{ "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:24+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396757, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386687, "timestamp": "2026-09-16T16:39:00+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": "2026-09-17T16:39:00+00:00", "spotWindowStart": "2026-09-16T16:39:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 3.03, "rv24hPercent": 63.42, "rv7dPercent": 53.94, "rv30dPercent": 57.25, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 44.54, "oneWeekIvMinus7dRvPoints": -9.4, "oneWeekIvMinus24hRvPoints": -18.88, "oneWeekIvMinus30dRvPoints": -12.71 }, "fitQuality": { "currentObjective": 0.1156095, "previousObjective": 0.14417563, "currentLiveError": 34.73314572, "previousLiveError": 114.81487273 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "21SEP26", "9OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether front-end implied volatility drops beneath realised volatility", "executiveSummary": "Ether one-week ATM IV fell 8.62 volatility points to 44.54%, leaving it 9.40 volatility points below seven-day realised volatility of 53.94% at the cutoff. Ether two-week BF25 also fell 1.34 volatility points to 2.55%, compressing the surface’s convexity measure.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "The Federal Reserve issued its FOMC statement during the window. Ether-specific reaction evidence was unavailable, leaving no basis to treat the decision as the cause of the options repricing.", "marketContextSummary": "The FOMC statement is relevant broad context, but the evidence does not identify a direct link to Ether’s front-end implied-volatility reset.", "marketContext": [ { "title": "FOMC statement remains non-causal Ether context", "explanation": "Ether one-week ATM IV and two-week BF25 were lower at the cutoff, but no measured Ether reaction connects either move to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:39 UTC cutoff, 1W ATM IV was 44.54%, 9.40 volatility points below seven-day realised volatility of 53.94%; 24-hour 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the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 8.62 points to 44.54%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 8.62 points to 44.54%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 8.62 points to 44.54%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 8.62 volatility points to 44.54%, a large move at the 93rd percentile among 30 comparable historical observations. At the cutoff, realised volatility measured 63.42% over 24 hours, 53.94% over seven days and 57.25% over 30 days. Front-end ATM IV averaged 46.67%, -5.55 points from the prior snapshot, while the long end averaged 54.47%, -0.45 points. 2W RR25 moved 0.36 volatility points toward calls to -0.69%, leaving puts richer than calls. 2W BF25 fell 1.34 volatility points to 2.55%. The nearest eligible forward, 20SEP26, rose $67.81 (+2.83%) to $2,460.16. 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 16:39 UTC cutoff, 1W ATM IV was 44.54%, 9.40 volatility points below seven-day realised volatility of 53.94%; 24-hour realised volatility was 63.42% and 30-day realised volatility was 57.25%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -5.55 volatility points to 46.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.45 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.18 volatility points to -0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.68 volatility points to 2.78% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -8.62 volatility points at 1W, to 44.54%.", "tenor": "1W", "value": -8.62 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.62, "rr25Change": 0.18, "bf25Change": -0.68, "largestAtmMove": { "tenor": "1W", "current": 44.54, "previous": 53.16, "change": -8.62, "historicalSignificance": { "absoluteMove": 8.62, "movePercentile30d": 92.3, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 93.3, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } }, "frontEndAverageAtm": { "current": 46.67, "previous": 52.22, "change": -5.55 }, "longEndAverageAtm": { "current": 54.47, "previous": 54.92, "change": -0.45 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.69, "previous": -1.05, "change": 0.36, "historicalSignificance": { "absoluteMove": 0.36, "movePercentile30d": 26.9, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 36.4, "classificationPercentile": 33.3, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.55, "previous": 3.89, "change": -1.34, "historicalSignificance": { "absoluteMove": 1.34, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 21.2, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } }, "nearestEligibleForwardMove": { "label": "20SEP26", "daysToExpiry": 2.64, "current": 2460.16, "previous": 2392.35, "change": 67.81, "percentChange": 2.83 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790267941052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 44.54, "previous": 53.16, "change": -8.62, "percentChange": -16.22 }, "rr25": { "current": -0.23, "previous": -0.46, "change": 0.23, "percentChange": 50.0 }, "bf25": { "current": 2.29, "previous": 3.26, "change": -0.97, "percentChange": -29.75 }, "historicalSignificance": { "atmIv": { "absoluteMove": 8.62, "movePercentile30d": 92.3, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 93.3, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.23, "movePercentile30d": 11.5, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 48.5, "classificationPercentile": 13.3, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 0.97, "movePercentile30d": 96.2, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 9.1, "classificationPercentile": 96.2, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } }, { "tenor": "2W", "targetExpiry": 1790872741052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.46, "previous": 51.53, "change": -5.07, "percentChange": -9.84 }, "rr25": { "current": -0.69, "previous": -1.05, "change": 0.36, "percentChange": 34.29 }, "bf25": { "current": 2.55, "previous": 3.89, "change": -1.34, "percentChange": -34.45 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.07, "movePercentile30d": 88.5, "movePercentileFullHistory": 90.0, "currentLevelPercentileFullHistory": 12.1, "classificationPercentile": 90.0, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 26.9, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 36.4, "classificationPercentile": 33.3, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 1.34, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 21.2, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } }, { "tenor": "1M", "targetExpiry": 1792255141052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.02, "previous": 51.98, "change": -2.96, "percentChange": -5.69 }, "rr25": { "current": -0.28, "previous": -0.44, "change": 0.16, "percentChange": 36.36 }, "bf25": { "current": 2.58, "previous": 3.64, "change": -1.06, "percentChange": -29.12 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.96, "movePercentile30d": 92.3, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 12.1, "classificationPercentile": 93.3, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 15.4, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 42.4, "classificationPercentile": 20.0, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 1.06, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } }, { "tenor": "3M", "targetExpiry": 1797525541052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.95, "previous": 53.96, "change": -1.01, "percentChange": -1.87 }, "rr25": { "current": 0.06, "previous": 0.08, "change": -0.02, "percentChange": -25.0 }, "bf25": { "current": 3.22, "previous": 3.34, "change": -0.12, "percentChange": -3.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.01, "movePercentile30d": 84.6, "movePercentileFullHistory": 86.7, "currentLevelPercentileFullHistory": 54.5, "classificationPercentile": 86.7, "label": "notable", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": 3.8, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 39.4, "classificationPercentile": 6.7, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 42.3, "movePercentileFullHistory": 43.3, "currentLevelPercentileFullHistory": 69.7, "classificationPercentile": 43.3, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } }, { "tenor": "6M", "targetExpiry": 1805387941052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.47, "previous": 54.92, "change": -0.45, "percentChange": -0.82 }, "rr25": { "current": 0.77, "previous": 0.58, "change": 0.19, "percentChange": 32.76 }, "bf25": { "current": 3.27, "previous": 3.2, "change": 0.07, "percentChange": 2.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": 76.9, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 36.4, "classificationPercentile": 80.0, "label": "notable", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": 30.8, "movePercentileFullHistory": 30.0, "currentLevelPercentileFullHistory": 84.8, "classificationPercentile": 30.8, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 38.5, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 40.0, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } }, { "tenor": "9M", "targetExpiry": 1813250341052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.23, "previous": 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"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": "18SEP26", "expiry": 1789718400000, "tauYears": 0.0017523, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2459.58, "previous": 2391.89, "change": 67.69, "percentChange": 2.83 }, "atmIv": { "current": 38.86, "previous": 59.77, "change": -20.91, "percentChange": -34.98 }, "rr25": { "current": 0.9, "previous": -1.04, "change": 1.94, "percentChange": 186.54 }, "bf25": { "current": 1.38, "previous": 3.52, "change": -2.14, 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-1.0714, -1.0717, -1.0717, -1.0713 ] }, { "label": "25DEC26", "values": [ -1.0063, -1.0099, -1.0133, -1.0167, -1.0198, -1.0229, -1.0257, -1.0283, -1.0306, -1.0327, -1.0345, -1.0359, -1.0371, -1.0378, -1.0382, -1.0382, -1.0378, -1.0371, -1.0359, -1.0344, -1.0325, -1.0301, -1.0275, -1.0245, -1.0212, -1.0175, -1.0135, -1.0093, -1.0049, -1.0001, -0.9952, -0.99, -0.9848, -0.9793, -0.9738, -0.9681, -0.9625, -0.9567, -0.9509, -0.9452, -0.9394 ] }, { "label": "26MAR27", "values": [ -0.5042, -0.4988, -0.494, -0.4897, -0.4859, -0.4824, -0.4793, -0.4765, -0.4741, -0.4716, -0.4694, -0.4672, -0.4651, -0.4629, -0.4607, -0.4583, -0.4557, -0.453, -0.4499, -0.4465, -0.443, -0.4391, -0.4348, -0.4303, -0.4253, -0.4199, -0.4142, -0.4081, -0.4017, -0.3948, -0.3876, -0.38, -0.3721, -0.3638, -0.3553, -0.3465, -0.3373, -0.3279, -0.3184, -0.3085, -0.2985 ] }, { "label": "25JUN27", "values": [ -0.5968, -0.5818, -0.5665, -0.5506, -0.5344, -0.5178, -0.5009, -0.4838, -0.4665, -0.4489, -0.4313, -0.4135, -0.3957, -0.3779, -0.3602, -0.3425, -0.3249, -0.3075, -0.2901, -0.2731, -0.2561, -0.2395, -0.2231, -0.2071, -0.1914, -0.1759, -0.1609, -0.1462, -0.1318, -0.1179, -0.1043, -0.0911, -0.0784, -0.0661, -0.0542, -0.0426, -0.0316, -0.0209, -0.0107, -0.0008, 0.0085 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-17T16:39:00+00:00", "window": { "startAt": "2026-09-16T16:39:00+00:00", "endAt": "2026-09-17T16:39:00+00:00", "endExclusive": true }, "headline": "Ether options reset lower as one-week volatility trails realised swings", "standfirst": "Ether one-week ATM IV fell 8.62 volatility points to 44.54% during the 24-hour observation window, the sharpest standard-tenor move in the Ether surface. Ether spot-index return gained 3.03% over the same 24 hours. At the cutoff, Ether one-week ATM IV was 9.40 volatility points below seven-day realised volatility of 53.94%; separately, Ether two-week BF25 fell 1.34 volatility points to 2.55%, marking substantial convexity compression.", "days": [ { "reportDate": "2026-09-17", "headline": "Ether volatility and convexity reset", "summary": "Ether one-week ATM IV declined sharply, while two-week BF25 recorded exceptional compression.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Ether-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Ether options reset lower as one-week volatility trails realised swings", "standfirst": "Ether one-week ATM IV fell 8.62 volatility points to 44.54% during the 24-hour observation window, the sharpest standard-tenor move in the Ether surface. Ether spot-index return gained 3.03% over the same 24 hours. At the cutoff, Ether one-week ATM IV was 9.40 volatility points below seven-day realised volatility of 53.94%; separately, Ether two-week BF25 fell 1.34 volatility points to 2.55%, marking substantial convexity compression.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-minus-SPX realised-volatility spread was 31.95 points, at the 16.4 percentile across 232 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 31.95 points, at the 16.4 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.91, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 33.20000091552734, "ivRatio": 2.874647240644729, "cryptoRealisedVol20d": 40.83619487651933, "spxRealisedVol20": 8.886887262377604, "rvSpread": 31.949307614141723, "rvRatio": 4.595106663431892, "rvSpreadPercentile": 16.379310344827587, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 39.224137931034484, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.17833654095077128, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2723487336017117, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }