{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:50+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:27:00+00:00", "headline": "SOL drives a sharp break across major-coin volatility", "standfirst": "SOL’s 1W ATM IV fell 10.73 volatility points, compared with a 0.78-point decline in ETH 1W ATM IV and a 0.81-point decline in BTC 1W ATM IV. That left 9.95 volatility points of 1W ATM IV change dispersion. The front-end convergence came with distinct skew and curve profiles.", "marketSummary": "SOL’s 1W ATM IV fell 10.73 volatility points, whereas ETH’s 1W ATM IV fell 0.78 volatility points and BTC’s 1W ATM IV fell 0.81 volatility points.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-01", "artifactId": "sha256:9a6e77a1f926f288ba8c8d8e52069b14e89969d71ee10168f8adb65990259b32", "contentSha256": "86872bb79431ed2d501145a6499ee4cb00f6692d9dfe3c3a8fd95b624846370d", "currentSnapshotId": 238087, "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotId": 228060, "previousSnapshotAt": "2026-08-31T22:27:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-01", "artifactId": "sha256:2a6b212320ff15698233ddf574a9b93dd33645d66ac266ee381d6ca00d0c56ca", "contentSha256": "82b739246ddfe374f26eb6327d8e9fd1bc0a92804c5e94fe1775bd29569618b1", "currentSnapshotId": 238092, "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotId": 228061, "previousSnapshotAt": "2026-08-31T22:27:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-01", "artifactId": "sha256:5fd8415e4b23c918ac8ca369946a6e1e3982b83a810dfca854180fc2965d4396", "contentSha256": "f4c0fde2bf65c8444b4b6d59fd5f80642f05b59f0d24c9f91e29ced986d31b5c", "currentSnapshotId": 238090, "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotId": 228065, "previousSnapshotAt": "2026-08-31T22:28:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:16+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:27:00+00:00", "sourceSnapshots": { "current": { "id": 238087, "timestamp": "2026-09-01T22:27:00+00:00" }, "previous": { "id": 228060, "timestamp": "2026-08-31T22:27:00+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": "2026-09-01T22:27:00+00:00", "spotMove24hPercent": -2.08, "rv24hPercent": 36.69, "rv7dPercent": 35.17, "rv30dPercent": 36.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.11, "oneWeekIvMinus7dRvPoints": -1.06, "oneWeekIvMinus24hRvPoints": -2.58, "oneWeekIvMinus30dRvPoints": -2.4 }, "fitQuality": { "currentObjective": 0.0480613, "previousObjective": 0.15093098, "currentLiveError": 77.13831581, "previousLiveError": 88.05336235 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "5SEP26" ], "removedExpiries": [ "1SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Btc’s short-dated smile rotates as skew turns put-rich", "executiveSummary": "BTC’s 4SEP26 smile rotation moved lower by 6.16 volatility points, while BTC 1W RR25 fell 1.62 volatility points to -0.54%.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "Bitcoin Magazine reported that bitcoin declined amid escalating US-Iran tensions. The retained reaction has only a five-minute completed horizon.", "marketContextSummary": "The timed report and the options repricing have no established direct causal link.", "marketContext": [ { "title": "Bitcoin report and short-dated skew", "explanation": "BTC had a measured five-minute spot return and small skew change after the report, but longer reaction horizons are unavailable and the reaction assessment is low confidence.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "largest-standard-tenor" ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 34.11%, 1.06 volatility points below seven-day realised volatility of 35.17%; 24-hour realised volatility was 36.69% and 30-day realised volatility was 36.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.11 volatility points to 35.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.16 volatility points to 41.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.83 volatility points to -0.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.27 volatility points to 2.51% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.81 volatility points at 1W, to 34.11%.", "tenor": "1W", "value": -0.81 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 5, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. — again — and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" } ], "events": [ { "event_cluster_id": "market-event-8d8ef8ca779c", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. — again — and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" }, "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-8d8ef8ca779c", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "primary_article": { "id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00", "summary": "Bitcoin Magazine Bitcoin Slides as US-Iran Tensions Escalate Things are heating up between Iran and the U.S. — again — and it's hurting bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "Bitcoin Magazine", "US-Iran Tensions Escalate", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "5m", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-01T22:10:51.307396Z", "complete_through": "2026-09-01T21:32:02Z", "spot_return_5m": -0.196983, "spot_return_1h": null, "spot_return_4h": null, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": null, "atm_iv_change_4h": null, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": null, "rr25_change_4h": null, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": null, "bf25_change_4h": null, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": null, "realised_vol_post_4h": null, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD", "ATM IV 1W: down 0.81 points to 34.11%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 4SEP26: -1660.58 USD (-2.11%) to 77132.21 USD; the surface data does not establish a causal relationship. MCP-measured 5m post-publication reaction: BTC spot -0.20%, ATM IV +0.00 points and RR25 -0.01 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-8d8ef8ca779c" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.62 volatility points toward puts to -0.54%, leaving puts richer than calls; this was a notable move at the 82nd percentile. At the cutoff, realised volatility measured 36.69% over 24 hours, 35.17% over seven days and 36.51% over 30 days. Front-end ATM IV averaged 35.08%, -0.11 points from the prior snapshot, while the long end averaged 41.07%, -0.16 points. The 1Y-minus-1W ATM slope steepened 0.54 points to 7.97 points. 1W ATM IV fell 0.81 volatility points to 34.11%. 2W BF25 rose 0.45 volatility points to 2.36%. The nearest eligible forward, 4SEP26, fell $1,660.58 (-2.11%) to $77,132.21. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 113, "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 22:27 UTC cutoff, 1W ATM IV was 34.11%, 1.06 volatility points below seven-day realised volatility of 35.17%; 24-hour realised volatility was 36.69% and 30-day realised volatility was 36.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.11 volatility points to 35.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.16 volatility points to 41.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.83 volatility points to -0.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.27 volatility points to 2.51% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.81 volatility points at 1W, to 34.11%.", "tenor": "1W", "value": -0.81 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.05, "rr25Change": -0.82, "bf25Change": 0.27, "largestAtmMove": { "tenor": "1W", "current": 34.11, "previous": 34.92, "change": -0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 33.6, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 } }, "frontEndAverageAtm": { "current": 35.08, "previous": 35.19, "change": -0.11 }, "longEndAverageAtm": { "current": 41.07, "previous": 41.23, "change": -0.16 }, "oneYearMinusOneWeekAtmSlope": { "current": 7.97, "previous": 7.43, "change": 0.54 }, "largestRr25Move": { "tenor": "1W", "current": -0.54, "previous": 1.08, "change": -1.62, "historicalSignificance": { "absoluteMove": 1.62, "movePercentile30d": 73.3, "movePercentileFullHistory": 81.5, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 81.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", 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Separately, BTC 1W RR25 fell 1.62 volatility points to -0.54%, leaving relative put-side volatility above call-side volatility. BTC’s 1W ATM IV fell 0.81 volatility points to 34.11%.", "days": [ { "reportDate": "2026-09-01", "headline": "BTC skew turns toward relative puts", "summary": "BTC’s short-dated smile rotation and 1W relative put-side volatility both moved lower.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "Reporting described bitcoin’s decline alongside escalating US-Iran tensions; its timing is associative rather than conclusive.", "events": [ { "eventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00" } ] } } ] }, "headline": "BTC smile rotation accompanies a sharper put skew", "standfirst": "BTC’s 4SEP26 smile rotation moved lower by 6.16 volatility points. Separately, BTC 1W RR25 fell 1.62 volatility points to -0.54%, leaving relative put-side volatility above call-side volatility. BTC’s 1W ATM IV fell 0.81 volatility points to 34.11%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-08-31", "asOfTimestamp": "2026-08-31T20:00:00+00:00", "summary": "BTC context is aligned to the latest completed common session before the report ceiling.", "metrics": { "cryptoAtmIv30d": 35.25, "vix": 14.920000076293945, "vix9d": 12.34, "vix3m": 17.53, "ivSpread": 20.329999923706055, "ivRatio": 2.3626005241117887, "cryptoRealisedVol20d": 43.772782771728174, "spxRealisedVol20": 9.468852277597499, "rvSpread": 34.303930494130675, "rvRatio": 4.622818213701661, "rvSpreadPercentile": 74.10714285714286, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 85.71428571428571, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.10111822868211609, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38696861817775924, "returnCorrelation60SampleCount": 60 }, "methodology": "Crypto realised volatility uses sqrt(365); SPX realised volatility uses sqrt(252), so the annualisation clocks differ." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788906420190, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.11, "previous": 34.92, "change": -0.81, "percentChange": -2.32 }, "rr25": { "current": -0.54, "previous": 1.08, "change": -1.62, "percentChange": -150.0 }, "bf25": { "current": 2.22, "previous": 1.86, "change": 0.36, "percentChange": 19.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.81, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 33.6, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "rr25": { "absoluteMove": 1.62, "movePercentile30d": 73.3, "movePercentileFullHistory": 81.5, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 81.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 }, "bf25": { "absoluteMove": 0.36, "movePercentile30d": 86.7, "movePercentileFullHistory": 74.6, "currentLevelPercentileFullHistory": 73.3, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 130, "levelObservationsFullHistory": 131 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:35+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:27:00+00:00", "sourceSnapshots": { "current": { "id": 238092, "timestamp": "2026-09-01T22:27:00+00:00" }, "previous": { "id": 228061, "timestamp": "2026-08-31T22:27:00+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": "2026-09-01T22:27:00+00:00", "spotMove24hPercent": -2.52, "rv24hPercent": 43.2, "rv7dPercent": 43.93, "rv30dPercent": 49.94, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 46.13, "oneWeekIvMinus7dRvPoints": 2.2, "oneWeekIvMinus24hRvPoints": 2.93, "oneWeekIvMinus30dRvPoints": -3.81 }, "fitQuality": { "currentObjective": 0.0652793, "previousObjective": 0.10939478, "currentLiveError": 12.15226305, "previousLiveError": 42.19779511 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "5SEP26" ], "removedExpiries": [ "1SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "ETH short-dated skew makes a notable turn", "executiveSummary": "ETH’s 1W RR25 fell 3.25 volatility points to -1.51%, producing the day’s clearest standard-tenor change alongside a lower 4SEP26 smile rotation.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "Decrypt reported higher Robinhood Chain DEX activity and referenced Ethereum Layer 2 activity. The report’s completed one-hour reaction window showed only small surface changes.", "marketContextSummary": "The retained news does not support a direct explanation for ETH’s short-dated skew repricing.", "marketContext": [ { "title": "Ethereum-related activity report and skew", "explanation": "The timed ETH reaction showed a 0.03 volatility-point one-hour ATM IV change and a 0.02 volatility-point one-hour RR25 change, insufficient to explain the report-window surface move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "largest-standard-tenor" ], "newsEvidenceIds": [ "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13" ] } ], "newsEvidenceIds": [ "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 46.13%, 2.20 volatility points above seven-day realised volatility of 43.93%; 24-hour realised volatility was 43.20% and 30-day realised volatility was 49.94%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.20 volatility points to 47.94% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.20 volatility points to 54.81% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.35 volatility points to -0.32% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.67% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.78 volatility points at 1W, to 46.13%.", "tenor": "1W", "value": -0.78 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 5, "articlesPassingSelectionThreshold": 1, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W RR25 moved 3.25 volatility points toward puts to -1.51%, leaving puts richer than calls; this was a notable move at the 86th percentile. At the cutoff, realised volatility measured 43.20% over 24 hours, 43.93% over seven days and 49.94% over 30 days. Front-end ATM IV averaged 47.94%, -0.20 points from the prior snapshot, while the long end averaged 54.81%, -0.20 points. The 1Y-minus-1W ATM slope steepened 0.61 points to 9.77 points. 1W ATM IV fell 0.78 volatility points to 46.13%. 1W BF25 rose 0.35 volatility points to 2.71%. The nearest eligible forward, 4SEP26, fell $61.44 (-2.49%) to $2,410.02. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 112, "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 22:27 UTC cutoff, 1W ATM IV was 46.13%, 2.20 volatility points above seven-day realised volatility of 43.93%; 24-hour realised volatility was 43.20% and 30-day realised volatility was 49.94%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.20 volatility points to 47.94% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.20 volatility points to 54.81% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.35 volatility points to -0.32% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.67% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.78 volatility points at 1W, to 46.13%.", "tenor": "1W", "value": -0.78 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.15, "rr25Change": -1.35, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 46.13, "previous": 46.91, "change": -0.78, "historicalSignificance": { "absoluteMove": 0.78, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 41.2, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } }, "frontEndAverageAtm": { "current": 47.94, "previous": 48.14, "change": -0.2 }, "longEndAverageAtm": { "current": 54.81, "previous": 55.01, "change": -0.2 }, "oneYearMinusOneWeekAtmSlope": { "current": 9.77, "previous": 9.16, "change": 0.61 }, "largestRr25Move": { "tenor": "1W", "current": -1.51, "previous": 1.74, "change": -3.25, "historicalSignificance": { "absoluteMove": 3.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 85.7, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.71, "previous": 2.36, "change": 0.35, "historicalSignificance": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.0, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } }, "nearestEligibleForwardMove": { "label": "4SEP26", "daysToExpiry": 2.398, "current": 2410.02, "previous": 2471.46, "change": -61.44, "percentChange": -2.49 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788906420647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.13, "previous": 46.91, "change": -0.78, "percentChange": -1.66 }, "rr25": { "current": -1.51, "previous": 1.74, "change": -3.25, "percentChange": -186.78 }, "bf25": { "current": 2.71, "previous": 2.36, "change": 0.35, "percentChange": 14.83 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.78, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 41.2, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 3.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 85.7, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.0, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "2W", "targetExpiry": 1789511220647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.91, "previous": 47.97, "change": -0.06, "percentChange": -0.13 }, "rr25": { "current": -0.94, "previous": 1.73, "change": -2.67, "percentChange": -154.34 }, "bf25": { "current": 2.34, "previous": 2.39, "change": -0.05, "percentChange": -2.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.1, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 7.1, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.67, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 78.6, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 14.3, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "1M", "targetExpiry": 1790893620647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.77, "previous": 49.54, "change": 0.23, "percentChange": 0.46 }, "rr25": { "current": -0.69, "previous": 0.09, "change": -0.78, "percentChange": -866.67 }, "bf25": { "current": 2.65, "previous": 2.51, "change": 0.14, "percentChange": 5.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.23, "movePercentile30d": 10.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 29.4, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.78, "movePercentile30d": 60.0, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 71.4, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 42.9, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "3M", "targetExpiry": 1796164020647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.46, "previous": 51.36, "change": 0.1, "percentChange": 0.19 }, "rr25": { "current": 0.35, "previous": 0.98, "change": -0.63, "percentChange": -64.29 }, "bf25": { "current": 2.77, "previous": 2.76, "change": 0.01, "percentChange": 0.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 10.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.63, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 35.3, "classificationPercentile": 14.3, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "6M", "targetExpiry": 1804026420647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.73, "previous": 53.95, "change": -0.22, "percentChange": -0.41 }, "rr25": { "current": 0.09, "previous": 0.45, "change": -0.36, "percentChange": -80.0 }, "bf25": { "current": 2.95, "previous": 2.89, "change": 0.06, "percentChange": 2.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.22, "movePercentile30d": 30.0, "movePercentileFullHistory": 35.7, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 35.7, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.1, "currentLevelPercentileFullHistory": 64.7, "classificationPercentile": 7.1, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "9M", "targetExpiry": 1811888820647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.13, "previous": 55.32, "change": -0.19, "percentChange": -0.34 }, "rr25": { "current": 0.51, "previous": 0.87, "change": -0.36, "percentChange": -41.38 }, "bf25": { "current": 2.75, "previous": 2.63, "change": 0.12, "percentChange": 4.56 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.19, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 42.9, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 30.0, "movePercentileFullHistory": 28.6, "currentLevelPercentileFullHistory": 52.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } }, { "tenor": "1Y", "targetExpiry": 1819837620647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.9, "previous": 56.07, "change": -0.17, "percentChange": -0.3 }, "rr25": { "current": 0.77, "previous": 1.2, "change": -0.43, "percentChange": -35.83 }, "bf25": { "current": 2.61, "previous": 2.44, "change": 0.17, "percentChange": 6.97 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.17, "movePercentile30d": 50.0, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 5.9, "classificationPercentile": 50.0, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.43, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 47.1, "classificationPercentile": 92.9, "label": "large", "observations30d": 10, 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-0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "2SEP26", "values": [ 100.6244, 95.6827, 90.7263, 85.7535, 80.7614, 75.7464, 70.7042, 65.6286, 60.512, 55.345, 50.1155, 44.8089, 39.4085, 33.8964, 28.2582, 22.4931, 16.6356, 10.7978, 5.2368, 0.4236, -2.9869, -4.4317, -3.8289, -1.5999, 1.6853, 5.5745, 9.7816, 14.1423, 18.5662, 23.004, 27.4292, 31.8277, 36.1925, 40.5201, 44.8093, 49.06, 53.2728, 57.4485, 61.5881, 65.6925, 69.7629 ] }, { "label": "3SEP26", "values": [ 46.3765, 44.2136, 42.0175, 39.7869, 37.5201, 35.215, 32.8693, 30.4803, 28.0449, 25.5598, 23.0219, 20.4288, 17.7799, 15.079, 12.3373, 9.5793, 6.851, 4.228, 1.8229, -0.2198, -1.7479, -2.6445, -2.8694, -2.47, -1.5537, -0.2476, 1.3318, 3.0921, 4.9657, 6.9051, 8.8782, 10.8632, 12.8457, 14.8163, 16.7681, 18.6971, 20.6005, 22.4763, 24.3236, 26.1416, 27.93 ] }, { "label": "4SEP26", "values": [ 32.3458, 30.8882, 29.4008, 27.8818, 26.3301, 24.7436, 23.1205, 21.4585, 19.7553, 18.0088, 16.2169, 14.3788, 12.4951, 10.57, 8.6128, 6.6415, 4.6863, 2.793, 1.025, -0.5397, -1.8185, -2.7412, -3.2674, -3.3963, -3.163, -2.6252, -1.848, -0.8922, 0.1906, 1.3604, 2.5865, 3.8468, 5.1251, 6.4097, 7.6927, 8.9678, 10.2313, 11.4802, 12.7123, 13.9263, 15.1214 ] }, { "label": "11SEP26", "values": [ 10.7402, 10.3113, 9.8607, 9.3876, 8.8917, 8.3725, 7.8298, 7.2636, 6.6747, 6.0641, 5.4336, 4.7859, 4.1244, 3.4543, 2.7814, 2.1131, 1.4579, 0.825, 0.2243, -0.3346, -0.8426, -1.2925, -1.6781, -1.9961, -2.245, -2.4256, -2.5406, -2.5941, -2.5908, -2.5366, -2.4369, -2.2976, -2.124, -1.9211, -1.6935, -1.4452, -1.1797, -0.9003, -0.6097, -0.3102, -0.0038 ] }, { "label": "18SEP26", "values": [ 2.9661, 2.9356, 2.8946, 2.8426, 2.7789, 2.7029, 2.6139, 2.5116, 2.3955, 2.2655, 2.1214, 1.9632, 1.7916, 1.6069, 1.41, 1.202, 0.9842, 0.7582, 0.5259, 0.2891, 0.0498, -0.1896, -0.4273, -0.6611, -0.8894, -1.1104, -1.3225, -1.5248, -1.7159, -1.8954, -2.0626, -2.2174, -2.3594, -2.4889, -2.606, -2.7109, -2.804, -2.8858, -2.9567, -3.0172, -3.0679 ] }, { "label": "25SEP26", "values": [ 2.1688, 2.09, 2.0076, 1.9221, 1.8334, 1.7417, 1.6471, 1.5501, 1.4508, 1.3498, 1.2473, 1.144, 1.0401, 0.9367, 0.834, 0.733, 0.6341, 0.5383, 0.4462, 0.3585, 0.2759, 0.1989, 0.1283, 0.0643, 0.0075, -0.0419, -0.0837, -0.1178, -0.1442, -0.1628, -0.174, -0.1779, -0.1747, -0.1647, -0.1485, -0.1262, -0.0982, -0.0651, -0.027, 0.0154, 0.062 ] }, { "label": "30OCT26", "values": [ 1.2979, 1.2353, 1.172, 1.1084, 1.0443, 0.9802, 0.9159, 0.8519, 0.7883, 0.725, 0.6624, 0.6007, 0.54, 0.4806, 0.4225, 0.366, 0.3111, 0.258, 0.2069, 0.158, 0.1112, 0.0667, 0.0245, -0.0152, -0.0526, -0.0874, -0.1198, -0.1498, -0.1772, -0.2022, -0.2249, -0.2454, -0.2635, -0.2796, -0.2934, -0.3053, -0.3154, -0.3236, -0.33, -0.3348, -0.3382 ] }, { "label": "27NOV26", "values": [ 0.6027, 0.5882, 0.5732, 0.5574, 0.5408, 0.5236, 0.5055, 0.4869, 0.4675, 0.4474, 0.4267, 0.4055, 0.3836, 0.3612, 0.3384, 0.3151, 0.2915, 0.2676, 0.2434, 0.219, 0.1945, 0.1699, 0.1453, 0.1209, 0.0965, 0.0723, 0.0484, 0.0248, 0.0015, -0.0215, -0.0438, -0.0658, -0.0873, -0.1083, -0.1286, -0.1484, -0.1674, -0.1859, -0.2038, -0.2209, -0.2374 ] }, { "label": "25DEC26", "values": [ 0.4796, 0.4553, 0.43, 0.4041, 0.3775, 0.3502, 0.3224, 0.294, 0.2651, 0.2358, 0.2061, 0.1762, 0.1461, 0.1157, 0.0855, 0.0551, 0.0248, -0.0052, -0.0351, -0.0646, -0.0938, -0.1225, -0.1507, -0.1783, -0.2053, -0.2317, -0.2573, -0.2822, -0.3063, -0.3295, -0.3519, -0.3734, -0.3942, -0.4139, -0.4328, -0.4507, -0.4678, -0.484, -0.4993, -0.5136, -0.5272 ] }, { "label": "26MAR27", "values": [ 0.0568, 0.0373, 0.0185, 0.0003, -0.0171, -0.0338, -0.0499, -0.0652, -0.08, -0.094, -0.1075, -0.1204, -0.1326, -0.1444, -0.1555, -0.1663, -0.1765, -0.1862, -0.1954, -0.2042, -0.2125, -0.2205, -0.2281, -0.2353, -0.2421, -0.2486, -0.2548, -0.2608, -0.2664, -0.2716, -0.2768, -0.2815, -0.2862, -0.2905, -0.2946, -0.2986, -0.3023, -0.3059, -0.3092, -0.3124, -0.3154 ] }, { "label": "25JUN27", "values": [ 0.1479, 0.1334, 0.119, 0.1044, 0.09, 0.0756, 0.0613, 0.0471, 0.033, 0.0192, 0.0054, -0.0081, -0.0213, -0.0343, -0.047, -0.0594, -0.0716, -0.0834, -0.0949, -0.106, -0.1168, -0.1273, -0.1374, -0.1471, -0.1565, -0.1655, -0.1742, -0.1825, -0.1905, -0.1981, -0.2052, -0.2121, -0.2186, -0.2248, -0.2307, -0.2362, -0.2413, -0.2462, -0.2507, -0.2549, -0.2589 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "headline": "ETH smile rotation precedes a pronounced skew reversal", "standfirst": "ETH’s 4SEP26 smile rotation moved lower by 13.63 volatility points. ETH 1W RR25 fell 3.25 volatility points to -1.51%, leaving relative put-side volatility above call-side volatility. ETH 1W ATM IV fell 0.78 volatility points to 46.13%.", "days": [ { "reportDate": "2026-09-01", "headline": "ETH smile shifts toward relative puts", "summary": "ETH’s short-dated smile rotation was accompanied by a notable fall in 1W RR25.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "A report on Robinhood Chain activity mentioned Ethereum, but no direct market explanation is established.", "events": [ { "eventId": "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13", "title": "Robinhood Chain DEX Volume Jumps to $1.6 billion", "publisher": "Decrypt", "url": "https://decrypt.co/377126/robinhood-chain-dex-volume-jumps", "publishedAt": "2026-09-01T21:01:04+00:00" } ] } } ] }, "headline": "ETH smile rotation precedes a pronounced skew reversal", "standfirst": "ETH’s 4SEP26 smile rotation moved lower by 13.63 volatility points. ETH 1W RR25 fell 3.25 volatility points to -1.51%, leaving relative put-side volatility above call-side volatility. ETH 1W ATM IV fell 0.78 volatility points to 46.13%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-08-31", "asOfTimestamp": "2026-08-31T20:00:00+00:00", "summary": "ETH context is aligned to the latest completed common session before the report ceiling.", "metrics": { "cryptoAtmIv30d": 49.55, "vix": 14.920000076293945, "vix9d": 12.34, "vix3m": 17.53, "ivSpread": 34.62999992370605, "ivRatio": 3.3210455594252233, "cryptoRealisedVol20d": 59.498560214048844, "spxRealisedVol20": 9.468852277597499, "rvSpread": 50.029707936451345, "rvRatio": 6.283608453245954, "rvSpreadPercentile": 46.15384615384615, "rvSpreadPercentileSampleCount": 208, "rvRatioPercentile": 71.94570135746606, "rvRatioPercentileSampleCount": 207, "returnCorrelation30": -0.002779124297133854, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.44366081501978155, "returnCorrelation60SampleCount": 60 }, "methodology": "Crypto realised volatility uses sqrt(365); SPX realised volatility uses sqrt(252), so the annualisation clocks differ." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788906420647, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.13, "previous": 46.91, "change": -0.78, "percentChange": -1.66 }, "rr25": { "current": -1.51, "previous": 1.74, "change": -3.25, "percentChange": -186.78 }, "bf25": { "current": 2.71, "previous": 2.36, "change": 0.35, "percentChange": 14.83 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.78, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.4, "currentLevelPercentileFullHistory": 41.2, "classificationPercentile": 21.4, "label": "routine", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 3.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 23.5, "classificationPercentile": 85.7, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 70.0, "label": "notable", "observations30d": 10, "observationsFullHistory": 14, "levelObservationsFullHistory": 17 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-01", "generatedAt": "2026-09-01T22:32:50+00:00", "currentSnapshotAt": "2026-09-01T22:27:00+00:00", "previousSnapshotAt": "2026-08-31T22:28:00+00:00", "sourceSnapshots": { "current": { "id": 238090, "timestamp": "2026-09-01T22:27:00+00:00" }, "previous": { "id": 228065, "timestamp": "2026-08-31T22:28:00+00:00" } }, "windowHours": 23.98, "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": "2026-09-01T22:27:00+00:00", "spotMove24hPercent": -3.66, "rv24hPercent": 55.72, "rv7dPercent": 66.8, "rv30dPercent": 63.28, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 55.4, "oneWeekIvMinus7dRvPoints": -11.4, "oneWeekIvMinus24hRvPoints": -0.32, "oneWeekIvMinus30dRvPoints": -7.88 }, "fitQuality": { "currentObjective": 0.01932609, "previousObjective": 0.04647933, "currentLiveError": 15.93119943, "previousLiveError": 25.21251658 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "3SEP26" ], "removedExpiries": [ "1SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Sol’s front end leads an exceptional volatility reset", "executiveSummary": "SOL 1W ATM IV fell 10.73 volatility points to 55.40%, with front-end ATM IV down 9.62 volatility points and the curve becoming less inverted.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "realised-vol", "rr25", "bf25" ], "newsSummary": "Decrypt reported that DeFi Development Corp was considering a $20 million capital raise to acquire more SOL. The event’s completed reaction windows show timed association only.", "marketContextSummary": "The retained SOL financing report does not establish a direct explanation for the broad volatility reset.", "marketContext": [ { "title": "Solana treasury report and volatility reset", "explanation": "SOL spot and ATM IV moved over completed reaction windows after the report, but the reaction is observational and has low causal confidence; it does not prove a link to the report-window repricing.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsEvidenceIds": [ "c3755be9-bca0-43ec-8ebb-1795ee3be737" ] } ], "newsEvidenceIds": [ "c3755be9-bca0-43ec-8ebb-1795ee3be737" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 22:27 UTC cutoff, 1W ATM IV was 55.40%, 11.40 volatility points below seven-day realised volatility of 66.80%; 24-hour realised volatility was 55.72% and 30-day realised volatility was 63.28%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -9.62 volatility points to 55.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.93 volatility points to 54.88% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.74 volatility points to 1.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.35 volatility points to 4.61% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -10.73 volatility points at 1W, to 55.40%.", "tenor": "1W", "value": -10.73 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:28:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-08-31T22:28:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 41, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 5, "articlesPassingSelectionThreshold": 1, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W ATM IV fell 10.73 volatility points to 55.40%, an exceptional move at the 100th percentile. At the cutoff, realised volatility measured 55.72% over 24 hours, 66.80% over seven days and 63.28% over 30 days. Front-end ATM IV averaged 55.37%, -9.62 points from the prior snapshot, while the long end averaged 54.88%, -3.93 points. The 1Y-minus-1W ATM slope became less inverted by 7.02 points to -0.54 points. 2W RR25 moved 2.84 volatility points toward puts to 0.32%, leaving calls richer than puts. 1W BF25 fell 1.46 volatility points to 3.16%. The nearest eligible forward, 4SEP26, fell $3.79 (-3.67%) to $99.53. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 113, "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 22:27 UTC cutoff, 1W ATM IV was 55.40%, 11.40 volatility points below seven-day realised volatility of 66.80%; 24-hour realised volatility was 55.72% and 30-day realised volatility was 63.28%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -9.62 volatility points to 55.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.93 volatility points to 54.88% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.74 volatility points to 1.61% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.35 volatility points to 4.61% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -10.73 volatility points at 1W, to 55.40%.", "tenor": "1W", "value": -10.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -6.95, "rr25Change": -1.74, "bf25Change": -0.35, "largestAtmMove": { "tenor": "1W", "current": 55.4, "previous": 66.13, "change": -10.73, "historicalSignificance": { "absoluteMove": 10.73, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 4, "observationsFullHistory": 4, "levelObservationsFullHistory": 5 } }, "frontEndAverageAtm": { "current": 55.37, "previous": 64.99, "change": -9.62 }, "longEndAverageAtm": { "current": 54.88, "previous": 58.81, "change": -3.93 }, "oneYearMinusOneWeekAtmSlope": { "current": -0.54, "previous": -7.56, "change": 7.02 }, "largestRr25Move": { "tenor": "2W", "current": 0.32, "previous": 3.16, "change": -2.84, "historicalSignificance": { "absoluteMove": 2.84, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 50.0, "label": "routine", "observations30d": 4, "observationsFullHistory": 4, "levelObservationsFullHistory": 5 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", 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}, { "label": "25SEP26", "values": [ -3.7803, -3.9583, -4.1588, -4.3811, -4.6241, -4.8861, -5.1655, -5.46, -5.7671, -6.0838, -6.4072, -6.7336, -7.0598, -7.3821, -7.6967, -8.0006, -8.2905, -8.5634, -8.817, -9.0494, -9.2592, -9.4455, -9.608, -9.7468, -9.8626, -9.9564, -10.0295, -10.0835, -10.1201, -10.1412, -10.1485, -10.1441, -10.1295, -10.1068, -10.0772, -10.0424, -10.0037, -9.9624, -9.9194, -9.8756, -9.832 ] }, { "label": "25DEC26", "values": [ -3.2715, -3.3311, -3.3941, -3.46, -3.5284, -3.5987, -3.6705, -3.743, -3.8159, -3.8884, -3.96, -4.0301, -4.0982, -4.1637, -4.2261, -4.2849, -4.3397, -4.3901, -4.4358, -4.4765, -4.5121, -4.5422, -4.567, -4.5864, -4.6005, -4.6092, -4.6128, -4.6116, -4.6056, -4.5953, -4.581, -4.5629, -4.5416, -4.5171, -4.4901, -4.4608, -4.4296, -4.397, -4.3633, -4.3286, -4.2936 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:28:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "headline": "SOL one-week volatility collapses across the curve", "standfirst": "SOL 1W ATM IV fell 10.73 volatility points to 55.40%, an exceptional move at the 100th percentile. SOL front-end ATM IV fell 9.62 volatility points to 55.37%, while SOL long-dated ATM IV fell 3.93 volatility points to 54.88%. The 1Y-minus-1W ATM IV slope became less inverted by 7.02 volatility points to -0.54 volatility points.", "days": [ { "reportDate": "2026-09-01", "headline": "SOL volatility reprices sharply lower", "summary": "SOL’s 1W ATM IV declined exceptionally as the curve moved materially less inverted.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "A Solana treasury financing report was retained, but the completed reaction windows cannot prove causation.", "events": [ { "eventId": "c3755be9-bca0-43ec-8ebb-1795ee3be737", "title": "Solana Treasury DeFi Development Corp Eyes $20 Million Raise to Buy More SOL", "publisher": "Decrypt", "url": "https://decrypt.co/377068/defi-development-corp-20-million-raise-more-solana", "publishedAt": "2026-09-01T18:03:47+00:00" } ] } } ] }, "headline": "SOL one-week volatility collapses across the curve", "standfirst": "SOL 1W ATM IV fell 10.73 volatility points to 55.40%, an exceptional move at the 100th percentile. SOL front-end ATM IV fell 9.62 volatility points to 55.37%, while SOL long-dated ATM IV fell 3.93 volatility points to 54.88%. The 1Y-minus-1W ATM IV slope became less inverted by 7.02 volatility points to -0.54 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-08-31", "asOfTimestamp": "2026-08-31T20:00:00+00:00", "summary": "SOL context is aligned to the latest completed common session before the report ceiling.", "metrics": { "cryptoAtmIv30d": 64.53, "vix": 14.920000076293945, "vix9d": 12.34, "vix3m": 17.53, "ivSpread": 49.609999923706056, "ivRatio": 4.325067002012304, "cryptoRealisedVol20d": 69.510151101753, "spxRealisedVol20": 9.468852277597499, "rvSpread": 60.0412988241555, "rvRatio": 7.340926763236989, "rvSpreadPercentile": 47.24770642201835, "rvSpreadPercentileSampleCount": 218, "rvRatioPercentile": 73.85321100917432, "rvRatioPercentileSampleCount": 218, "returnCorrelation30": 0.19802504905429724, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.44668597830309803, "returnCorrelation60SampleCount": 60 }, "methodology": "Crypto realised volatility uses sqrt(365); SPX realised volatility uses sqrt(252), so the annualisation clocks differ." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788906420435, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.4, "previous": 66.13, "change": -10.73, "percentChange": -16.23 }, "rr25": { "current": -0.5, "previous": 1.4, "change": -1.9, "percentChange": -135.71 }, "bf25": { "current": 3.16, "previous": 4.62, "change": -1.46, "percentChange": -31.6 }, "historicalSignificance": { "atmIv": { "absoluteMove": 10.73, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 4, "observationsFullHistory": 4, "levelObservationsFullHistory": 5 }, "rr25": { "absoluteMove": 1.9, "movePercentile30d": 25.0, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": 25.0, "label": "routine", "observations30d": 4, "observationsFullHistory": 4, "levelObservationsFullHistory": 5 }, "bf25": { "absoluteMove": 1.46, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 4, "observationsFullHistory": 4, "levelObservationsFullHistory": 5 } } } } ], "crossAssetAnalysis": { "schemaVersion": 1, "purpose": "Explain what is happening between BTC, ETH and SOL, not recap the component reports.", "assets": [ "BTC", "ETH", "SOL" ], "comparableAssets": [ "BTC", "ETH", "SOL" ], "oneWeek": { "atmIvLevel": { "leader": "SOL", "laggard": "BTC", "highest": 55.4, "lowest": 34.11, "spread": 21.29, "highestToLowestRatio": 1.6242, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.4, "values": [ { "asset": "BTC", "value": 34.11 }, { "asset": "ETH", "value": 46.13 }, { "asset": "SOL", "value": 55.4 } ], "previousSpread": 31.21, "spreadChange": -9.92 }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": -0.78, "lowest": -10.73, "spread": 9.95, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -10.73, "values": [ { "asset": "BTC", "value": -0.81 }, { "asset": "ETH", "value": -0.78 }, { "asset": "SOL", "value": -10.73 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": -0.5, "lowest": -1.51, "spread": 1.01, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.51, "values": [ { "asset": "BTC", "value": -0.54 }, { "asset": "ETH", "value": -1.51 }, { "asset": "SOL", "value": -0.5 } ], "previousSpread": 0.66, "spreadChange": 0.35 }, "rr25Change": { "leader": "BTC", "laggard": "ETH", "highest": -1.62, "lowest": -3.25, "spread": 1.63, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.25, "values": [ { "asset": "BTC", "value": -1.62 }, { "asset": "ETH", "value": -3.25 }, { "asset": "SOL", "value": -1.9 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": -10.73 }, "termStructure": { "definition": "1Y minus 1W ATM IV, in volatility points", "currentSlope": { "leader": "ETH", "laggard": "SOL", "highest": 9.77, "lowest": -0.54, "spread": 10.31, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 9.77, "values": [ { "asset": "BTC", "value": 7.97 }, { "asset": "ETH", "value": 9.77 }, { "asset": "SOL", "value": -0.54 } ], "previousSpread": 16.72, "spreadChange": -6.41 }, "slopeChange": { "leader": "SOL", "laggard": "BTC", "highest": 7.02, "lowest": 0.54, "spread": 6.48, "highestToLowestRatio": 13.0, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 7.02, "values": [ { "asset": "BTC", "value": 0.54 }, { "asset": "ETH", "value": 0.61 }, { "asset": "SOL", "value": 7.02 } ] } }, "historicalContext": { "minimumObservations": 20, "observations": 3, "oneWeekAtmIvLevelDispersionPercentile": null, "oneWeekAtmIvChangeDispersionPercentile": null, "oneWeekRr25LevelDispersionPercentile": null, "termStructureDispersionPercentile": null, "availabilityNote": "Cross-sectional percentiles require 20 prior aligned reports." }, "correlations": { "metric": "spotMove24hPercent", "minimumObservations": 10, "lookbackObservations": 30, "pairs": [ { "assets": [ "BTC", "ETH" ], "value": null, "observations": 4 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 4 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 4 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "leader": "ETH", "laggard": "SOL", "highest": -0.78, "lowest": -10.73, "spread": 9.95, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -10.73, "values": [ { "asset": "BTC", "value": -0.81 }, { "asset": "ETH", "value": -0.78 }, { "asset": "SOL", "value": -10.73 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "leader": "SOL", "laggard": "BTC", "highest": 55.4, "lowest": 34.11, "spread": 21.29, "highestToLowestRatio": 1.6242, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.4, "values": [ { "asset": "BTC", "value": 34.11 }, { "asset": "ETH", "value": 46.13 }, { "asset": "SOL", "value": 55.4 } ], "previousSpread": 31.21, "spreadChange": -9.92 }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "leader": "SOL", "laggard": "ETH", "highest": -0.5, "lowest": -1.51, "spread": 1.01, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.51, "values": [ { "asset": "BTC", "value": -0.54 }, { "asset": "ETH", "value": -1.51 }, { "asset": "SOL", "value": -0.5 } ], "previousSpread": 0.66, "spreadChange": 0.35 }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "leader": "ETH", "laggard": "SOL", "highest": 9.77, "lowest": -0.54, "spread": 10.31, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 9.77, "values": [ { "asset": "BTC", "value": 7.97 }, { "asset": "ETH", "value": 9.77 }, { "asset": "SOL", "value": -0.54 } ], "previousSpread": 16.72, "spreadChange": -6.41 } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-01T22:27:00+00:00", "window": { "startAt": "2026-08-31T22:27:00+00:00", "endAt": "2026-09-01T22:27:00+00:00", "endExclusive": true }, "headline": "SOL drives a sharp break across major-coin volatility", "standfirst": "SOL’s 1W ATM IV fell 10.73 volatility points, compared with a 0.78-point decline in ETH 1W ATM IV and a 0.81-point decline in BTC 1W ATM IV. That left 9.95 volatility points of 1W ATM IV change dispersion. The front-end convergence came with distinct skew and curve profiles.", "days": [ { "reportDate": "2026-09-01", "headline": "SOL resets the major-coin volatility ranking", "summary": "SOL’s 1W ATM IV repricing created a much wider change dispersion than BTC and ETH.", "macro": { "summary": "No qualifying macro event was retained for this window.", "events": [] }, "crypto": { "summary": "Retained BTC, ETH and SOL reporting covered distinct developments without establishing a common catalyst for relative volatility.", "events": [ { "eventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "title": "Bitcoin Slides as US-Iran Tensions Escalate", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/markets/bitcoin-slides-as-iran-us-war-escalates", "publishedAt": "2026-09-01T21:27:02+00:00" }, { "eventId": "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13", "title": "Robinhood Chain DEX Volume Jumps to $1.6 billion", "publisher": "Decrypt", "url": "https://decrypt.co/377126/robinhood-chain-dex-volume-jumps", "publishedAt": "2026-09-01T21:01:04+00:00" }, { "eventId": "c3755be9-bca0-43ec-8ebb-1795ee3be737", "title": "Solana Treasury DeFi Development Corp Eyes $20 Million Raise to Buy More SOL", "publisher": "Decrypt", "url": "https://decrypt.co/377068/defi-development-corp-20-million-raise-more-solana", "publishedAt": "2026-09-01T18:03:47+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -2.3833333333333333, "rr25Change": -1.3033333333333335, "bf25Change": 0.010000000000000014 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "SOL repricing breaks the major-coin volatility pattern", "executiveSummary": "SOL’s 1W ATM IV fell 10.73 volatility points, whereas ETH’s 1W ATM IV fell 0.78 volatility points and BTC’s 1W ATM IV fell 0.81 volatility points.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion", "majors-cross-term-structure-divergence", "sol-daily", "eth-daily", "btc-daily" ], "newsSummary": "The news set included a bitcoin market report, an Ethereum-related DEX report and a Solana treasury financing report. It documents asset-specific developments rather than a shared, verified catalyst.", "marketContextSummary": "The collected asset-specific news does not establish a direct explanation for the relative major-coin options repricing.", "marketContext": [ { "title": "SOL report and relative volatility break", "explanation": "SOL’s timed reaction included a lower 1W-equivalent ATM IV over the completed windows, but the event-specific association does not prove it caused SOL’s distinct report-window repricing against BTC and ETH.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion", "sol-daily" ], "news_evidence_ids": [ "c3755be9-bca0-43ec-8ebb-1795ee3be737" ] }, { "title": "BTC and ETH reports", "explanation": "The BTC and ETH reports are relevant market background, but neither furnishes evidence for a common cause of the cross-asset 1W ATM IV dispersion.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion", "btc-daily", "eth-daily" ], "news_evidence_ids": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "d7ea8027-e3b6-4092-b3ea-5bf45ba1fe13", "c3755be9-bca0-43ec-8ebb-1795ee3be737" ] } }