{ "schemaVersion": 3, "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:19:05+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "sourceSnapshots": { "current": { "id": 446144, "timestamp": "2026-09-22T18:18:00+00:00" }, "previous": { "id": 436219, "timestamp": "2026-09-21T18:37:00+00:00" } }, "windowHours": 23.68, "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.0512515, "previousObjective": 0.10724749, "currentLiveError": 5.83025487, "previousLiveError": 33027.17149325 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "26SEP26" ], "removedExpiries": [ "22SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s three-month convexity premium posts an exceptional decline", "executiveSummary": "Ether three-month BF25 fell 0.39 volatility points to 2.96%, while front-end ATM IV averaged 48.97%, down 1.60 points. The long-end ATM IV average also declined 1.05 points to 54.12%.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "No qualifying news context was retained for Ether options.", "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 decreased, averaging -1.60 volatility points to 48.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.05 volatility points to 54.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.75 volatility points to 0.66% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.18 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": 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in-window item was both materially relevant to ETH options and sufficiently supported for context; the Trueo migration items are routine ecosystem news.", "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 fell 3.02 volatility points to 48.25%, a routine move at the 60th percentile among 35 comparable historical observations. Front-end ATM IV averaged 48.97%, -1.60 points from the prior snapshot, while the long end averaged 54.12%, -1.05 points. 2W RR25 moved 1.21 volatility points toward puts to 0.67%, leaving calls richer than puts. 3M BF25 fell 0.39 volatility points to 2.96%. The nearest eligible forward, 25SEP26, rose $5.50 (+0.20%) to $2,757.46. 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 decreased, averaging -1.60 volatility points to 48.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.05 volatility points to 54.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.75 volatility points to 0.66% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.18 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -3.02 volatility points at 1W, to 48.25%.", "tenor": "1W", "value": -3.02 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.26, "rr25Change": -0.75, "bf25Change": -0.18, "largestAtmMove": { "tenor": "1W", "current": 48.25, "previous": 51.27, "change": -3.02, "historicalSignificance": { "absoluteMove": 3.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 } }, "frontEndAverageAtm": { "current": 48.97, "previous": 50.56, "change": -1.6 }, "longEndAverageAtm": { "current": 54.12, "previous": 55.17, "change": -1.05 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 0.67, "previous": 1.88, "change": -1.21, "historicalSignificance": { "absoluteMove": 1.21, "movePercentile30d": 60.0, "movePercentileFullHistory": 62.9, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 62.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 2.96, "previous": 3.35, "change": -0.39, "historicalSignificance": { "absoluteMove": 0.39, "movePercentile30d": 100.0, "movePercentileFullHistory": 97.1, "currentLevelPercentileFullHistory": 34.2, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 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-0.7768, -0.7695, -0.7628, -0.757, -0.7523, -0.7488, -0.7467, -0.746, -0.7469, -0.7496, -0.7543, -0.7607, -0.7691, -0.7796, -0.7921, -0.8067, -0.8233, -0.8419, -0.8626, -0.8852, -0.9097, -0.9361, -0.9642, -0.9942, -1.0257, -1.0588, -1.0935 ] }, { "label": "25DEC26", "values": [ -0.5722, -0.5435, -0.5169, -0.4923, -0.4699, -0.4497, -0.4318, -0.416, -0.4024, -0.3912, -0.3823, -0.3756, -0.3712, -0.3689, -0.369, -0.3712, -0.3756, -0.3821, -0.3906, -0.401, -0.4135, -0.4278, -0.4439, -0.4617, -0.4812, -0.5022, -0.5247, -0.5486, -0.5738, -0.6003, -0.6279, -0.6566, -0.6863, -0.717, -0.7486, -0.7808, -0.8138, -0.8475, -0.8818, -0.9166, -0.9519 ] }, { "label": "26MAR27", "values": [ -1.061, -1.0686, -1.0749, -1.08, -1.084, -1.0869, -1.0889, -1.0898, -1.09, -1.0894, -1.0882, -1.0864, -1.0842, -1.0815, -1.0785, -1.0753, -1.0719, -1.0686, -1.0652, -1.0618, -1.0586, -1.0556, -1.0529, -1.0504, -1.0483, -1.0467, -1.0454, -1.0446, -1.0443, -1.0446, -1.0454, -1.0467, -1.0486, -1.0511, -1.054, -1.0577, -1.0619, -1.0666, -1.072, -1.0779, -1.0843 ] }, { "label": "25JUN27", "values": [ -0.243, -0.2438, -0.2445, -0.2452, -0.246, -0.2467, -0.2474, -0.2483, -0.2492, -0.2501, -0.2513, -0.2525, -0.254, -0.2556, -0.2574, -0.2595, -0.2618, -0.2644, -0.2673, -0.2704, -0.2738, -0.2775, -0.2817, -0.286, -0.2908, -0.2958, -0.3012, -0.307, -0.3132, -0.3196, -0.3264, -0.3337, -0.3412, -0.3491, -0.3573, -0.3659, -0.3748, -0.384, -0.3936, -0.4035, -0.4137 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-22T18:18:00+00:00", "window": { "startAt": "2026-09-21T18:37:00+00:00", "endAt": "2026-09-22T18:18:00+00:00", "endExclusive": true }, "headline": "Ether options shed three-month convexity premium as volatility eases", "standfirst": "Ether three-month BF25 fell 0.39 volatility points to 2.96% during the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. The fall reduced the premium in options away from the centre of the distribution. Ether one-week ATM IV also declined 3.02 points to 48.25%, while the nearest eligible forward proxy, 25SEP26, rose 0.20% to $2,757.46 in Derivasys data.", "days": [ { "reportDate": "2026-09-22", "headline": "Ether convexity premium contracts sharply", "summary": "Ether options repriced lower across maturities, with the three-month convexity premium leading the adjustment.", "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 shed three-month convexity premium as volatility eases", "standfirst": "Ether three-month BF25 fell 0.39 volatility points to 2.96% during the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. The fall reduced the premium in options away from the centre of the distribution. Ether one-week ATM IV also declined 3.02 points to 48.25%, while the nearest eligible forward proxy, 25SEP26, rose 0.20% to $2,757.46 in Derivasys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-21", "asOfTimestamp": "2026-09-21T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted completed common SPX/VIX-family session for ETH as of the collection end. The crypto-minus-SPX realised-volatility spread was 40.84 points, at the 37.0 percentile across 235 prior observations. The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 40.84 points, at the 37.0 percentile across 235 prior observations.", "The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.15, "vix": 14.869999885559082, "vix9d": 13.140000343322754, "vix3m": 18.079999923706055, "ivSpread": 36.28000011444092, "ivRatio": 3.439811727885354, "cryptoRealisedVol20d": 51.500486048206575, "spxRealisedVol20": 10.66022461111303, "rvSpread": 40.840261437093545, "rvRatio": 4.831088267550999, "rvSpreadPercentile": 37.02127659574468, "rvSpreadPercentileSampleCount": 235, "rvRatioPercentile": 42.97872340425532, "rvRatioPercentileSampleCount": 235, "returnCorrelation30": 0.2764114461104352, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2642138635064833, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys cross-asset context; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }