{ "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:43:18+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436254, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427788, "timestamp": "2026-09-20T18:42:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "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 changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical ETH index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.09874496, "previousObjective": 0.26668934, "currentLiveError": 26.52856123, "previousLiveError": 133.20186868 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether one-month skew becomes more call-rich", "executiveSummary": "Ether one-month RR25 rose 1.22 volatility points to 2.03%, a notable shift toward relatively higher call-side volatility. One-week ATM IV rose 2.65 volatility points to 51.27%, a routine move, while the front-end ATM IV average increased 1.93 volatility points to 50.57%.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "News check: no qualifying in-window context was retained for the Ether options move.", "marketContextSummary": "No retained news item supports an assessment of a driver for the Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.93 volatility points to 50.57% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.45 volatility points to 54.89% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.71% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging 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true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c7007b2d-2313-45ec-9539-92a1b94ef328", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "298cf57d-cb84-4f9b-ae2d-9f29d9a11f12", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "8bdcd0ef-1c5a-4405-90e3-b01be61b547c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "5e829829-7e61-4e10-96e6-5b9a3e19186c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "Bitmine’s reported ETH purchase is routine corporate-treasury coverage with no validated relationship to the options move; other discovered ETH items were commentary or duplicate coverage. No eligible context selected.", "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV rose 2.65 volatility points to 51.27%, a routine move at the 50th percentile among 34 comparable historical observations. Front-end ATM IV averaged 50.57%, +1.93 points from the prior snapshot, while the long end averaged 54.89%, +0.45 points. 1M RR25 moved 1.22 volatility points toward calls to 2.03%, leaving calls richer than puts. 3M BF25 rose 0.22 volatility points to 3.29%. The nearest eligible forward, 24SEP26, rose $114.88 (+4.36%) to $2,750.27. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 86, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.93 volatility points to 50.57% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.45 volatility points to 54.89% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.71% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.10 volatility points to 3.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.65 volatility points at 1W, to 51.27%.", "tenor": "1W", "value": 2.65 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.43, "rr25Change": 0.41, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 51.27, "previous": 48.62, "change": 2.65, "historicalSignificance": { "absoluteMove": 2.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } }, "frontEndAverageAtm": { "current": 50.57, "previous": 48.64, "change": 1.93 }, "longEndAverageAtm": { "current": 54.89, "previous": 54.44, "change": 0.45 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": 2.03, "previous": 0.81, "change": 1.22, "historicalSignificance": { "absoluteMove": 1.22, "movePercentile30d": 73.3, "movePercentileFullHistory": 76.5, "currentLevelPercentileFullHistory": 89.2, "classificationPercentile": 76.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 3.29, "previous": 3.07, "change": 0.22, "historicalSignificance": { "absoluteMove": 0.22, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 83.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } }, "nearestEligibleForwardMove": { "label": "24SEP26", "daysToExpiry": 2.554, "current": 2750.27, "previous": 2635.39, "change": 114.88, "percentChange": 4.36 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.27, "previous": 48.62, "change": 2.65, "percentChange": 5.45 }, "rr25": { "current": 1.97, "previous": 1.48, "change": 0.49, "percentChange": 33.11 }, "bf25": { "current": 3.11, "previous": 2.98, "change": 0.13, "percentChange": 4.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 26.7, "movePercentileFullHistory": 26.5, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 10.0, "movePercentileFullHistory": 11.8, "currentLevelPercentileFullHistory": 64.9, "classificationPercentile": 11.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "2W", "targetExpiry": 1791225720215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.12, "previous": 48.2, "change": 1.92, "percentChange": 3.98 }, "rr25": { "current": 2.05, "previous": 1.69, "change": 0.36, "percentChange": 21.3 }, "bf25": { "current": 3.13, "previous": 3.09, "change": 0.04, "percentChange": 1.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.92, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.7, "currentLevelPercentileFullHistory": 59.5, "classificationPercentile": 64.