 1.3, "change": -1.74, "percentChange": -133.85 }, "bf25": { "current": 4.32, "previous": 5.5, "change": -1.18, "percentChange": -21.45 }, "svi": { "a": { "current": -0.0907, "previous": -0.0763, "change": -0.0144, "percentChange": -18.91 }, "b": { "current": 0.15, "previous": 0.1618, "change": -0.0118, "percentChange": -7.32 }, "rho": { "current": -0.0119, "previous": -0.0123, "change": 0.0004, "percentChange": 3.55 }, "m": { "current": -0.0057, "previous": -0.0084, "change": 0.0028, "percentChange": 32.65 }, "sigma": { "current": 0.6115, "previous": 0.4844, "change": 0.127, "percentChange": 26.22 } }, "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": [ 255.7985, 244.7086, 233.5947, 222.4676, 211.3407, 200.2296, 189.1534, 178.1355, 167.2046, 156.3966, 145.7568, 135.343, 125.2298, 115.5139, 106.3221, 97.8186, 90.2139, 83.7665, 78.7723, 75.5278, 74.267, 75.0903, 77.9286, 82.568, 88.7173, 96.0761, 104.3761, 113.397, 122.9657, 132.9487, 143.2439, 153.773, 164.4753, 175.3036, 186.2206, 197.1966, 208.2074, 219.2335, 230.2588, 241.2701, 252.2561 ], "previous": [ 187.0606, 179.452, 171.8241, 164.1876, 156.5554, 148.943, 141.3692, 133.8568, 126.4336, 119.1337, 111.9991, 105.0815, 98.4448, 92.1674, 86.3449, 81.0915, 76.5392, 72.8319, 70.1137, 68.5091, 68.1002, 68.9081, 70.8875, 73.9379, 77.9244, 82.7004, 88.1248, 94.0714, 100.4324, 107.1186, 114.0571, 121.1889, 128.466, 135.8499, 143.309, 150.8178, 158.3552, 165.9041, 173.4502, 180.9817, 188.4889 ], "change": [ 68.7379, 65.2566, 61.7706, 58.28, 54.7853, 51.2866, 47.7842, 44.2787, 40.771, 37.2629, 33.7577, 30.2615, 26.785, 23.3465, 19.9772, 16.7271, 13.6747, 10.9346, 8.6586, 7.0187, 6.1668, 6.1822, 7.0411, 8.6301, 10.7929, 13.3757, 16.2513, 19.3256, 22.5333, 25.8301, 29.1868, 32.5841, 36.0093, 39.4537, 42.9116, 46.3788, 49.8522, 53.3294, 56.8086, 60.2884, 63.7672 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 23.037, "rotation": -4.571, "wingChange": 25.305, "rmsChange": 38.532 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2394.7, "previous": 2423.95, "change": -29.25, "percentChange": -1.21 }, "atmIv": { "current": 60.26, "previous": 65.11, "change": -4.85, "percentChange": -7.45 }, "rr25": { "current": -0.39, "previous": 0.3, "change": -0.69, "percentChange": -230.0 }, "bf25": { "current": 3.59, "previous": 5.14, "change": -1.55, "percentChange": -30.16 }, "svi": { "a": { "current": -0.1028, "previous": -0.0881, "change": -0.0147, "percentChange": -16.74 }, "b": { "current": 0.1621, "previous": 0.1739, "change": -0.0118, "percentChange": -6.81 }, "rho": { "current": -0.0152, "previous": -0.0806, "change": 0.0653, "percentChange": 81.07 }, "m": { "current": -0.0075, "previous": -0.042, "change": 0.0345, "percentChange": 82.12 }, "sigma": { "current": 0.6447, "previous": 0.5259, "change": 0.1188, "percentChange": 22.58 } }, "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": [ 167.3154, 160.4131, 153.5171, 146.6366, 139.7826, 132.9679, 126.208, 119.5216, 112.931, 106.4635, 100.1527, 94.0395, 88.1742, 82.619, 77.449, 72.7545, 68.6403, 65.2224, 62.6198, 60.9402, 60.2628, 60.621, 61.9952, 64.3172, 67.4849, 71.38, 75.8843, 80.8888, 86.2988, 92.0347, 98.031, 104.2341, 110.6007, 117.0953, 123.6894, 130.3591, 137.0853, 143.8517, 150.645, 157.4539, 164.2689 ], "previous": [ 154.9049, 148.8574, 142.8226, 136.8112, 130.836, 124.9117, 119.0557, 113.2886, 107.6345, 102.1222, 96.7855, 91.6645, 86.8062, 82.2652, 78.1041, 74.3928, 71.2063, 68.6207, 66.7075, 65.5248, 65.11, 65.4734, 66.5962, 68.4334, 70.9206, 73.9826, 77.5408, 81.5189, 85.8473, 90.4642, 95.3159, 100.3571, 105.5493, 110.8602, 116.2631, 121.7353, 127.2581, 132.8157, 138.3949, 143.9846, 149.5756 ], "change": [ 12.4105, 11.5557, 10.6945, 9.8254, 8.9466, 8.0562, 7.1523, 6.233, 5.2965, 4.3413, 3.3672, 2.375, 1.368, 0.3538, -0.6551, -1.6383, -2.566, -3.3983, -4.0877, -4.5846, -4.8472, -4.8524, -4.601, -4.1162, -3.4357, -2.6026, -1.6565, -0.6301, 0.4515, 1.5705, 2.7151, 3.877, 5.0514, 6.2351, 7.4263, 8.6238, 9.8272, 11.036, 12.2501, 13.4693, 14.6933 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 0.412, "rotation": -0.652, "wingChange": 7.888, "rmsChange": 6.896 } }, { "label": "19SEP26", "expiry": 1789804800000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2394.89, "previous": 2424.52, "change": -29.63, "percentChange": -1.22 }, "atmIv": { "current": 55.04, "previous": 62.68, "change": -7.64, "percentChange": -12.19 }, "rr25": { "current": 0.0, "previous": 0.23, "change": -0.23, "percentChange": -100.0 }, "bf25": { "current": 4.2, "previous": 4.97, "change": -0.77, "percentChange": -15.49 }, "svi": { "a": { "current": -0.0806, "previous": -0.0902, "change": 0.0097, "percentChange": 10.71 }, "b": { "current": 0.1623, "previous": 0.1778, "change": -0.0155, "percentChange": -8.69 }, "rho": { "current": -0.0163, "previous": -0.0982, "change": 0.0818, "percentChange": 83.36 }, "m": { "current": -0.0072, "previous": -0.0515, "change": 0.0443, "percentChange": 86.11 }, "sigma": { "current": 0.51, "previous": 0.5322, "change": -0.0223, "percentChange": -4.18 } }, "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": [ 146.9875, 141.104, 135.2119, 129.3197, 123.4373, 117.577, 111.753, 105.983, 100.288, 94.6937, 89.2314, 83.9392, 78.8637, 74.0617, 69.6014, 65.5635, 62.0404, 59.1326, 56.9411, 55.5554, 55.0387, 55.4154, 56.6655, 58.729, 61.5179, 64.9314, 68.8679, 73.2334, 77.9455, 82.9344, 88.1421, 93.5209, 99.0319, 104.6433, 110.329, 116.0677, 121.8418, 127.6367, 133.4404, 139.2428, 145.0356 ], "previous": [ 136.175, 131.0743, 125.9965, 120.9516, 115.9516, 111.0103, 106.1435, 101.3697, 96.7104, 92.1905, 87.8387, 83.6882, 79.7766, 76.1466, 72.845, 69.9222, 67.4302, 65.4198, 63.9365, 63.0162, 62.6809, 62.936, 63.7689, 65.151, 67.041, 69.3894, 72.1425, 75.2469, 78.6517, 82.31, 86.1802, 90.2256, 94.4145, 98.7194, 103.1173, 107.5882, 112.1153, 116.6843, 121.283, 125.9012, 130.5299 ], "change": [ 10.8125, 10.0297, 9.2154, 8.3681, 7.4857, 6.5667, 5.6095, 4.6133, 3.5776, 2.5032, 1.3927, 0.251, -0.9129, -2.0849, -3.2436, -4.3587, -5.3898, -6.2872, -6.9954, -7.4608, -7.6422, -7.5206, -7.1034, -6.422, -5.5231, -4.458, -3.2746, -2.0135, -0.7062, 0.6244, 1.9619, 3.2953, 4.6174, 5.9239, 7.2117, 8.4795, 9.7265, 10.9524, 12.1574, 13.3416, 14.5057 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": -1.429, "rotation": 0.569, "wingChange": 9.319, "rmsChange": 6.935 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.02368723, "daysToExpiry": 8.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2397.24, "previous": 2426.16, "change": -28.92, "percentChange": -1.19 }, "atmIv": { "current": 53.49, "previous": 58.02, "change": -4.53, "percentChange": -7.81 }, "rr25": { "current": -0.47, "previous": -1.79, "change": 1.32, "percentChange": 73.74 }, "bf25": { "current": 3.29, "previous": 3.85, "change": -0.56, "percentChange": -14.55 }, "svi": { "a": { "current": -0.1124, "previous": -0.103, "change": -0.0094, "percentChange": -9.13 }, "b": { "current": 0.177, "previous": 0.1778, "change": -0.0009, "percentChange": -0.48 }, "rho": { "current": -0.0976, "previous": -0.0979, "change": 0.0004, "percentChange": 0.37 }, "m": { "current": -0.059, "previous": -0.0431, "change": -0.0159, "percentChange": -36.9 }, "sigma": { "current": 0.6765, "previous": 0.632, "change": 0.0445, "percentChange": 7.05 } }, "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": [ 89.2644, 86.5637, 83.9023, 81.2868, 78.7243, 76.2226, 73.7903, 71.4369, 69.1727, 67.0089, 64.9576, 63.0315, 61.244, 59.609, 58.1404, 56.852, 55.7567, 54.8664, 54.191, 53.738, 53.5124, 53.5157, 53.7466, 54.2004, 54.8693, 55.7436, 56.8111, 58.0585, 59.4717, 61.0362, 62.7377, 64.5624, 66.4968, 68.5287, 70.6465, 72.8395, 75.0982, 77.4139, 79.7785, 82.185, 84.6271 ], "previous": [ 92.8969, 90.336, 87.8115, 85.3293, 82.896, 80.5185, 78.2048, 75.9631, 73.8025, 71.7328, 69.7643, 67.9078, 66.1748, 64.5767, 63.1255, 61.8324, 60.7086, 59.764, 59.0076, 58.4465, 58.0859, 57.9286, 57.9753, 58.2239, 58.6701, 59.3074, 60.1273, 61.1201, 62.2748, 63.5796, 65.0227, 66.5919, 68.2754, 70.0619, 71.9405, 73.901, 75.934, 78.0307, 80.1831, 82.3839, 84.6264 ], "change": [ -3.6325, -3.7723, -3.9092, -4.0425, -4.1717, -4.2959, -4.4145, -4.5262, -4.6298, -4.7239, -4.8067, -4.8763, -4.9308, -4.9677, -4.9851, -4.9804, -4.9519, -4.8976, -4.8166, -4.7085, -4.5735, -4.4129, -4.2287, -4.0235, -3.8008, -3.5638, -3.3162, -3.0616, -2.8031, -2.5434, -2.285, -2.0295, -1.7786, -1.5332, -1.294, -1.0615, -0.8358, -0.6168, -0.4046, -0.1989, 0.0007 ], "classification": [ "parallel shift lower", "rotation towards calls", "wing steepening" ], "parallelShift": -3.888, "rotation": 2.522, "wingChange": 1.028, "rmsChange": 3.739 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.04286531, "daysToExpiry": 15.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2397.96, "previous": 2427.2, "change": -29.24, "percentChange": -1.2 }, "atmIv": { "current": 51.13, "previous": 54.42, "change": -3.29, "percentChange": -6.05 }, "rr25": { "current": -1.0, "previous": -0.38, "change": -0.62, "percentChange": -163.16 }, "bf25": { "current": 4.02, "previous": 3.96, "change": 0.06, "percentChange": 1.52 }, "svi": { "a": { "current": -0.0862, "previous": -0.0955, "change": 0.0094, "percentChange": 9.82 }, "b": { "current": 0.1797, "previous": 0.1856, "change": -0.0059, "percentChange": -3.2 }, "rho": { "current": -0.0808, "previous": -0.1359, "change": 0.0551, "percentChange": 40.54 }, "m": { "current": -0.0296, "previous": -0.0711, "change": 0.0414, "percentChange": 58.28 }, "sigma": { "current": 0.5435, "previous": 0.5928, "change": -0.0494, "percentChange": -8.33 } }, "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": [ 79.1541, 77.0764, 75.0268, 73.0107, 71.0337, 69.1019, 67.2223, 65.4021, 63.6492, 61.9722, 60.38, 58.882, 57.4878, 56.2074, 55.0505, 54.0267, 53.1449, 52.4133, 51.8388, 51.4269, 51.1813, 51.1038, 51.1943, 51.4505, 51.8684, 52.4421, 53.1644, 54.0269, 55.0201, 56.1345, 57.36, 58.6865, 60.1043, 61.604, 63.1765, 64.8134, 66.507, 68.25, 70.0357, 71.8582, 73.712 ], "previous": [ 78.6632, 76.7547, 74.8834, 73.0544, 71.2728, 69.5443, 67.8751, 66.2715, 64.74, 63.2877, 61.9215, 60.6486, 59.4763, 58.4114, 57.4606, 56.6301, 55.9256, 55.3517, 54.9123, 54.6099, 54.4459, 54.4206, 54.5327, 54.7798, 55.1583, 55.6636, 56.29, 57.0314, 57.881, 58.8316, 59.8759, 61.0065, 62.2162, 63.4979, 64.8448, 66.2503, 67.7083, 69.2132, 70.7595, 72.3423, 73.957 ], "change": [ 0.4909, 0.3217, 0.1434, -0.0437, -0.2391, -0.4424, -0.6528, -0.8694, -1.0908, -1.3155, -1.5415, -1.7666, -1.9885, -2.204, -2.4101, -2.6034, -2.7807, -2.9384, -3.0735, -3.183, -3.2646, -3.3168, -3.3384, -3.3293, -3.2899, -3.2215, -3.1256, -3.0045, -2.8609, -2.6971, -2.5159, -2.32, -2.1119, -1.8939, -1.6683, -1.4369, -1.2013, -0.9632, -0.7238, -0.4841, -0.245 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": -2.441, "rotation": -0.974, "wingChange": 1.236, "rmsChange": 2.179 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.11957764, "daysToExpiry": 43.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2403.43, "previous": 2433.22, "change": -29.79, "percentChange": -1.22 }, "atmIv": { "current": 52.19, "previous": 53.73, "change": -1.54, "percentChange": -2.87 }, "rr25": { "current": -0.2, "previous": -0.85, "change": 0.65, "percentChange": 76.47 }, "bf25": { "current": 3.52, "previous": 3.55, "change": -0.03, "percentChange": -0.85 }, "svi": { "a": { "current": -0.0862, "previous": -0.0945, "change": 0.0083, "percentChange": 8.78 }, "b": { "current": 0.1863, "previous": 0.1963, "change": -0.0099, "percentChange": -5.06 }, "rho": { "current": -0.113, "previous": -0.181, "change": 0.068, "percentChange": 37.57 }, "m": { "current": -0.0535, "previous": -0.092, "change": 0.0385, "percentChange": 41.88 }, "sigma": { "current": 0.6414, "previous": 0.6723, "change": -0.0309, "percentChange": -4.59 } }, "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": [ 62.7248, 61.8577, 61.0156, 60.2002, 59.4137, 58.6579, 57.9347, 57.2462, 56.5943, 55.9809, 55.4078, 54.877, 54.3901, 53.9486, 53.5541, 53.2077, 52.9107, 52.6639, 52.4681, 52.3236, 52.2308, 52.1897, 52.2001, 52.2615, 52.3732, 52.5344, 52.7439, 53.0006, 53.3029, 53.6494, 54.0384, 54.468, 54.9365, 55.4419, 55.9824, 56.556, 57.1607, 57.7947, 58.456, 59.1428, 59.8533 ], "previous": [ 64.5853, 63.7097, 62.8598, 62.0375, 61.2443, 60.482, 59.7525, 59.0574, 58.3984, 57.7773, 57.1955, 56.6546, 56.156, 55.7011, 55.291, 54.9267, 54.609, 54.3388, 54.1166, 53.9425, 53.8168, 53.7395, 53.7102, 53.7285, 53.7938, 53.9052, 54.0618, 54.2625, 54.5059, 54.7908, 55.1157, 55.479, 55.8791, 56.3144, 56.7831, 57.2836, 57.8141, 58.3729, 58.9585, 59.569, 60.2029 ], "change": [ -1.8605, -1.852, -1.8442, -1.8373, -1.8306, -1.8241, -1.8178, -1.8112, -1.8041, -1.7964, -1.7877, -1.7776, -1.7659, -1.7525, -1.7369, -1.719, -1.6983, -1.6749, -1.6485, -1.6189, -1.586, -1.5498, -1.5101, -1.467, -1.4206, -1.3708, -1.3179, -1.2619, -1.203, -1.1414, -1.0773, -1.011, -0.9426, -0.8725, -0.8007, -0.7276, -0.6534, -0.5782, -0.5025, -0.4262, -0.3496 ], "classification": [ "parallel shift lower", "rotation towards calls" ], "parallelShift": -1.484, "rotation": 0.71, "wingChange": 0.154, "rmsChange": 1.47 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.19628997, "daysToExpiry": 71.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2410.7, "previous": 2440.14, "change": -29.44, "percentChange": -1.21 }, "atmIv": { "current": 53.43, "previous": 54.11, "change": -0.68, "percentChange": -1.26 }, "rr25": { "current": 0.14, "previous": -0.15, "change": 0.29, "percentChange": 193.33 }, "bf25": { "current": 3.36, "previous": 3.57, "change": -0.21, "percentChange": -5.88 }, "svi": { "a": { "current": -0.0926, "previous": -0.0705, "change": -0.0221, "percentChange": -31.38 }, "b": { "current": 0.2083, "previous": 0.1966, "change": 0.0117, "percentChange": 5.95 }, "rho": { "current": -0.206, "previous": -0.1818, "change": -0.0242, "percentChange": -13.33 }, "m": { "current": -0.1308, "previous": -0.0922, "change": -0.0386, "percentChange": -41.82 }, "sigma": { "current": 0.7294, "previous": 0.6661, "change": 0.0632, "percentChange": 9.49 } }, "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": [ 59.9659, 59.4027, 58.8601, 58.3391, 57.8404, 57.3651, 56.9138, 56.4874, 56.0866, 55.7121, 55.3645, 55.0445, 54.7525, 54.4889, 54.2542, 54.0486, 53.8724, 53.7256, 53.6083, 53.5205, 53.4621, 53.4328, 53.4324, 53.4605, 53.5166, 53.6004, 53.7112, 53.8485, 54.0115, 54.1996, 54.4119, 54.6478, 54.9064, 55.1869, 55.4884, 55.8101, 56.1511, 56.5106, 56.8877, 57.2815, 57.6913 ], "previous": [ 61.0159, 60.4429, 59.8892, 59.3557, 58.8433, 58.3531, 57.8858, 57.4425, 57.024, 56.6311, 56.2646, 55.9252, 55.6136, 55.3302, 55.0757, 54.8504, 54.6547, 54.4888, 54.3529, 54.2469, 54.171, 54.1249, 54.1085, 54.1213, 54.1632, 54.2334, 54.3317, 54.4572, 54.6094, 54.7875, 54.9907, 55.2183, 55.4694, 55.7431, 56.0384, 56.3547, 56.6907, 57.0458, 57.419, 57.8093, 58.2158 ], "change": [ -1.05, -1.0402, -1.0291, -1.0166, -1.0029, -0.988, -0.972, -0.9551, -0.9374, -0.919, -0.9001, -0.8807, -0.8611, -0.8413, -0.8215, -0.8018, -0.7823, -0.7632, -0.7446, -0.7264, -0.7089, -0.6921, -0.6761, -0.6608, -0.6466, -0.633, -0.6205, -0.6087, -0.5979, -0.5879, -0.5788, -0.5705, -0.563, -0.5562, -0.55, -0.5446, -0.5396, -0.5352, -0.5313, -0.5278, -0.5245 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.729, "rotation": 0.321, "wingChange": -0.031, "rmsChange": 0.764 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.2730023, "daysToExpiry": 99.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2418.64, "previous": 2447.94, "change": -29.3, "percentChange": -1.2 }, "atmIv": { "current": 53.73, "previous": 54.26, "change": -0.53, "percentChange": -0.98 }, "rr25": { "current": 0.23, "previous": -0.36, "change": 0.59, "percentChange": 163.89 }, "bf25": { "current": 3.29, "previous": 3.62, "change": -0.33, "percentChange": -9.12 }, "svi": { "a": { "current": -0.0816, "previous": -0.046, "change": -0.0356, "percentChange": -77.35 }, "b": { "current": 0.2174, "previous": 0.1967, "change": 0.0207, "percentChange": 10.54 }, "rho": { "current": -0.2392, "previous": -0.1816, "change": -0.0576, "percentChange": -31.69 }, "m": { "current": -0.1578, "previous": -0.0737, "change": -0.0842, "percentChange": -114.19 }, "sigma": { "current": 0.76, "previous": 0.6576, "change": 0.1023, "percentChange": 15.56 } }, "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": [ 58.6363, 58.2135, 57.8072, 57.4179, 57.0461, 56.6923, 56.3569, 56.0405, 55.7433, 55.4657, 55.2081, 54.9707, 54.7538, 54.5575, 54.3821, 54.2276, 54.094, 53.9814, 53.8898, 53.819, 53.7689, 53.7394, 53.7302, 53.7411, 53.7717, 53.8218, 53.8909, 53.9787, 54.0848, 54.2087, 54.3499, 54.508, 54.6824, 54.8727, 55.0783, 55.2986, 55.5332, 55.7816, 56.0431, 56.3172, 56.6034 ], "previous": [ 59.8727, 59.4268, 58.9953, 58.579, 58.1785, 57.7945, 57.4276, 57.0783, 56.7474, 56.4353, 56.1426, 55.8698, 55.6173, 55.3855, 55.1748, 54.9854, 54.8176, 54.6717, 54.5476, 54.4455, 54.3654, 54.3072, 54.2709, 54.2562, 54.2629, 54.2908, 54.3395, 54.4086, 54.4978, 54.6066, 54.7344, 54.8808, 55.0453, 55.2272, 55.4259, 55.6409, 55.8716, 56.1173, 56.3774, 56.6514, 56.9385 ], "change": [ -1.2364, -1.2133, -1.1881, -1.1611, -1.1324, -1.1022, -1.0707, -1.0378, -1.0041, -0.9696, -0.9345, -0.8991, -0.8635, -0.828, -0.7927, -0.7578, -0.7236, -0.6903, -0.6578, -0.6265, -0.5965, -0.5678, -0.5407, -0.5151, -0.4912, -0.469, -0.4486, -0.4299, -0.413, -0.3979, -0.3845, -0.3728, -0.3629, -0.3545, -0.3476, -0.3423, -0.3384, -0.3357, -0.3343, -0.3342, -0.3351 ], "classification": [ "rotation towards calls" ], "parallelShift": -0.639, "rotation": 0.55, "wingChange": -0.063, "rmsChange": 0.738 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.52231736, "daysToExpiry": 190.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2442.95, "previous": 2471.68, "change": -28.73, "percentChange": -1.16 }, "atmIv": { "current": 54.93, "previous": 55.2, "change": -0.27, "percentChange": -0.49 }, "rr25": { "current": 0.56, "previous": -0.03, "change": 0.59, "percentChange": 1966.67 }, "bf25": { "current": 3.2, "previous": 3.27, "change": -0.07, "percentChange": -2.14 }, "svi": { "a": { "current": -0.0271, "previous": -0.0289, "change": 0.0019, "percentChange": 6.41 }, "b": { "current": 0.2418, "previous": 0.2529, "change": -0.0111, "percentChange": -4.4 }, "rho": { "current": -0.3156, "previous": -0.3618, "change": 0.0463, "percentChange": 12.79 }, "m": { "current": -0.2214, "previous": -0.2408, "change": 0.0194, "percentChange": 8.07 }, "sigma": { "current": 0.8044, "previous": 0.8011, "change": 0.0032, "percentChange": 0.4 } }, "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": [ 57.7711, 57.528, 57.2951, 57.0725, 56.8604, 56.6589, 56.4682, 56.2883, 56.1194, 55.9614, 55.8146, 55.6788, 55.5542, 55.4407, 55.3383, 55.247, 55.1667, 55.0973, 55.0388, 54.9912, 54.9541, 54.9277, 54.9116, 54.9057, 54.91, 54.9242, 54.9481, 54.9815, 55.0243, 55.0762, 55.137, 55.2066, 55.2846, 55.3709, 55.4653, 55.5675, 55.6772, 55.7943, 55.9186, 56.0497, 56.1875 ], "previous": [ 58.4939, 58.2301, 57.9767, 57.7338, 57.5017, 57.2805, 57.0703, 56.8711, 56.6831, 56.5064, 56.341, 56.1868, 56.0441, 55.9126, 55.7925, 55.6836, 55.5859, 55.4994, 55.4239, 55.3594, 55.3057, 55.2627, 55.2302, 55.2082, 55.1964, 55.1946, 55.2027, 55.2205, 55.2477, 55.2842, 55.3298, 55.3842, 55.4472, 55.5185, 55.5981, 55.6855, 55.7807, 55.8833, 55.9931, 56.11, 56.2337 ], "change": [ -0.7228, -0.7021, -0.6816, -0.6613, -0.6413, -0.6216, -0.6021, -0.5828, -0.5637, -0.545, -0.5264, -0.508, -0.4899, -0.4719, -0.4542, -0.4366, -0.4192, -0.4021, -0.3851, -0.3682, -0.3516, -0.335, -0.3186, -0.3025, -0.2864, -0.2704, -0.2546, -0.239, -0.2234, -0.208, -0.1928, -0.1776, -0.1626, -0.1476, -0.1328, -0.118, -0.1035, -0.089, -0.0745, -0.0603, -0.0462 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.357, "rotation": 0.334, "wingChange": -0.008, "rmsChange": 0.414 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.77163243, "daysToExpiry": 281.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2469.57, "previous": 2498.85, "change": -29.28, "percentChange": -1.17 }, "atmIv": { "current": 55.39, "previous": 55.78, "change": -0.39, "percentChange": -0.7 }, "rr25": { "current": 0.42, "previous": 0.36, "change": 0.06, "percentChange": 16.67 }, "bf25": { "current": 2.82, "previous": 2.86, "change": -0.04, "percentChange": -1.4 }, "svi": { "a": { "current": -0.0103, "previous": -0.0071, "change": -0.0032, "percentChange": -44.72 }, "b": { "current": 0.284, "previous": 0.2987, "change": -0.0147, "percentChange": -4.92 }, "rho": { "current": -0.4101, "previous": -0.4534, "change": 0.0432, "percentChange": 9.53 }, "m": { "current": -0.3501, "previous": -0.392, "change": 0.0418, "percentChange": 10.67 }, "sigma": { "current": 0.9531, "previous": 0.9312, "change": 0.0219, "percentChange": 2.35 } }, "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": [ 57.4775, 57.3093, 57.1481, 56.9941, 56.8471, 56.7073, 56.5746, 56.449, 56.3306, 56.2193, 56.1151, 56.018, 55.9279, 55.8449, 55.7687, 55.6995, 55.6371, 55.5815, 55.5326, 55.4903, 55.4546, 55.4253, 55.4024, 55.3857, 55.3753, 55.3709, 55.3725, 55.3799, 55.3932, 55.412, 55.4365, 55.4663, 55.5015, 55.5418, 55.5872, 55.6376, 55.6929, 55.7529, 55.8175, 55.8866, 55.9601 ], "previous": [ 57.9363, 57.7627, 57.5965, 57.4378, 57.2865, 57.1426, 57.0061, 56.8771, 56.7555, 56.6412, 56.5343, 56.4346, 56.3422, 56.2569, 56.1788, 56.1077, 56.0435, 55.9863, 55.9358, 55.8921, 55.8549, 55.8243, 55.8001, 55.7821, 55.7704, 55.7648, 55.7651, 55.7713, 55.7832, 55.8007, 55.8237, 55.8521, 55.8858, 55.9246, 55.9684, 56.0171, 56.0705, 56.1287, 56.1913, 56.2584, 56.3298 ], "change": [ -0.4588, -0.4534, -0.4484, -0.4437, -0.4394, -0.4353, -0.4315, -0.4281, -0.4249, -0.4219, -0.4192, -0.4166, -0.4143, -0.412, -0.4101, -0.4082, -0.4064, -0.4048, -0.4032, -0.4018, -0.4003, -0.399, -0.3977, -0.3964, -0.3951, -0.3939, -0.3926, -0.3914, -0.39, -0.3887, -0.3872, -0.3858, -0.3843, -0.3828, -0.3812, -0.3795, -0.3776, -0.3758, -0.3738, -0.3718, -0.3697 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.402, "rotation": 0.032, "wingChange": -0.003, "rmsChange": 0.405 } } ], "events": [ { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -6.05, "score": 6.05, "unit": "volatility points" }, { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": 2.522, "score": 2.522, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": -0.81, "score": 0.81, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": 0.73, "score": 0.73, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": 0.1023, "score": 0.1023, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "19SEP26", "value": 0.0818, "score": 0.0818, "unit": "parameter units" } ], "expiryEffects": [ { "label": "17SEP26", "daysToExpiry": 0.646, "metric": "ATM IV change", "value": 6.14, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "18SEP26", "daysToExpiry": 1.646, "metric": "ATM IV change", "value": -4.85, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 8.40203987, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "17SEP26", "expiry": 1789632000000, "value": 0.00533382776, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "17SEP26", "expiry": 1789632000000, "value": -23.09518654, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00170111, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -0.89777309, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -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 ], "rows": [ { "label": "17SEP26", "values": [ 68.7379, 65.2566, 61.7706, 58.28, 54.7853, 51.2866, 47.7842, 44.2787, 40.771, 37.2629, 33.7577, 30.2615, 26.785, 23.3465, 19.9772, 16.7271, 13.6747, 10.9346, 8.6586, 7.0187, 6.1668, 6.1822, 7.0411, 8.6301, 10.7929, 13.3757, 16.2513, 19.3256, 22.5333, 25.8301, 29.1868, 32.5841, 36.0093, 39.4537, 42.9116, 46.3788, 49.8522, 53.3294, 56.8086, 60.2884, 63.7672 ] }, { "label": "18SEP26", "values": [ 12.4105, 11.5557, 10.6945, 9.8254, 8.9466, 8.0562, 7.1523, 6.233, 5.2965, 4.3413, 3.3672, 2.375, 1.368, 0.3538, -0.6551, -1.6383, -2.566, -3.3983, -4.0877, -4.5846, -4.8472, -4.8524, -4.601, -4.1162, -3.4357, -2.6026, -1.6565, -0.6301, 0.4515, 1.5705, 2.7151, 3.877, 5.0514, 6.2351, 7.4263, 8.6238, 9.8272, 11.036, 12.2501, 13.4693, 14.6933 ] }, { "label": "19SEP26", "values": [ 10.8125, 10.0297, 9.2154, 8.3681, 7.4857, 6.5667, 5.6095, 4.6133, 3.5776, 2.5032, 1.3927, 0.251, -0.9129, -2.0849, -3.2436, -4.3587, -5.3898, -6.2872, -6.9954, -7.4608, -7.6422, -7.5206, -7.1034, -6.422, -5.5231, -4.458, -3.2746, -2.0135, -0.7062, 0.6244, 1.9619, 3.2953, 4.6174, 5.9239, 7.2117, 8.4795, 9.7265, 10.9524, 12.1574, 13.3416, 14.5057 ] }, { "label": "25SEP26", "values": [ -3.6325, -3.7723, -3.9092, -4.0425, -4.1717, -4.2959, -4.4145, -4.5262, -4.6298, -4.7239, -4.8067, -4.8763, -4.9308, -4.9677, -4.9851, -4.9804, -4.9519, -4.8976, -4.8166, -4.7085, -4.5735, -4.4129, -4.2287, -4.0235, -3.8008, -3.5638, -3.3162, -3.0616, -2.8031, -2.5434, -2.285, -2.0295, -1.7786, -1.5332, -1.294, -1.0615, -0.8358, -0.6168, -0.4046, -0.1989, 0.0007 ] }, { "label": "2OCT26", "values": [ 0.4909, 0.3217, 0.1434, -0.0437, -0.2391, -0.4424, -0.6528, -0.8694, -1.0908, -1.3155, -1.5415, -1.7666, -1.9885, -2.204, -2.4101, -2.6034, -2.7807, -2.9384, -3.0735, -3.183, -3.2646, -3.3168, -3.3384, -3.3293, -3.2899, -3.2215, -3.1256, -3.0045, -2.8609, -2.6971, -2.5159, -2.32, -2.1119, -1.8939, -1.6683, -1.4369, -1.2013, -0.9632, -0.7238, -0.4841, -0.245 ] }, { "label": "30OCT26", "values": [ -1.8605, -1.852, -1.8442, -1.8373, -1.8306, -1.8241, -1.8178, -1.8112, -1.8041, -1.7964, -1.7877, -1.7776, -1.7659, -1.7525, -1.7369, -1.719, -1.6983, -1.6749, -1.6485, -1.6189, -1.586, -1.5498, -1.5101, -1.467, -1.4206, -1.3708, -1.3179, -1.2619, -1.203, -1.1414, -1.0773, -1.011, -0.9426, -0.8725, -0.8007, -0.7276, -0.6534, -0.5782, -0.5025, -0.4262, -0.3496 ] }, { "label": "27NOV26", "values": [ -1.05, -1.0402, -1.0291, -1.0166, -1.0029, -0.988, -0.972, -0.9551, -0.9374, -0.919, -0.9001, -0.8807, -0.8611, -0.8413, -0.8215, -0.8018, -0.7823, -0.7632, -0.7446, -0.7264, -0.7089, -0.6921, -0.6761, -0.6608, -0.6466, -0.633, -0.6205, -0.6087, -0.5979, -0.5879, -0.5788, -0.5705, -0.563, -0.5562, -0.55, -0.5446, -0.5396, -0.5352, -0.5313, -0.5278, -0.5245 ] }, { "label": "25DEC26", "values": [ -1.2364, -1.2133, -1.1881, -1.1611, -1.1324, -1.1022, -1.0707, -1.0378, -1.0041, -0.9696, -0.9345, -0.8991, -0.8635, -0.828, -0.7927, -0.7578, -0.7236, -0.6903, -0.6578, -0.6265, -0.5965, -0.5678, -0.5407, -0.5151, -0.4912, -0.469, -0.4486, -0.4299, -0.413, -0.3979, -0.3845, -0.3728, -0.3629, -0.3545, -0.3476, -0.3423, -0.3384, -0.3357, -0.3343, -0.3342, -0.3351 ] }, { "label": "26MAR27", "values": [ -0.7228, -0.7021, -0.6816, -0.6613, -0.6413, -0.6216, -0.6021, -0.5828, -0.5637, -0.545, -0.5264, -0.508, -0.4899, -0.4719, -0.4542, -0.4366, -0.4192, -0.4021, -0.3851, -0.3682, -0.3516, -0.335, -0.3186, -0.3025, -0.2864, -0.2704, -0.2546, -0.239, -0.2234, -0.208, -0.1928, -0.1776, -0.1626, -0.1476, -0.1328, -0.118, -0.1035, -0.089, -0.0745, -0.0603, -0.0462 ] }, { "label": "25JUN27", "values": [ -0.4588, -0.4534, -0.4484, -0.4437, -0.4394, -0.4353, -0.4315, -0.4281, -0.4249, -0.4219, -0.4192, -0.4166, -0.4143, -0.412, -0.4101, -0.4082, -0.4064, -0.4048, -0.4032, -0.4018, -0.4003, -0.399, -0.3977, -0.3964, -0.3951, -0.3939, -0.3926, -0.3914, -0.39, -0.3887, -0.3872, -0.3858, -0.3843, -0.3828, -0.3812, -0.3795, -0.3776, -0.3758, -0.3738, -0.3718, -0.3697 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-16T16:30:00+00:00", "window": { "startAt": "2026-09-15T16:30:00+00:00", "endAt": "2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options cool as short-dated volatility compresses materially", "standfirst": "Ether one-week ATM IV fell 6.05 volatility points to 53.07% over the 24-hour observation window, an 86.2 percentile move in available Derivasys history. Ether\u2019s 24-hour spot-index return was -1.07%, while one-week ATM IV stood 2.31 volatility points above seven-day realised volatility of 50.76%. Front-end ATM IV averaged 52.16%, showing the compression was concentrated in shorter maturities.", "days": [ { "reportDate": "2026-09-16", "headline": "Ether front-end volatility compresses", "summary": "Ether one-week ATM IV fell materially while the one-week implied-versus-realised volatility premium remained positive.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million.", "events": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "publisher": "Decrypt", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options cool as short-dated volatility compresses materially", "standfirst": "Ether one-week ATM IV fell 6.05 volatility points to 53.07% over the 24-hour observation window, an 86.2 percentile move in available Derivasys history. Ether\u2019s 24-hour spot-index return was -1.07%, while one-week ATM IV stood 2.31 volatility points above seven-day realised volatility of 50.76%. Front-end ATM IV averaged 52.16%, showing the compression was concentrated in shorter maturities.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 2026-09-15T20:00:00Z. The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.9 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 16.9 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": 17.21, "vix3m": 19.36, "ivSpread": 35.529999237060544, "ivRatio": 3.0656975384336276, "cryptoRealisedVol20d": 41.206775403548086, "spxRealisedVol20": 9.055854653060562, "rvSpread": 32.15092075048752, "rvRatio": 4.550291163255545, "rvSpreadPercentile": 16.883116883116884, "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)." } }