{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-08-31", "generatedAt": "2026-08-31T21:03:18+00:00", "currentSnapshotAt": "2026-08-31T20:58:00+00:00", "previousSnapshotAt": "2026-08-30T20:58:00+00:00", "headline": "Major-coin options diverge as SOL volatility compresses", "standfirst": "The major-coin composite masked a sharp divergence. BTC and ETH front-end implied volatility rose modestly, while SOL’s front end compressed materially and pulled the equal-weight average lower. News during the window ranged from changing rate expectations to an ETH treasury update and reported SOL supply changes. The available timed reactions are partial and observational, leaving no supported common catalyst for the cross-asset surface divergence.", "marketSummary": "The equal-weight major-coin ATM IV measure fell 0.69 points, dominated by SOL’s 5.10-point decline in 1W ATM IV despite firmer BTC and ETH front ends.", "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-08-31", "generatedAt": "2026-08-31T21:02:48+00:00", "currentSnapshotAt": "2026-08-31T20:58:00+00:00", "previousSnapshotAt": "2026-08-30T20:58:00+00:00", "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC 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-BTC 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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "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 BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 13, "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": "2026-08-31T20:58:00+00:00", "spotMove24hPercent": 0.31, "rv24hPercent": 42.01, "rv7dPercent": 38.01, "rv30dPercent": 36.11, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.67, "oneWeekIvMinus7dRvPoints": -3.34, "oneWeekIvMinus24hRvPoints": -7.34, "oneWeekIvMinus30dRvPoints": -1.44 }, "fitQuality": { "currentObjective": 0.07899634, "previousObjective": 0.10784512, "currentLiveError": 107.28448591, "previousLiveError": 78.59868059 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [], "removedExpiries": [ "31AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "BTC front-end IV rises while call-side skew strengthens", "executiveSummary": "BTC’s principal surface move was a 1.11-point rise in 1W ATM IV to 34.67%, with front-end IV averaging 35.01%, up 0.72 points.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25", "realised-vol" ], "newsSummary": "The news flow included a repricing of September rate expectations, reporting on Iran-related market moves, and a digest covering Solana supply changes and Bitcoin security work.", "marketContextSummary": "The collected news coincided with modest and mixed timed BTC surface reactions, but the available observations do not identify a direct explanation for the end-of-window IV and skew repricing.", "marketContext": [ { "title": "Rate-expectations report and BTC surface", "explanation": "Following the report, BTC rose 0.29% over one hour while ATM IV was 0.07 points lower; the partial reaction window and low causal confidence do not support attributing the later front-end rise to this item.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm" ], "newsEvidenceIds": [ "544298e4-105a-4ca2-85f7-e10c84d42106" ] }, { "title": "Iran report and BTC surface", "explanation": "Timed BTC IV and skew changes around the Iran report were small and mixed, while the event-level assessment remains observational. No direct link to the closing call-side skew shift is established.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "70ae4dd2-178c-43cc-a5fc-400a97318c4d" ] } ], "newsEvidenceIds": [ "544298e4-105a-4ca2-85f7-e10c84d42106", "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 34.67%, 3.34 volatility points below seven-day realised volatility of 38.01%; 24-hour realised volatility was 42.01% and 30-day realised volatility was 36.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.72 volatility points to 35.01% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.06 volatility points to 41.16% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.69 volatility points to 0.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.11 volatility points at 1W, to 34.67%.", "tenor": "1W", "value": 1.11 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 3, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 2 }, "items": [ { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" } ], "events": [ { "event_cluster_id": "market-event-8f8301f676d0", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "primary_article": { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-d382a0f91b0b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "primary_article": { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-8f8301f676d0", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "primary_article": { "id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00", "summary": "CoinDesk reported that Bitcoin showed little immediate reaction after US strikes on Iran, while oil rose and stocks fell.", "matchedTerms": [ "BTC", "Bitcoin", "Iran", "United States" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "canonicalEventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "reactionHorizon": "4h", "marketReaction": { "event_id": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "asset": "BTC", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T08:29:10Z", "spot_return_5m": -0.034529, "spot_return_1h": 0.6259, "spot_return_4h": 0.747473, "spot_return_24h": null, "atm_iv_change_5m": 0.03, "atm_iv_change_1h": -0.04, "atm_iv_change_4h": -0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.1, "rr25_change_4h": 0.14, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": 0.06, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 32.12512567681707, "realised_vol_post_5m": 32.140994614916195, "realised_vol_post_1h": 33.121227702001796, "realised_vol_post_4h": 34.49984326369722, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.75%, ATM IV -0.02 points and RR25 +0.14 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8f8301f676d0" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-d382a0f91b0b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "primary_article": { "id": "544298e4-105a-4ca2-85f7-e10c84d42106", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00", "summary": "Polymarket priced a quarter-point September rate increase at 55.5% after Kevin Warsh's Jackson Hole speech, versus 28% on Friday afternoon. Bitcoin was down 0.7% on the day in the report source.", "matchedTerms": [ "BTC", "Bitcoin", "Federal Reserve", "Kevin Warsh", "Polymarket", "stablecoins" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "canonicalEventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "reactionHorizon": "4h", "marketReaction": { "event_id": "544298e4-105a-4ca2-85f7-e10c84d42106", "asset": "BTC", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:43:02Z", "spot_return_5m": 0.037153, "spot_return_1h": 0.285516, "spot_return_4h": 0.26851, "spot_return_24h": null, "atm_iv_change_5m": -0.02, "atm_iv_change_1h": -0.07, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.03, "rr25_change_1h": -0.07, "rr25_change_4h": 0.12, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.01, "bf25_change_4h": 0.04, "bf25_change_24h": null, "realised_vol_pre": 41.470204022660056, "realised_vol_post_5m": 41.447184695005134, "realised_vol_post_1h": 41.671444298134766, "realised_vol_post_4h": 41.9417848487455, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD", "ATM IV 1W: up 1.11 points to 34.67%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: +194.48 USD (+0.25%) to 78871.76 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.27%, ATM IV +0.03 points and RR25 +0.12 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-d382a0f91b0b" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV rose 1.11 volatility points to 34.67%, a routine move at the 43rd percentile. At the cutoff, realised volatility measured 42.01% over 24 hours, 38.01% over seven days and 36.11% over 30 days. Front-end ATM IV averaged 35.01%, +0.72 points from the prior snapshot, while the long end averaged 41.16%, +0.05 points. The 1Y-minus-1W ATM slope flattened 1.06 points to 7.61 points. 2W RR25 moved 1.06 volatility points toward calls to 0.71%, leaving calls richer than puts. 1M BF25 rose 0.16 volatility points to 2.25%. The nearest eligible forward, 3SEP26, rose $194.48 (+0.25%) to $78,871.76. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 111, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 34.67%, 3.34 volatility points below seven-day realised volatility of 38.01%; 24-hour realised volatility was 42.01% and 30-day realised volatility was 36.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.72 volatility points to 35.01% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.06 volatility points to 41.16% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.69 volatility points to 0.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.02 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.11 volatility points at 1W, to 34.67%.", "tenor": "1W", "value": 1.11 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.43, "rr25Change": 0.69, "bf25Change": 0.02, "largestAtmMove": { "tenor": "1W", "current": 34.67, "previous": 33.56, "change": 1.11, "historicalSignificance": { "absoluteMove": 1.11, "movePercentile30d": 43.3, "movePercentileFullHistory": 38.8, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } }, "frontEndAverageAtm": { "current": 35.01, "previous": 34.29, "change": 0.72 }, "longEndAverageAtm": { "current": 41.16, "previous": 41.11, "change": 0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": 7.61, "previous": 8.67, "change": -1.06 }, "largestRr25Move": { "tenor": "2W", "current": 0.71, "previous": -0.35, "change": 1.06, "historicalSignificance": { "absoluteMove": 1.06, "movePercentile30d": 80.0, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.25, "previous": 2.09, "change": 0.16, "historicalSignificance": { "absoluteMove": 0.16, "movePercentile30d": 80.0, "movePercentileFullHistory": 72.1, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } }, "nearestEligibleForwardMove": { "label": "3SEP26", "daysToExpiry": 2.46, "current": 78871.76, "previous": 78677.28, "change": 194.48, "percentChange": 0.25 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788814680415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.67, "previous": 33.56, "change": 1.11, "percentChange": 3.31 }, "rr25": { "current": 1.13, "previous": 0.17, "change": 0.96, "percentChange": 564.71 }, "bf25": { "current": 1.81, "previous": 1.89, "change": -0.08, "percentChange": -4.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.11, "movePercentile30d": 43.3, "movePercentileFullHistory": 38.8, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.96, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.3, "currentLevelPercentileFullHistory": 96.2, "classificationPercentile": 64.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.5, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "2W", "targetExpiry": 1789419480415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.96, "previous": 34.33, "change": 0.63, "percentChange": 1.84 }, "rr25": { "current": 0.71, "previous": -0.35, "change": 1.06, "percentChange": 302.86 }, "bf25": { "current": 1.89, "previous": 1.91, "change": -0.02, "percentChange": -1.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.63, "movePercentile30d": 36.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 39.2, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 1.06, "movePercentile30d": 80.0, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 10.0, "movePercentileFullHistory": 7.8, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "1M", "targetExpiry": 1790801880415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.39, "previous": 34.98, "change": 0.41, "percentChange": 1.17 }, "rr25": { "current": -0.13, "previous": -1.19, "change": 1.06, "percentChange": 89.08 }, "bf25": { "current": 2.25, "previous": 2.09, "change": 0.16, "percentChange": 7.66 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.41, "movePercentile30d": 43.3, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 1.06, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.2, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 80.0, "movePercentileFullHistory": 72.1, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "3M", "targetExpiry": 1796072280415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.02, "previous": 37.69, "change": 0.33, "percentChange": 0.88 }, "rr25": { "current": -0.35, "previous": -0.83, "change": 0.48, "percentChange": 57.83 }, "bf25": { "current": 2.21, "previous": 2.21, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.33, "movePercentile30d": 56.7, "movePercentileFullHistory": 53.5, "currentLevelPercentileFullHistory": 33.8, "classificationPercentile": 56.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 64.3, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.1, "currentLevelPercentileFullHistory": 28.5, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "6M", "targetExpiry": 1803934680415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.05, "previous": 39.99, "change": 0.06, "percentChange": 0.15 }, "rr25": { "current": -0.2, "previous": -0.68, "change": 0.48, "percentChange": 70.59 }, "bf25": { "current": 2.54, "previous": 2.52, "change": 0.02, "percentChange": 0.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 13.3, "movePercentileFullHistory": 10.1, "currentLevelPercentileFullHistory": 10.8, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.3, "currentLevelPercentileFullHistory": 96.9, "classificationPercentile": 78.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 16.7, "movePercentileFullHistory": 12.4, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "9M", "targetExpiry": 1811797080415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.43, "previous": 41.38, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": 0.01, "previous": -0.23, "change": 0.24, "percentChange": 104.35 }, "bf25": { "current": 2.75, "previous": 2.73, "change": 0.02, "percentChange": 0.73 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 23.3, "movePercentileFullHistory": 17.8, "currentLevelPercentileFullHistory": 14.6, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.24, "movePercentile30d": 66.7, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 10.1, "currentLevelPercentileFullHistory": 76.9, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } }, { "tenor": "1Y", "targetExpiry": 1819745880415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.28, "previous": 42.23, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": 0.14, "previous": 0.01, "change": 0.13, "percentChange": 1300.0 }, "bf25": { "current": 2.88, "previous": 2.85, "change": 0.03, "percentChange": 1.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 26.7, "movePercentileFullHistory": 20.2, "currentLevelPercentileFullHistory": 16.9, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.13, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.6, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 42.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.7, "currentLevelPercentileFullHistory": 85.4, "classificationPercentile": 21.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } } ], "listedExpiries": [ { "label": "1SEP26", "expiry": 1788249600000, "tauYears": 0.00125953, "daysToExpiry": 0.46, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 78852.15, "previous": 78651.86, "change": 200.29, "percentChange": 0.25 }, "atmIv": { "current": 33.9, "previous": 35.37, "change": -1.47, "percentChange": -4.16 }, "rr25": { "current": -1.97, "previous": 0.18, "change": -2.15, "percentChange": -1194.44 }, "bf25": { "current": 0.97, "previous": 1.44, "change": -0.47, "percentChange": -32.64 }, "svi": { "a": { "current": -0.0526, 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-0.0598, -0.0589, -0.0579, -0.0565, -0.0548, -0.0528, -0.0505, -0.048, -0.0452, -0.042, -0.0385, -0.0349, -0.0309, -0.0266, -0.0221, -0.0173, -0.0124, -0.0072, -0.0017, 0.0039, 0.0097, 0.0156, 0.0217, 0.028, 0.0343, 0.0407, 0.0471, 0.0536, 0.0601, 0.0666, 0.0731, 0.0795, 0.0859, 0.0921, 0.0983, 0.1042, 0.1101, 0.1158, 0.1211, 0.1264, 0.1315 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "headline": "BTC front-end volatility rises as skew turns call-rich", "standfirst": "BTC’s front end firmed into the 20:58 UTC cutoff, while the long end was largely unchanged and the curve flattened. The largest standard-tenor move was a routine 1W ATM IV increase, but 2W RR25 moved notably toward relative call-side volatility. Collected news supplied contemporaneous macro and crypto developments, yet the available reaction evidence does not establish a direct explanation for the closing repricing.", "days": [ { "reportDate": "2026-08-31", "headline": "BTC front end firms into cutoff", "summary": "One-week ATM IV increased while two-week skew shifted toward relative call-side volatility.", "macro": { "summary": "Rate expectations and Iran developments were reported during the window.", "events": [ { "eventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00" }, { "eventId": "70ae4dd2-178c-43cc-a5fc-400a97318c4d", "title": "Bitcoin barely blinks as U.S. hits Iran, sending oil higher and stocks lower", "publisher": "CoinDesk", "url": "https://www.coindesk.com/markets/2026/08/31/bitcoin-barely-blinks-as-u-s-hits-iran-sending-oil-higher-and-stocks-lower", "publishedAt": "2026-08-31T04:29:10+00:00" } ] }, "crypto": { "summary": "A digest also covered Solana supply and Bitcoin security developments.", "events": [ { "eventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00" } ] } } ] }, "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-08-28", "asOfTimestamp": "2026-08-28T20:00:00+00:00", "summary": "Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.", "metrics": { "cryptoAtmIv30d": 36.73, "vix": 14.430000305175781, "vix9d": 11.22, "vix3m": 17.48, "ivSpread": 22.299999694824216, "ivRatio": 2.5453914915598173, "cryptoRealisedVol20d": 45.917265399148235, "spxRealisedVol20": 10.580898229376473, "rvSpread": 35.33636716977176, "rvRatio": 4.339637751326724, "rvSpreadPercentile": 74.88789237668162, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 82.95964125560538, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.10386571743681577, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.37621417580062655, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted common US session. BTC realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788814680415, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.67, "previous": 33.56, "change": 1.11, "percentChange": 3.31 }, "rr25": { "current": 1.13, "previous": 0.17, "change": 0.96, "percentChange": 564.71 }, "bf25": { "current": 1.81, "previous": 1.89, "change": -0.08, "percentChange": -4.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.11, "movePercentile30d": 43.3, "movePercentileFullHistory": 38.8, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "rr25": { "absoluteMove": 0.96, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.3, "currentLevelPercentileFullHistory": 96.2, "classificationPercentile": 64.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.5, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 129, "levelObservationsFullHistory": 130 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-08-31", "generatedAt": "2026-08-31T21:03:05+00:00", "currentSnapshotAt": "2026-08-31T20:58:00+00:00", "previousSnapshotAt": "2026-08-30T20:58:00+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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "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": 13, "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": "2026-08-31T20:58:00+00:00", "spotMove24hPercent": -0.75, "rv24hPercent": 56.0, "rv7dPercent": 45.71, "rv30dPercent": 49.72, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 46.87, "oneWeekIvMinus7dRvPoints": 1.16, "oneWeekIvMinus24hRvPoints": -9.13, "oneWeekIvMinus30dRvPoints": -2.85 }, "fitQuality": { "currentObjective": 0.08371741, "previousObjective": 0.04037688, "currentLiveError": 34.61702377, "previousLiveError": 10.82423746 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 13, "comparedListedExpiries": 12, "addedExpiries": [], "removedExpiries": [ "31AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "ETH front-end IV gains as longer maturities soften", "executiveSummary": "ETH’s main surface development was a 0.74-point increase in 2W ATM IV to 47.90%, while the long end averaged 0.22 points lower.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "back-atm", "rr25", "realised-vol" ], "newsSummary": "The retained ETH news item was BitMine’s update on its staked ETH balance and treasury growth.", "marketContextSummary": "The treasury update was followed by only small timed ETH IV changes and a low-confidence observational reaction assessment; it does not directly explain the final front-end firming and long-end easing.", "marketContext": [ { "title": "BitMine update and ETH surface", "explanation": "ETH ATM IV rose 0.01 points over one hour and 0.07 points over four hours after the report, while 3M RR25 increased 0.19 points over four hours. Those associations are insufficient to explain the closing surface move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "rr25" ], "newsEvidenceIds": [ "a9d63129-ad4f-4c9f-8466-ae11f204c086" ] } ], "newsEvidenceIds": [ "a9d63129-ad4f-4c9f-8466-ae11f204c086" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 46.87%, 1.16 volatility points above seven-day realised volatility of 45.71%; 24-hour realised volatility was 56.00% and 30-day realised volatility was 49.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.57 volatility points to 48.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.22 volatility points to 55.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.22 volatility points to 0.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.19 volatility points to 2.55% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.74 volatility points at 2W, to 47.90%.", "tenor": "2W", "value": 0.74 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 4, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "BitMine’s Staked ETH Holds at 5.07 Million as Treasury Grows", "url": "https://thedefiant.io/news/tradfi-and-fintech/bitmine-s-staked-eth-holds-at-5-07-million-as-treasury-grows", "publishedAt": "2026-08-31T16:24:16+00:00", "summary": "BitMine's staked ETH balance was reported unchanged over four weekly readings, while the company added 53,501 ETH and reported annualised staking revenue.", "matchedTerms": [ "BitMine", "ETH", "Ethereum" ], "topics": [ "institutional", "institutional_adoption" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "canonicalEventId": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "reactionHorizon": "4h", "marketReaction": { "event_id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "asset": "ETH", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:24:16Z", "spot_return_5m": -0.006087, "spot_return_1h": 0.108349, "spot_return_4h": 0.678908, "spot_return_24h": null, "atm_iv_change_5m": 0.01, "atm_iv_change_1h": 0.01, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.01, "rr25_change_1h": 0.03, "rr25_change_4h": 0.19, "rr25_change_24h": null, "bf25_change_5m": -0.01, "bf25_change_1h": -0.01, "bf25_change_4h": -0.01, "bf25_change_24h": null, "realised_vol_pre": 57.025795809721835, "realised_vol_post_5m": 57.066955825482424, "realised_vol_post_1h": 55.907948595618706, "realised_vol_post_4h": 56.3261343091438, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD", "ATM IV 2W: up 0.74 points to 47.90%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-5eea87d9cdb7" } ], "events": [ { "event_cluster_id": "market-event-5eea87d9cdb7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD", "ATM IV 2W: up 0.74 points to 47.90%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "BitMine’s Staked ETH Holds at 5.07 Million as Treasury Grows", "url": "https://thedefiant.io/news/tradfi-and-fintech/bitmine-s-staked-eth-holds-at-5-07-million-as-treasury-grows", "publishedAt": "2026-08-31T16:24:16+00:00", "summary": "BitMine's staked ETH balance was reported unchanged over four weekly readings, while the company added 53,501 ETH and reported annualised staking revenue.", "matchedTerms": [ "BitMine", "ETH", "Ethereum" ], "topics": [ "institutional", "institutional_adoption" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "canonicalEventId": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "reactionHorizon": "4h", "marketReaction": { "event_id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "asset": "ETH", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:24:16Z", "spot_return_5m": -0.006087, "spot_return_1h": 0.108349, "spot_return_4h": 0.678908, "spot_return_24h": null, "atm_iv_change_5m": 0.01, "atm_iv_change_1h": 0.01, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.01, "rr25_change_1h": 0.03, "rr25_change_4h": 0.19, "rr25_change_24h": null, "bf25_change_5m": -0.01, "bf25_change_1h": -0.01, "bf25_change_4h": -0.01, "bf25_change_24h": null, "realised_vol_pre": 57.025795809721835, "realised_vol_post_5m": 57.066955825482424, "realised_vol_post_1h": 55.907948595618706, "realised_vol_post_4h": 56.3261343091438, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD", "ATM IV 2W: up 0.74 points to 47.90%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-5eea87d9cdb7" }, "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-5eea87d9cdb7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD", "ATM IV 2W: up 0.74 points to 47.90%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "BitMine’s Staked ETH Holds at 5.07 Million as Treasury Grows", "url": "https://thedefiant.io/news/tradfi-and-fintech/bitmine-s-staked-eth-holds-at-5-07-million-as-treasury-grows", "publishedAt": "2026-08-31T16:24:16+00:00", "summary": "BitMine's staked ETH balance was reported unchanged over four weekly readings, while the company added 53,501 ETH and reported annualised staking revenue.", "matchedTerms": [ "BitMine", "ETH", "Ethereum" ], "topics": [ "institutional", "institutional_adoption" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "canonicalEventId": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "reactionHorizon": "4h", "marketReaction": { "event_id": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "asset": "ETH", "calculated_at": "2026-08-31T20:43:14.466025Z", "complete_through": "2026-08-31T20:24:16Z", "spot_return_5m": -0.006087, "spot_return_1h": 0.108349, "spot_return_4h": 0.678908, "spot_return_24h": null, "atm_iv_change_5m": 0.01, "atm_iv_change_1h": 0.01, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.01, "rr25_change_1h": 0.03, "rr25_change_4h": 0.19, "rr25_change_24h": null, "bf25_change_5m": -0.01, "bf25_change_1h": -0.01, "bf25_change_4h": -0.01, "bf25_change_24h": null, "realised_vol_pre": 57.025795809721835, "realised_vol_post_5m": 57.066955825482424, "realised_vol_post_1h": 55.907948595618706, "realised_vol_post_4h": 56.3261343091438, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD", "ATM IV 2W: up 0.74 points to 47.90%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 3SEP26: -20.95 USD (-0.84%) to 2472.81 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.68%, ATM IV +0.07 points and RR25 +0.19 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-5eea87d9cdb7" }, "additional_coverage": [] } ] }, "marketRead": { "text": "2W ATM IV rose 0.74 volatility points to 47.90%, a routine move at the 46th percentile. At the cutoff, realised volatility measured 56.00% over 24 hours, 45.71% over seven days and 49.72% over 30 days. Front-end ATM IV averaged 48.10%, +0.57 points from the prior snapshot, while the long end averaged 55.03%, -0.22 points. The 1Y-minus-1W ATM slope flattened 0.53 points to 9.16 points. 3M RR25 moved 0.68 volatility points toward calls to 0.94%, leaving calls richer than puts. 1W BF25 fell 0.26 volatility points to 2.36%. The nearest eligible forward, 3SEP26, fell $20.95 (-0.84%) to $2,472.81. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 111, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 46.87%, 1.16 volatility points above seven-day realised volatility of 45.71%; 24-hour realised volatility was 56.00% and 30-day realised volatility was 49.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.57 volatility points to 48.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.22 volatility points to 55.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.22 volatility points to 0.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.19 volatility points to 2.55% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.74 volatility points at 2W, to 47.90%.", "tenor": "2W", "value": 0.74 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.12, "rr25Change": 0.22, "bf25Change": -0.19, "largestAtmMove": { "tenor": "2W", "current": 47.9, "previous": 47.16, "change": 0.74, "historicalSignificance": { "absoluteMove": 0.74, "movePercentile30d": 22.2, "movePercentileFullHistory": 46.2, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 46.2, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 } }, "frontEndAverageAtm": { "current": 48.1, "previous": 47.53, "change": 0.57 }, "longEndAverageAtm": { "current": 55.03, "previous": 55.25, "change": -0.22 }, "oneYearMinusOneWeekAtmSlope": { "current": 9.16, "previous": 9.69, "change": -0.53 }, "largestRr25Move": { "tenor": "3M", "current": 0.94, "previous": 0.26, "change": 0.68, "historicalSignificance": { "absoluteMove": 0.68, "movePercentile30d": 55.6, "movePercentileFullHistory": 53.8, "currentLevelPercentileFullHistory": 68.8, "classificationPercentile": 55.6, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.36, "previous": 2.62, "change": -0.26, "historicalSignificance": { "absoluteMove": 0.26, "movePercentile30d": 33.3, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 } }, "nearestEligibleForwardMove": { "label": "3SEP26", "daysToExpiry": 2.46, "current": 2472.81, "previous": 2493.76, "change": -20.95, "percentChange": -0.84 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788814680206, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.87, "previous": 46.33, "change": 0.54, "percentChange": 1.17 }, "rr25": { "current": 1.28, "previous": 1.06, "change": 0.22, "percentChange": 20.75 }, "bf25": { "current": 2.36, "previous": 2.62, "change": -0.26, "percentChange": -9.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.54, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 7.7, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 7.7, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.26, "movePercentile30d": 33.3, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 } } }, { "tenor": "2W", "targetExpiry": 1789419480206, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.9, "previous": 47.16, "change": 0.74, "percentChange": 1.57 }, "rr25": { "current": 1.16, "previous": 1.28, "change": -0.12, "percentChange": -9.38 }, "bf25": { "current": 2.36, "previous": 2.6, "change": -0.24, "percentChange": -9.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.74, "movePercentile30d": 22.2, "movePercentileFullHistory": 46.2, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 46.2, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.12, "movePercentile30d": 0.0, "movePercentileFullHistory": 23.1, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.1, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": 22.2, "movePercentileFullHistory": 23.1, "currentLevelPercentileFullHistory": 18.8, "classificationPercentile": 23.1, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 } } }, { 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The largest standard-tenor movement was a routine 2W increase, and 3M RR25 moved toward relative call-side volatility. A BitMine treasury update was published within the window, but its timed reaction does not demonstrate that it caused the observed end-of-window surface configuration.", "days": [ { "reportDate": "2026-08-31", "headline": "ETH front end rises modestly", "summary": "Two-week ATM IV rose as longer-dated volatility eased and call-side skew strengthened.", "macro": { "summary": "No qualifying macro event was retained for ETH.", "events": [] }, "crypto": { "summary": "BitMine reported an unchanged staked balance and treasury growth.", "events": [ { "eventId": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "title": "BitMine’s Staked ETH Holds at 5.07 Million as Treasury Grows", "publisher": "The Defiant", "url": "https://thedefiant.io/news/tradfi-and-fintech/bitmine-s-staked-eth-holds-at-5-07-million-as-treasury-grows", "publishedAt": "2026-08-31T16:24:16+00:00" } ] } } ] }, "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-08-28", "asOfTimestamp": "2026-08-28T20:00:00+00:00", "summary": "Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.", "metrics": { "cryptoAtmIv30d": 48.81, "vix": 14.430000305175781, "vix9d": 11.22, "vix3m": 17.48, "ivSpread": 34.37999969482422, "ivRatio": 3.3825363110001274, "cryptoRealisedVol20d": 60.969866135641645, "spxRealisedVol20": 10.580898229376473, "rvSpread": 50.38896790626517, "rvRatio": 5.76225806296547, "rvSpreadPercentile": 46.81818181818182, "rvSpreadPercentileSampleCount": 220, "rvRatioPercentile": 62.27272727272727, "rvRatioPercentileSampleCount": 220, "returnCorrelation30": -0.006708887348323387, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.4415705667112447, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted common US session. ETH realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788814680206, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.87, "previous": 46.33, "change": 0.54, "percentChange": 1.17 }, "rr25": { "current": 1.28, "previous": 1.06, "change": 0.22, "percentChange": 20.75 }, "bf25": { "current": 2.36, "previous": 2.62, "change": -0.26, "percentChange": -9.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.54, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 7.7, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 7.7, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 }, "bf25": { "absoluteMove": 0.26, "movePercentile30d": 33.3, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 9, "observationsFullHistory": 13, "levelObservationsFullHistory": 16 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-08-31", "generatedAt": "2026-08-31T21:03:18+00:00", "currentSnapshotAt": "2026-08-31T20:58:00+00:00", "previousSnapshotAt": "2026-08-30T20:58:00+00:00", "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical SOL 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-SOL 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 interpolated independently at 1W, 2W, 1M, 3M, 6M, 9M and 1Y; headline rankings prioritise 1W, 2W, 1M, 3M, 6M and 1Y.", "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 SOL-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/SOL-USDC-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 0, "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": "2026-08-31T20:58:00+00:00", "spotMove24hPercent": -1.08, "rv24hPercent": 67.99, "rv7dPercent": 72.93, "rv30dPercent": 62.68, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 66.67, "oneWeekIvMinus7dRvPoints": -6.26, "oneWeekIvMinus24hRvPoints": -1.32, "oneWeekIvMinus30dRvPoints": 3.99 }, "fitQuality": { "currentObjective": 0.01847771, "previousObjective": 0.01518231, "currentLiveError": 8.00012123, "previousLiveError": 7.08781337 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "2SEP26" ], "removedExpiries": [ "31AUG26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "SOL implied volatility compresses as call-side richness narrows", "executiveSummary": "SOL’s central move was a 5.10-point fall in 1W ATM IV to 66.67%, with front-end ATM IV down 4.51 points on average.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25", "bf25", "realised-vol" ], "newsSummary": "The retained SOL item reported validator agreement to cancel 18.9 million SOL, alongside unrelated Bitcoin-security coverage.", "marketContextSummary": "The report coincided with short-horizon changes in SOL skew and convexity, but pre-event movement was detected and the reaction record is partial. It provides no direct explanation for the closing compression.", "marketContext": [ { "title": "SOL supply report and surface compression", "explanation": "Over four hours after the report, SOL RR25 and BF25 declined 1.97 and 1.39 points respectively, whereas ATM IV was 0.02 points higher. With pre-event movement detected, this association does not establish a cause for the later broad IV decline.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "rr25", "bf25" ], "newsEvidenceIds": [ "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ] } ], "newsEvidenceIds": [ "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 66.67%, 6.26 volatility points below seven-day realised volatility of 72.93%; 24-hour realised volatility was 67.99% and 30-day realised volatility was 62.68%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.51 volatility points to 65.12% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.41 volatility points to 57.86% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.86 volatility points to 3.12% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.46 volatility points to 5.03% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.10 volatility points at 1W, to 66.67%.", "tenor": "1W", "value": -5.1 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00", "summary": "A Cointelegraph digest reported that Solana validators agreed to curb inflation by cancelling 18.9 million SOL; it also covered Bitcoin quantum-defence work.", "matchedTerms": [ "BTC", "Bitcoin", "SOL", "Solana" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "canonicalEventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "reactionHorizon": "4h", "marketReaction": { "event_id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "asset": "SOL", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T03:36:16Z", "spot_return_5m": -0.501425, "spot_return_1h": 0.563381, "spot_return_4h": -0.185081, "spot_return_24h": null, "atm_iv_change_5m": -0.12, "atm_iv_change_1h": 0.07, "atm_iv_change_4h": 0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.13, "rr25_change_1h": -1.33, "rr25_change_4h": -1.97, "rr25_change_24h": null, "bf25_change_5m": 0.11, "bf25_change_1h": -0.49, "bf25_change_4h": -1.39, "bf25_change_24h": null, "realised_vol_pre": 52.479132665073855, "realised_vol_post_5m": 52.79085516237878, "realised_vol_post_1h": 56.84766862516286, "realised_vol_post_4h": 59.09489968652299, "realised_vol_post_24h": null }, "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.10 points to 66.67%", "ATM slope 1Y-minus-1W: +4.87 points to -9.09 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "event_cluster_id": "macro-release-2026-08" } ], "events": [ { "event_cluster_id": "macro-release-2026-08", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.10 points to 66.67%", "ATM slope 1Y-minus-1W: +4.87 points to -9.09 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00", "summary": "A Cointelegraph digest reported that Solana validators agreed to curb inflation by cancelling 18.9 million SOL; it also covered Bitcoin quantum-defence work.", "matchedTerms": [ "BTC", "Bitcoin", "SOL", "Solana" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "canonicalEventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "reactionHorizon": "4h", "marketReaction": { "event_id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "asset": "SOL", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T03:36:16Z", "spot_return_5m": -0.501425, "spot_return_1h": 0.563381, "spot_return_4h": -0.185081, "spot_return_24h": null, "atm_iv_change_5m": -0.12, "atm_iv_change_1h": 0.07, "atm_iv_change_4h": 0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.13, "rr25_change_1h": -1.33, "rr25_change_4h": -1.97, "rr25_change_24h": null, "bf25_change_5m": 0.11, "bf25_change_1h": -0.49, "bf25_change_4h": -1.39, "bf25_change_24h": null, "realised_vol_pre": 52.479132665073855, "realised_vol_post_5m": 52.79085516237878, "realised_vol_post_1h": 56.84766862516286, "realised_vol_post_4h": 59.09489968652299, "realised_vol_post_24h": null }, "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.10 points to 66.67%", "ATM slope 1Y-minus-1W: +4.87 points to -9.09 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "event_cluster_id": "macro-release-2026-08" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "macro-release-2026-08", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.10 points to 66.67%", "ATM slope 1Y-minus-1W: +4.87 points to -9.09 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00", "summary": "A Cointelegraph digest reported that Solana validators agreed to curb inflation by cancelling 18.9 million SOL; it also covered Bitcoin quantum-defence work.", "matchedTerms": [ "BTC", "Bitcoin", "SOL", "Solana" ], "topics": [ "macro", "macro_release" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "canonicalEventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "reactionHorizon": "4h", "marketReaction": { "event_id": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "asset": "SOL", "calculated_at": "2026-08-31T19:30:30.114550Z", "complete_through": "2026-08-31T03:36:16Z", "spot_return_5m": -0.501425, "spot_return_1h": 0.563381, "spot_return_4h": -0.185081, "spot_return_24h": null, "atm_iv_change_5m": -0.12, "atm_iv_change_1h": 0.07, "atm_iv_change_4h": 0.02, "atm_iv_change_24h": null, "rr25_change_5m": 0.13, "rr25_change_1h": -1.33, "rr25_change_4h": -1.97, "rr25_change_24h": null, "bf25_change_5m": 0.11, "bf25_change_1h": -0.49, "bf25_change_4h": -1.39, "bf25_change_24h": null, "realised_vol_pre": 52.479132665073855, "realised_vol_post_5m": 52.79085516237878, "realised_vol_post_1h": 56.84766862516286, "realised_vol_post_4h": 59.09489968652299, "realised_vol_post_24h": null }, "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 5.10 points to 66.67%", "ATM slope 1Y-minus-1W: +4.87 points to -9.09 points" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 5.10 points to 66.67%; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.19%, ATM IV +0.02 points and RR25 -1.97 points; this is a timed association, not proof of causation.", "event_cluster_id": "macro-release-2026-08" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV fell 5.10 volatility points to 66.67%, a routine move at the 67th percentile. At the cutoff, realised volatility measured 67.99% over 24 hours, 72.93% over seven days and 62.68% over 30 days. Front-end ATM IV averaged 65.12%, -4.51 points from the prior snapshot, while the long end averaged 57.86%, -0.41 points. The 1Y-minus-1W ATM slope steepened 4.87 points to -9.09 points. 1W RR25 moved 3.77 volatility points toward puts to 1.11%, leaving calls richer than puts. 2W BF25 fell 1.34 volatility points to 4.51%. The nearest eligible forward, 4SEP26, fell $1.29 (-1.23%) to $103.67. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 111, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.oneYearMinusOneWeekAtmSlope", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 20:58 UTC cutoff, 1W ATM IV was 66.67%, 6.26 volatility points below seven-day realised volatility of 72.93%; 24-hour realised volatility was 67.99% and 30-day realised volatility was 62.68%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.51 volatility points to 65.12% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.41 volatility points to 57.86% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.86 volatility points to 3.12% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.46 volatility points to 5.03% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.10 volatility points at 1W, to 66.67%.", "tenor": "1W", "value": -5.1 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.61, "rr25Change": -1.87, "bf25Change": -0.46, "largestAtmMove": { "tenor": "1W", "current": 66.67, "previous": 71.77, "change": -5.1, "historicalSignificance": { "absoluteMove": 5.1, 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"standfirst": "SOL saw the session’s most pronounced surface move among the major coins: 1W ATM IV fell 5.10 points and front-end IV declined 4.51 points on average. RR25 moved toward relative put-side volatility, while remaining call-rich, and near-term convexity fell. A report on cancelled SOL supply was available in the window, but reaction data are partial and do not establish causation for the broad compression.", "days": [ { "reportDate": "2026-08-31", "headline": "SOL volatility compresses sharply across front", "summary": "One-week implied volatility and skew fell materially while calls remained relatively richer.", "macro": { "summary": "No qualifying macro event was retained for SOL.", "events": [] }, "crypto": { "summary": "A digest reported validator agreement to cancel 18.9 million SOL.", "events": [ { "eventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00" } ] } } ] }, "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-08-28", "asOfTimestamp": "2026-08-28T20:00:00+00:00", "summary": "Latest completed common context available before the report cutoff. Crypto and SPX realised volatility use different annualisation clocks: sqrt(365) and sqrt(252), respectively.", "metrics": { "cryptoAtmIv30d": 67.6, "vix": 14.430000305175781, "vix9d": 11.22, "vix3m": 17.48, "ivSpread": 53.16999969482421, "ivRatio": 4.684684585609682, "cryptoRealisedVol20d": 69.19831465843626, "spxRealisedVol20": 10.580898229376473, "rvSpread": 58.61741642905979, "rvRatio": 6.539928194972733, "rvSpreadPercentile": 45.6221198156682, "rvSpreadPercentileSampleCount": 217, "rvRatioPercentile": 62.672811059907836, "rvRatioPercentileSampleCount": 217, "returnCorrelation30": 0.1827741522154003, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.43280873597783703, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted common US session. SOL realised volatility is annualised on sqrt(365); SPX realised volatility is annualised on sqrt(252). Null IV percentiles are preserved because no eligible prior observations were available." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788814680315, "availability": "available", "unavailableReason": null, "atmIv": { "current": 66.67, "previous": 71.77, "change": -5.1, "percentChange": -7.11 }, "rr25": { "current": 1.11, "previous": 4.88, "change": -3.77, "percentChange": -77.25 }, "bf25": { "current": 4.59, "previous": 5.64, "change": -1.05, "percentChange": -18.62 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.1, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 3, "observationsFullHistory": 3, "levelObservationsFullHistory": 4 }, "rr25": { "absoluteMove": 3.77, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 3, "observationsFullHistory": 3, "levelObservationsFullHistory": 4 }, "bf25": { "absoluteMove": 1.05, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 3, "observationsFullHistory": 3, "levelObservationsFullHistory": 4 } } } } ], "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-08-31T20:58:00+00:00", "window": { "startAt": "2026-08-30T20:58:00+00:00", "endAt": "2026-08-31T20:58:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as SOL volatility compresses", "standfirst": "The major-coin composite masked a sharp divergence. BTC and ETH front-end implied volatility rose modestly, while SOL’s front end compressed materially and pulled the equal-weight average lower. News during the window ranged from changing rate expectations to an ETH treasury update and reported SOL supply changes. The available timed reactions are partial and observational, leaving no supported common catalyst for the cross-asset surface divergence.", "days": [ { "reportDate": "2026-08-31", "headline": "Major-coin surfaces diverge through session", "summary": "BTC and ETH volatility rose modestly while SOL experienced substantial front-end compression.", "macro": { "summary": "Rate-expectations reporting was the retained macro development for major coins.", "events": [ { "eventId": "544298e4-105a-4ca2-85f7-e10c84d42106", "title": "Traders Make a September Rate Increase the Favorite as Bitcoin Holds $78,000", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/traders-make-september-rate-increase-favorite-bitcoin-holds-78000", "publishedAt": "2026-08-31T16:43:02+00:00" } ] }, "crypto": { "summary": "ETH treasury and SOL supply reports added asset-specific news.", "events": [ { "eventId": "a9d63129-ad4f-4c9f-8466-ae11f204c086", "title": "BitMine’s Staked ETH Holds at 5.07 Million as Treasury Grows", "publisher": "The Defiant", "url": "https://thedefiant.io/news/tradfi-and-fintech/bitmine-s-staked-eth-holds-at-5-07-million-as-treasury-grows", "publishedAt": "2026-08-31T16:24:16+00:00" }, { "eventId": "7c6102a7-cb2f-434b-87c6-65aedae9cd0f", "title": "Bitcoin’s new quantum defenses, 18.9M SOL cancelled: Hodler’s Digest", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/magazine/bitcoins-new-quantum-defenses-189m-sol-cancelled-hodlers-digest", "publishedAt": "2026-08-30T23:36:16+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -0.6866666666666666, "rr25Change": -0.32000000000000006, "bf25Change": -0.21 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin IV diverges as SOL leads lower", "executiveSummary": "The equal-weight major-coin ATM IV measure fell 0.69 points, dominated by SOL’s 5.10-point decline in 1W ATM IV despite firmer BTC and ETH front ends.", "evidenceIds": [ "btc-daily", "eth-daily", "sol-daily" ], "newsSummary": "Rate-expectations reporting concerned BTC, while the retained asset-specific items concerned BitMine’s ETH treasury and a reported SOL supply cancellation.", "marketContextSummary": "The collected news and timed reactions are asset-specific and mixed. They do not supply a direct, evidence-supported explanation for the pronounced divergence between SOL and the two larger coins.", "marketContext": [ { "title": "Rate expectations and divergent major surfaces", "explanation": "The BTC-timed reaction to the rate-expectations report was modest and mixed, while ETH and SOL closed with materially different surface changes. The evidence does not support a common news explanation.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "btc-daily", "eth-daily", "sol-daily" ], "news_evidence_ids": [ "544298e4-105a-4ca2-85f7-e10c84d42106" ] }, { "title": "Asset-specific reports and major-coin divergence", "explanation": "The ETH treasury and SOL supply reports had partial, low-confidence observational reactions. Neither establishes why SOL’s front-end IV fell while BTC and ETH rose.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "btc-daily", "eth-daily", "sol-daily" ], "news_evidence_ids": [ "a9d63129-ad4f-4c9f-8466-ae11f204c086", "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ] } ], "newsEvidenceIds": [ "544298e4-105a-4ca2-85f7-e10c84d42106", "a9d63129-ad4f-4c9f-8466-ae11f204c086", "7c6102a7-cb2f-434b-87c6-65aedae9cd0f" ] } }