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 30.0, "movePercentileFullHistory": 35.3, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 35.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 6.7, "movePercentileFullHistory": 8.8, "currentLevelPercentileFullHistory": 70.3, "classificationPercentile": 8.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "1M", "targetExpiry": 1792608120215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.31, "previous": 49.1, "change": 1.21, "percentChange": 2.46 }, "rr25": { "current": 2.03, "previous": 0.81, "change": 1.22, "percentChange": 150.62 }, "bf25": { "current": 2.85, "previous": 2.83, "change": 0.02, "percentChange": 0.71 }, "historicalSignificance": { 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52.54, "change": 0.91, "percentChange": 1.73 }, "rr25": { "current": 0.87, "previous": 0.91, "change": -0.04, "percentChange": -4.4 }, "bf25": { "current": 3.29, "previous": 3.07, "change": 0.22, "percentChange": 7.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.91, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 3.3, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 70.3, "classificationPercentile": 5.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 83.8, "classificationPercentile": 83.3, "label": 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"observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 36.7, "movePercentileFullHistory": 38.2, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 38.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "9M", "targetExpiry": 1813603320215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.68, "previous": 55.57, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 1.8, "previous": 1.96, "change": -0.16, "percentChange": -8.16 }, "bf25": { "current": 2.98, "previous": 2.86, "change": 0.12, "percentChange": 4.2 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": 30.0, "movePercentileFullHistory": 32.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 32.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, 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-0.0948, -0.0279, 0.0415, 0.1133, 0.1874, 0.2636, 0.3419, 0.422, 0.5037, 0.5869, 0.6712, 0.7563, 0.8419, 0.9277, 1.0135, 1.0989, 1.1836, 1.2671, 1.3494, 1.4301, 1.509, 1.5857, 1.6603, 1.7324, 1.8019, 1.8688, 1.9329, 1.9941, 2.0525, 2.108, 2.1608, 2.2106, 2.2578, 2.3022, 2.344, 2.3832, 2.4199 ] }, { "label": "27NOV26", "values": [ 0.8295, 0.8713, 0.9093, 0.9436, 0.9741, 1.0007, 1.0236, 1.0428, 1.0584, 1.0703, 1.0789, 1.0841, 1.0861, 1.0852, 1.0814, 1.075, 1.0661, 1.0551, 1.042, 1.0272, 1.0107, 0.993, 0.9743, 0.9546, 0.9343, 0.9135, 0.8924, 0.8713, 0.8502, 0.8292, 0.8087, 0.7886, 0.7691, 0.7502, 0.7321, 0.7147, 0.6981, 0.6824, 0.6675, 0.6536, 0.6406 ] }, { "label": "25DEC26", "values": [ 1.1614, 1.1442, 1.1267, 1.1089, 1.0912, 1.0735, 1.056, 1.0388, 1.0219, 1.0055, 0.9898, 0.9747, 0.9604, 0.9471, 0.9346, 0.9232, 0.9128, 0.9037, 0.8956, 0.8888, 0.8833, 0.879, 0.8759, 0.8741, 0.8735, 0.874, 0.8758, 0.8789, 0.8828, 0.8879, 0.8941, 0.9011, 0.9091, 0.9178, 0.9274, 0.9376, 0.9484, 0.96, 0.972, 0.9845, 0.9974 ] }, { "label": "26MAR27", "values": [ 0.5338, 0.5194, 0.5062, 0.4941, 0.4832, 0.4733, 0.4645, 0.4567, 0.4498, 0.4438, 0.4386, 0.4343, 0.4306, 0.4278, 0.4255, 0.4237, 0.4224, 0.4217, 0.4213, 0.4213, 0.4217, 0.4222, 0.4231, 0.4241, 0.4252, 0.4265, 0.4278, 0.4292, 0.4306, 0.432, 0.4335, 0.4349, 0.4362, 0.4373, 0.4385, 0.4395, 0.4404, 0.4412, 0.4419, 0.4424, 0.4428 ] }, { "label": "25JUN27", "values": [ 0.2927, 0.2839, 0.2748, 0.2658, 0.2566, 0.2474, 0.2383, 0.2292, 0.2201, 0.2112, 0.2024, 0.1937, 0.1853, 0.177, 0.1689, 0.1611, 0.1534, 0.1461, 0.1391, 0.1323, 0.1258, 0.1196, 0.1138, 0.1082, 0.1029, 0.098, 0.0934, 0.0892, 0.0852, 0.0816, 0.0783, 0.0754, 0.0727, 0.0703, 0.0682, 0.0665, 0.065, 0.0638, 0.0629, 0.0623, 0.062 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Ether options turn more call-rich at the one-month tenor", "standfirst": "Ether one-month RR25 rose 1.22 volatility points to 2.03% over the observation window, making call-side volatility relatively richer than put-side volatility. Derivasys data show the one-week ATM IV increase was more routine: one-week ATM IV rose 2.65 volatility points to 51.27%. The 24SEP26 Ether forward-proxy price rose 4.36% to $2,750.27, while long-end ATM IV changed only modestly.", "days": [ { "reportDate": "2026-09-21", "headline": "Ether skew shifts toward calls", "summary": "Ether one-month RR25 became more call-rich while one-week ATM IV rose routinely.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options turn more call-rich at the one-month tenor", "standfirst": "Ether one-month RR25 rose 1.22 volatility points to 2.03% over the observation window, making call-side volatility relatively richer than put-side volatility. Derivasys data show the one-week ATM IV increase was more routine: one-week ATM IV rose 2.65 volatility points to 51.27%. The 24SEP26 Ether forward-proxy price rose 4.36% to $2,750.27, while long-end ATM IV changed only modestly.", "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 ETH context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }