{ "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:31:12+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426862, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416835, "timestamp": "2026-09-19T16:30:00+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": "2026-09-20T16:30:00+00:00", "spotWindowStart": "2026-09-19T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.03, "rv24hPercent": 41.69, "rv7dPercent": 52.4, "rv30dPercent": 52.12, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.08, "oneWeekIvMinus7dRvPoints": -4.32, "oneWeekIvMinus24hRvPoints": 6.39, "oneWeekIvMinus30dRvPoints": -4.04 }, "fitQuality": { "currentObjective": 0.14844116, "previousObjective": 0.43549541, "currentLiveError": 47.71985298, "previousLiveError": 344.97745824 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether skew softens while realised volatility stays higher", "executiveSummary": "Ether one-week RR25 fell 1.99 volatility points to 0.82%, reducing but preserving the relative richness of call-side volatility. One-week implied volatility remained below the seven-day realised-volatility reading at the cutoff.", "evidenceIds": [ "rr25", "realised-vol" ], "newsSummary": "The Block reported a $433 million Friday net inflow for Bitcoin ETFs and said Ether funds snapped a four-week inflow streak.", "marketContextSummary": "The fund-flow report is relevant context for Ether, but it does not demonstrate an explanation for the options-surface change.", "marketContext": [ { "title": "Fund-flow report and Ether skew", "explanation": "The report covers Ether funds within the observation window, but no measured ETH-specific reaction establishes a direct link to the one-week RR25 decline.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 48.08%, 4.32 volatility points below seven-day realised volatility of 52.40%; 24-hour realised volatility was 41.69% and 30-day realised volatility was 52.12%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 47.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.23 volatility points to 0.93% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.56 volatility points at 2W, to 47.36%.", "tenor": "2W", "value": -0.56 } ] }, 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"provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 238, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Block\u2019s in-window ETF-flow report explicitly covers ether funds and its named media source meets the selection requirements. No measured ETH-specific reaction supports a causal claim, so it is context rather than a possible driver.", "eventsSelected": 1 }, "items": [ { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" } ], "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday\u2019s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 1.99 volatility points toward puts to 0.82%, leaving calls richer than puts; this was a routine move at the 67th percentile among 33 comparable historical observations. At the cutoff, realised volatility measured 41.69% over 24 hours, 52.40% over seven days and 52.12% over 30 days. Front-end ATM IV averaged 47.97%, -0.33 points from the prior snapshot, while the long end averaged 54.47%, +0.24 points. 2W ATM IV fell 0.56 volatility points to 47.36%. 6M BF25 rose 0.17 volatility points to 3.32%. The nearest eligible forward, 23SEP26, fell $28.81 (-1.09%) to $2,620.86. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 48.08%, 4.32 volatility points below seven-day realised volatility of 52.40%; 24-hour realised volatility was 41.69% and 30-day realised volatility was 52.12%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 47.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.23 volatility points to 0.93% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.56 volatility points at 2W, to 47.36%.", "tenor": "2W", "value": -0.56 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.2, "rr25Change": -1.23, "bf25Change": -0.01, "largestAtmMove": { "tenor": "2W", "current": 47.36, "previous": 47.92, "change": -0.56, "historicalSignificance": { "absoluteMove": 0.56, "movePercentile30d": 17.2, "movePercentileFullHistory": 24.2, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 24.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } }, "frontEndAverageAtm": { "current": 47.97, "previous": 48.31, "change": -0.33 }, "longEndAverageAtm": { "current": 54.47, "previous": 54.23, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.82, "previous": 2.81, "change": -1.99, "historicalSignificance": { "absoluteMove": 1.99, "movePercentile30d": 65.5, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 66.7, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "6M", "current": 3.32, "previous": 3.15, "change": 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Ether two-week ATM IV fell 0.56 points to 47.36%, and Ether\u2019s 24-hour spot-index return was -1.03%. Derivasys data show Ether one-week ATM IV at 48.08%, 4.32 points below seven-day realised volatility of 52.40%.", "days": [ { "reportDate": "2026-09-20", "headline": "Ether call premium narrows sharply", "summary": "Ether one-week RR25 moved toward puts while front-end implied volatility eased across short maturities.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "The Block reported Bitcoin ETF inflows and said Ether funds ended a four-week inflow streak.", "events": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options lose call premium as one-week skew narrows sharply", "standfirst": "Ether one-week RR25 fell 1.99 volatility points to 0.82% at the 16:30 UTC cutoff, sharply narrowing call-side volatility\u2019s premium over put-side volatility without reversing it. Ether two-week ATM IV fell 0.56 points to 47.36%, and Ether\u2019s 24-hour spot-index return was -1.03%. Derivasys data show Ether one-week ATM IV at 48.08%, 4.32 points below seven-day realised volatility of 52.40%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-minus-SPX realised-volatility spread was 41.25 points, at the 37.2 percentile across 234 prior observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 41.25 points, at the 37.2 percentile across 234 prior observations." ], "metrics": { "cryptoAtmIv30d": 48.5, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 33.6899995803833, "ivRatio": 3.274814221865852, "cryptoRealisedVol20d": 50.629902701660036, "spxRealisedVol20": 9.376313403524426, "rvSpread": 41.25358929813561, "rvRatio": 5.399766467130776, "rvSpreadPercentile": 37.17948717948718, "rvSpreadPercentileSampleCount": 234, "rvRatioPercentile": 56.41025641025641, "rvRatioPercentileSampleCount": 234, "returnCorrelation30": 0.19609110519225115, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2305227070319435, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }