{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:38+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "headline": "Major-coin options diverge as solana volatility drops fastest", "standfirst": "Major-coin options saw a pronounced short-dated divergence: SOL one-week ATM IV fell 7.61 volatility points, versus a 1.17-point fall for ETH, creating a 6.44-point dispersion. SOL nonetheless retained the highest one-week ATM IV at 53.34%, 22.31 volatility points above BTC’s 31.03%. Ether carried the richest relative put-side volatility, with 1W RR25 at -2.00%.", "marketSummary": "The major-coin story was dispersion rather than a uniform repricing: SOL’s one-week ATM IV fell substantially faster than the BTC and ETH equivalents.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-02", "artifactId": "sha256:369650bac7c575902ecb36931b1a41fd247db687ddb1361c688a3128f5e8b476", "contentSha256": "db55a7833d5410d93534689b651da689a1528647911232f46e738ea566efa53c", "currentSnapshotId": 245665, "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotId": 235590, "previousSnapshotAt": "2026-09-01T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-02", "artifactId": "sha256:ee9f4a40f5b6d939dac99ec1eaab13a9dcf290d9babfbfd2e1ca0d6693d17e5e", "contentSha256": "ea306116c867ee7237e2ca05a10ea20da4b0c213942993f81a6104db9b7c337b", "currentSnapshotId": 245667, "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotId": 235595, "previousSnapshotAt": "2026-09-01T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-02", "artifactId": "sha256:226ac8588e89df342f1979576cd8b6e9fa4e3d2b507e55fdae1348df262b3e7e", "contentSha256": "05c79e6f857b858e3b90c3d5951f89d833a00762608dc8a6c349b7da728f0d69", "currentSnapshotId": 245666, "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotId": 235596, "previousSnapshotAt": "2026-09-01T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:03+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245665, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235590, "timestamp": "2026-09-01T16:30:00+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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -0.05, "rv24hPercent": 39.4, "rv7dPercent": 35.07, "rv30dPercent": 36.62, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 31.03, "oneWeekIvMinus7dRvPoints": -4.04, "oneWeekIvMinus24hRvPoints": -8.37, "oneWeekIvMinus30dRvPoints": -5.59 }, "fitQuality": { "currentObjective": 0.17180175, "previousObjective": 0.05320443, "currentLiveError": 159.34344475, "previousLiveError": 142.02044027 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options cheapen as short-term put volatility rises", "executiveSummary": "Bitcoin’s front-end options surface repriced lower, but the one-week skew shift left relative put-side volatility richer than call-side volatility.", "evidenceIds": [ "realised-vol", "front-atm", "rr25", "largest-standard-tenor" ], "newsSummary": "Reporting during the window described Bitcoin’s decline amid escalating US-Iran tensions. Timed reaction data were partial and do not establish causation.", "marketContextSummary": "The collected news and the broader one-week surface repricing have no clear direct link; the event-time reaction was small and the evidence is observational.", "marketContext": [ { "title": "US-Iran tensions and Bitcoin reaction", "explanation": "Bitcoin spot declined 0.20% in the first five minutes after the article’s information timestamp, while 1-hour ATM IV changed -0.02 volatility points. This partial timed association does not explain the full daily surface move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "rr25" ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 31.03%, 4.04 volatility points below seven-day realised volatility of 35.07%; 24-hour realised volatility was 39.40% and 30-day realised volatility was 36.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.55 volatility points to 33.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.24 volatility points to 40.78% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.56 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was unchanged at 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.33 volatility points at 1W, to 31.03%.", "tenor": "1W", "value": -2.33 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" } ], "events": [ { "event_cluster_id": "market-event-4a1a79aba97f", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" }, "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-4a1a79aba97f", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 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 reports that escalating US-Iran tensions coincided with a decline in bitcoin's price.", "matchedTerms": [ "BTC", "Bitcoin", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 1, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "canonicalEventId": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "reactionHorizon": "4h", "marketReaction": { "event_id": "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "asset": "BTC", "calculated_at": "2026-09-02T01:29:04.363684Z", "complete_through": "2026-09-02T01:27:02Z", "spot_return_5m": -0.196983, "spot_return_1h": -0.077544, "spot_return_4h": 0.020604, "spot_return_24h": null, "atm_iv_change_5m": 0.0, "atm_iv_change_1h": -0.02, "atm_iv_change_4h": -0.06, "atm_iv_change_24h": null, "rr25_change_5m": -0.01, "rr25_change_1h": -0.06, "rr25_change_4h": 0.06, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": 0.04, "bf25_change_4h": 0.06, "bf25_change_24h": null, "realised_vol_pre": 36.233786849931334, "realised_vol_post_5m": 36.27233222006752, "realised_vol_post_1h": 36.54971914832209, "realised_vol_post_4h": 37.19404109970502, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD", "ATM IV 1W: down 2.33 points to 31.03%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -195.75 USD (-0.25%) to 77427.16 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot +0.02%, ATM IV -0.06 points and RR25 +0.06 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-4a1a79aba97f" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV fell 2.33 volatility points to 31.03%, a routine move at the 69th percentile. At the cutoff, realised volatility measured 39.40% over 24 hours, 35.07% over seven days and 36.62% over 30 days. Front-end ATM IV averaged 33.10%, -1.55 points from the prior snapshot, while the long end averaged 40.78%, -0.23 points. The 1Y-minus-1W ATM slope steepened 2.32 points to 10.97 points. 1W RR25 moved 1.07 volatility points toward puts to -1.02%, leaving puts richer than calls. 1Y BF25 fell 0.13 volatility points to 2.91%. The nearest eligible forward, 5SEP26, fell $195.75 (-0.25%) to $77,427.16. 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 16:30 UTC cutoff, 1W ATM IV was 31.03%, 4.04 volatility points below seven-day realised volatility of 35.07%; 24-hour realised volatility was 39.40% and 30-day realised volatility was 36.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.55 volatility points to 33.10% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.24 volatility points to 40.78% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.56 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was unchanged at 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.33 volatility points at 1W, to 31.03%.", "tenor": "1W", "value": -2.33 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.98, "rr25Change": -0.56, "bf25Change": 0.0, "largestAtmMove": { "tenor": "1W", "current": 31.03, "previous": 33.36, "change": -2.33, "historicalSignificance": { "absoluteMove": 2.33, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.7, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 68.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 } }, "frontEndAverageAtm": { "current": 33.1, "previous": 34.65, "change": -1.55 }, "longEndAverageAtm": { "current": 40.78, "previous": 41.02, "change": -0.23 }, "oneYearMinusOneWeekAtmSlope": { "current": 10.97, "previous": 8.65, "change": 2.32 }, "largestRr25Move": { "tenor": "1W", "current": -1.02, "previous": 0.05, "change": -1.07, "historicalSignificance": { "absoluteMove": 1.07, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 88.6, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1Y", "current": 2.91, "previous": 3.04, 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"2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options cheapen as short-term put volatility rises", "standfirst": "Bitcoin one-week implied volatility fell 2.33 volatility points to 31.03%, leaving it 4.04 volatility points below seven-day realised volatility. At the same tenor, relative put-side volatility increased: 1W RR25 fell 1.07 volatility points to -1.02%. The longer-dated curve remained higher than the front end as the 1Y-minus-1W ATM IV slope widened to 10.97 volatility points.", "days": [ { "reportDate": "2026-09-02", "headline": "Short-term bitcoin volatility falls", "summary": "One-week Bitcoin implied volatility fell while relative put-side volatility became richer than call-side volatility.", "macro": { "summary": "US-Iran tensions featured in Bitcoin reporting during the window.", "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" } ] }, "crypto": { "summary": "No additional qualifying crypto-specific event was retained.", "events": [] } } ] }, "headline": "Bitcoin options cheapen as short-term put volatility rises", "standfirst": "Bitcoin one-week implied volatility fell 2.33 volatility points to 31.03%, leaving it 4.04 volatility points below seven-day realised volatility. At the same tenor, relative put-side volatility increased: 1W RR25 fell 1.07 volatility points to -1.02%. The longer-dated curve remained higher than the front end as the 1Y-minus-1W ATM IV slope widened to 10.97 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): BTC 30-day ATM IV was 36.05 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 36.05, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 19.709999847412107, "ivRatio": 2.2062423294586373, "cryptoRealisedVol20d": 45.45791351054472, "spxRealisedVol20": 7.367486433677291, "rvSpread": 38.09042707686743, "rvRatio": 6.170070880993204, "rvSpreadPercentile": 80.88888888888889, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 97.33333333333333, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.12052298976227697, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3204971973663935, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788971400165, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.03, "previous": 33.36, "change": -2.33, "percentChange": -6.98 }, "rr25": { "current": -1.02, "previous": 0.05, "change": -1.07, "percentChange": -2140.0 }, "bf25": { "current": 1.92, "previous": 1.81, "change": 0.11, "percentChange": 6.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.33, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.7, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 68.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "rr25": { "absoluteMove": 1.07, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 88.6, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.5, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 40.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 131, "levelObservationsFullHistory": 132 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:24+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245667, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235595, "timestamp": "2026-09-01T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical ETH index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-ETH ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are 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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -1.24, "rv24hPercent": 50.83, "rv7dPercent": 44.63, "rv30dPercent": 50.11, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 43.3, "oneWeekIvMinus7dRvPoints": -1.33, "oneWeekIvMinus24hRvPoints": -7.53, "oneWeekIvMinus30dRvPoints": -6.81 }, "fitQuality": { "currentObjective": 0.07046985, "previousObjective": 0.1045958, "currentLiveError": 21.47577198, "previousLiveError": 21.22668726 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options turn more defensive as short-term put volatility rises", "executiveSummary": "Ether’s options adjustment centred on short-dated skew, with Ether one-week relative put-side volatility increasing while Ether one-week ATM IV declined.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor", "realised-vol" ], "newsSummary": "Remixpoint disclosed the sale of ETH and other altcoin holdings as it narrowed its crypto strategy to Bitcoin. The announcement’s measured reaction does not identify a driver of Ether’s daily options repricing.", "marketContextSummary": "The retained company disclosure has no clear direct link to the day’s Ether options repricing; partial event-time observations do not demonstrate causation.", "marketContext": [ { "title": "Remixpoint disclosure and Ether reaction", "explanation": "Partial event-time ETH spot, ATM IV and RR25 observations do not explain the daily Ether skew move.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25", "front-atm" ], "newsEvidenceIds": [ "78993d45-51bb-4deb-8c75-a5713bc5a9f7" ] } ], "newsEvidenceIds": [ "78993d45-51bb-4deb-8c75-a5713bc5a9f7" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 43.30%, 1.33 volatility points below seven-day realised volatility of 44.63%; 24-hour realised volatility was 50.83% and 30-day realised volatility was 50.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.43 volatility points to 46.23% 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 54.71% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility points to 2.73% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.17 volatility points at 1W, to 43.30%.", "tenor": "1W", "value": -1.17 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan’s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" } ], "events": [ { "event_cluster_id": "market-event-a924c94feefd", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "primary_article": { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan’s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" }, "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-a924c94feefd", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "primary_article": { "id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Japan’s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00", "summary": "Remixpoint sold ETH, SOL, XRP and DOGE holdings and narrowed its crypto strategy to Bitcoin.", "matchedTerms": [ "BTC", "Bitcoin", "DOGE", "ETH", "Remixpoint", "SOL", "XRP", "crypto_general" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 0, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "canonicalEventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "reactionHorizon": "4h", "marketReaction": { "event_id": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "asset": "ETH", "calculated_at": "2026-09-02T15:34:34.079844Z", "complete_through": "2026-09-02T15:32:55Z", "spot_return_5m": 0.143508, "spot_return_1h": 0.312687, "spot_return_4h": 0.671245, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": -0.08, "atm_iv_change_4h": 0.03, "atm_iv_change_24h": null, "rr25_change_5m": -0.35, "rr25_change_1h": -0.18, "rr25_change_4h": -0.08, "rr25_change_24h": null, "bf25_change_5m": 0.03, "bf25_change_1h": -0.04, "bf25_change_4h": -0.16, "bf25_change_24h": null, "realised_vol_pre": 47.547479265736406, "realised_vol_post_5m": 47.588280394623176, "realised_vol_post_1h": 47.47931464313084, "realised_vol_post_4h": 50.503937928183426, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD", "ATM IV 1W: down 1.17 points to 43.30%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 5SEP26: -36.55 USD (-1.50%) to 2397.50 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot +0.67%, ATM IV +0.03 points and RR25 -0.08 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-a924c94feefd" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.81 volatility points toward puts to -2.00%, leaving puts richer than calls; this was a routine move at the 60th percentile. At the cutoff, realised volatility measured 50.83% over 24 hours, 44.63% over seven days and 50.11% over 30 days. Front-end ATM IV averaged 46.23%, -0.43 points from the prior snapshot, while the long end averaged 54.71%, -0.05 points. The 1Y-minus-1W ATM slope steepened 1.20 points to 12.53 points. 1W ATM IV fell 1.17 volatility points to 43.30%. 2W BF25 rose 0.46 volatility points to 2.72%. The nearest eligible forward, 5SEP26, fell $36.55 (-1.50%) to $2,397.50. 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 16:30 UTC cutoff, 1W ATM IV was 43.30%, 1.33 volatility points below seven-day realised volatility of 44.63%; 24-hour realised volatility was 50.83% and 30-day realised volatility was 50.11%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.43 volatility points to 46.23% 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 54.71% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.88 volatility points to -0.70% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility points to 2.73% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.17 volatility points at 1W, to 43.30%.", "tenor": "1W", "value": -1.17 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.25, "rr25Change": -0.88, "bf25Change": 0.19, "largestAtmMove": { "tenor": "1W", "current": 43.3, "previous": 44.47, "change": -1.17, "historicalSignificance": { 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Ether’s 1Y-minus-1W ATM IV slope rose to 12.53 volatility points.", "days": [ { "reportDate": "2026-09-02", "headline": "Ether skew turns toward puts", "summary": "Ether’s one-week relative put-side volatility rose as Ether front-end ATM IV edged lower.", "macro": { "summary": "No qualifying macro event was retained for Ether.", "events": [] }, "crypto": { "summary": "Remixpoint disclosed sales of ETH and other altcoin holdings.", "events": [ { "eventId": "78993d45-51bb-4deb-8c75-a5713bc5a9f7", "title": "Japan’s Remixpoint dumps altcoins, leaves 1,506 BTC as sole crypto bet", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/remixpoint-dumps-altcoins-1506-btc-sole-crypto-bet", "publishedAt": "2026-09-02T12:00:00+00:00" } ] } } ] }, "headline": "Ether options turn more defensive as short-term put volatility rises", "standfirst": "Ether one-week RR25 fell 1.81 volatility points to -2.00%, leaving one-week relative put-side volatility richer than one-week call-side volatility. Ether one-week ATM IV fell 1.17 volatility points to 43.30%, while Ether front-end ATM IV across the 1W, 2W and 1M tenors averaged 46.23%, a decline of 0.43 volatility points in Ether front-end ATM IV across the 1W, 2W and 1M tenors. Ether’s 1Y-minus-1W ATM IV slope rose to 12.53 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): ETH 30-day ATM IV was 49.23 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 49.23, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 32.889999847412106, "ivRatio": 3.012851869049895, "cryptoRealisedVol20d": 61.61714954199401, "spxRealisedVol20": 7.367486433677291, "rvSpread": 54.24966310831672, "rvRatio": 8.3633882595749, "rvSpreadPercentile": 56.75675675675676, "rvSpreadPercentileSampleCount": 222, "rvRatioPercentile": 95.94594594594595, "rvRatioPercentileSampleCount": 222, "returnCorrelation30": 0.033348895505809314, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.32840511043797044, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788971400374, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.3, "previous": 44.47, "change": -1.17, "percentChange": -2.63 }, "rr25": { "current": -2.0, "previous": -0.19, "change": -1.81, "percentChange": -952.63 }, "bf25": { "current": 2.66, "previous": 2.33, "change": 0.33, "percentChange": 14.16 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.17, "movePercentile30d": 18.2, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 11.1, "classificationPercentile": 26.7, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 1.81, "movePercentile30d": 54.5, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.33, "movePercentile30d": 63.6, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 63.6, "label": "routine", "observations30d": 11, "observationsFullHistory": 15, "levelObservationsFullHistory": 18 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-02", "generatedAt": "2026-09-02T16:56:38+00:00", "currentSnapshotAt": "2026-09-02T16:30:00+00:00", "previousSnapshotAt": "2026-09-01T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 245666, "timestamp": "2026-09-02T16:30:00+00:00" }, "previous": { "id": 235596, "timestamp": "2026-09-01T16:30:00+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": "2026-09-02T16:30:00+00:00", "spotMove24hPercent": -1.63, "rv24hPercent": 60.73, "rv7dPercent": 66.53, "rv30dPercent": 63.66, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.34, "oneWeekIvMinus7dRvPoints": -13.19, "oneWeekIvMinus24hRvPoints": -7.39, "oneWeekIvMinus30dRvPoints": -10.32 }, "fitQuality": { "currentObjective": 0.02069839, "previousObjective": 0.0222923, "currentLiveError": 8.49121665, "previousLiveError": 15.02079837 }, "coverage": { "currentListedExpiries": 5, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [], "removedExpiries": [ "2SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options reprice sharply lower as front-end volatility falls", "executiveSummary": "Solana’s options surface reset lower across the curve, with the largest change concentrated in one-week implied volatility and a markedly lower implied-versus-realised spread.", "evidenceIds": [ "realised-vol", "front-atm", "back-atm", "rr25", "bf25", "largest-standard-tenor" ], "newsSummary": "Coinbase reported and resolved a delay affecting Solana sends and receives. The available reaction window was partial and does not identify a cause of the full-day options repricing.", "marketContextSummary": "The retained operational incident has no clear direct link to Solana’s daily options repricing; the observed reaction is insufficient to establish causation.", "marketContext": [ { "title": "Coinbase Solana incident and market reaction", "explanation": "SOL ATM IV declined 0.14 volatility points after five minutes and 0.87 volatility points after four hours, while the full one-week ATM IV move was a 7.61-point decline. Timed association alone does not establish causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsEvidenceIds": [ "c47f5acb-263b-4107-9593-b5aca8e9e40a" ] } ], "newsEvidenceIds": [ "c47f5acb-263b-4107-9593-b5aca8e9e40a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.34%, 13.19 volatility points below seven-day realised volatility of 66.53%; 24-hour realised volatility was 60.73% and 30-day realised volatility was 63.66%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -7.09 volatility points to 53.52% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.99 volatility points to 53.38% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.29 volatility points to 4.42% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.61 volatility points at 1W, to 53.34%.", "tenor": "1W", "value": -7.61 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "selection": { "feedsQueried": 1, "publishersQueried": 4, "feedEntriesScanned": 72, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 6, "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 7.61 volatility points to 53.34%, a routine move at the 60th percentile. At the cutoff, realised volatility measured 60.73% over 24 hours, 66.53% over seven days and 63.66% over 30 days. Front-end ATM IV averaged 53.52%, -7.09 points from the prior snapshot, while the long end averaged 53.38%, -3.99 points. The 1Y-minus-1W ATM slope turned positive, rising 3.74 points to 0.02 points. 2W RR25 moved 1.48 volatility points toward puts to -0.26%, leaving puts richer than calls. 1W BF25 fell 1.47 volatility points to 3.42%. The nearest eligible forward, 11SEP26, fell $1.76 (-1.74%) to $99.51. 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 16:30 UTC cutoff, 1W ATM IV was 53.34%, 13.19 volatility points below seven-day realised volatility of 66.53%; 24-hour realised volatility was 60.73% and 30-day realised volatility was 63.66%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -7.09 volatility points to 53.52% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -3.99 volatility points to 53.38% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.92 volatility points to 1.30% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.29 volatility points to 4.42% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.61 volatility points at 1W, to 53.34%.", "tenor": "1W", "value": -7.61 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -5.64, "rr25Change": -0.92, "bf25Change": -0.29, "largestAtmMove": { "tenor": "1W", "current": 53.34, "previous": 60.95, "change": -7.61, "historicalSignificance": { "absoluteMove": 7.61, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } }, "frontEndAverageAtm": { "current": 53.52, "previous": 60.61, "change": -7.09 }, "longEndAverageAtm": { "current": 53.38, "previous": 57.36, "change": -3.99 }, "oneYearMinusOneWeekAtmSlope": { "current": 0.02, "previous": -3.72, "change": 3.74 }, "largestRr25Move": { "tenor": "2W", "current": -0.26, "previous": 1.22, "change": -1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.42, "previous": 4.89, "change": -1.47, "historicalSignificance": { "absoluteMove": 1.47, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 8.646, "current": 99.51, "previous": 101.27, "change": -1.76, "percentChange": -1.74 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1788971400282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.34, "previous": 60.95, "change": -7.61, "percentChange": -12.49 }, "rr25": { "current": -0.62, "previous": 0.79, "change": -1.41, "percentChange": -178.48 }, "bf25": { "current": 3.42, "previous": 4.89, "change": -1.47, "percentChange": -30.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.61, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.41, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 1.47, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "2W", "targetExpiry": 1789576200282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.55, "previous": 60.7, "change": -7.15, "percentChange": -11.78 }, "rr25": { "current": -0.26, "previous": 1.22, "change": -1.48, "percentChange": -121.31 }, "bf25": { "current": 3.62, "previous": 4.84, "change": -1.22, "percentChange": -25.21 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.15, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 1.22, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "1M", "targetExpiry": 1790958600282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.68, "previous": 60.18, "change": -6.5, "percentChange": -10.8 }, "rr25": { "current": 0.67, "previous": 1.82, "change": -1.15, "percentChange": -63.19 }, "bf25": { "current": 4.15, "previous": 4.84, "change": -0.69, "percentChange": -14.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.5, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.15, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.69, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "3M", "targetExpiry": 1796229000282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.44, "previous": 58.04, "change": -4.6, "percentChange": -7.93 }, "rr25": { "current": 2.33, "previous": 2.93, "change": -0.6, "percentChange": -20.48 }, "bf25": { "current": 4.95, "previous": 4.61, "change": 0.34, "percentChange": 7.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.6, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.6, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 20.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.34, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "6M", "targetExpiry": 1804091400282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.39, "previous": 57.5, "change": -4.11, "percentChange": -7.15 }, "rr25": { "current": 2.75, "previous": 3.22, "change": -0.47, "percentChange": -14.6 }, "bf25": { "current": 5.13, "previous": 4.56, "change": 0.57, "percentChange": 12.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.11, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.57, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "9M", "targetExpiry": 1811953800282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.37, "previous": 57.32, "change": -3.95, "percentChange": -6.89 }, "rr25": { "current": 2.89, "previous": 3.32, "change": -0.43, "percentChange": -12.95 }, "bf25": { "current": 5.19, "previous": 4.54, "change": 0.65, "percentChange": 14.32 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.95, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.43, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } }, { "tenor": "1Y", "targetExpiry": 1819902600282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.36, "previous": 57.23, "change": -3.87, "percentChange": -6.76 }, "rr25": { "current": 2.95, "previous": 3.37, "change": -0.42, "percentChange": -12.46 }, "bf25": { "current": 5.23, "previous": 4.53, "change": 0.7, "percentChange": 15.45 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.87, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 0.42, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, 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-8.0509, -8.147, -8.2432, -8.34, -8.4379, -8.5373, -8.6384, -8.7411, -8.8451, -8.9507, -9.0572, -9.1647, -9.2726 ] }, { "label": "25SEP26", "values": [ -5.5553, -5.6184, -5.6825, -5.7478, -5.8146, -5.8832, -5.9539, -6.0268, -6.1024, -6.1806, -6.2616, -6.3453, -6.4316, -6.5202, -6.611, -6.7033, -6.7965, -6.89, -6.9832, -7.0748, -7.1643, -7.2507, -7.3331, -7.4104, -7.4822, -7.5475, -7.6057, -7.6564, -7.6989, -7.7332, -7.7589, -7.776, -7.7842, -7.7838, -7.7748, -7.7574, -7.7317, -7.6981, -7.6568, -7.6081, -7.5522 ] }, { "label": "25DEC26", "values": [ -2.9934, -3.0809, -3.1695, -3.2586, -3.3477, -3.4363, -3.5237, -3.6093, -3.6927, -3.7732, -3.8502, -3.9232, -3.9917, -4.0551, -4.1132, -4.1655, -4.2116, -4.2513, -4.2845, -4.3111, -4.3309, -4.344, -4.3506, -4.3508, -4.3448, -4.3328, -4.3153, -4.2927, -4.2652, -4.2333, -4.1976, -4.1583, -4.1161, -4.0715, -4.0249, -3.9766, -3.9273, -3.8772, -3.8269, -3.7767, -3.7269 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options reprice sharply lower as front-end volatility falls", "standfirst": "Solana’s front-end options repriced sharply lower: one-week ATM IV fell 7.61 volatility points to 53.34%, 13.19 volatility points below seven-day realised volatility. The front-end average declined 7.09 volatility points, more than the 3.99-point decline at the long end. One-week BF25 fell 1.47 volatility points to 3.42%, while short-dated relative put-side volatility increased.", "days": [ { "reportDate": "2026-09-02", "headline": "Solana front-end volatility drops", "summary": "Solana implied volatility declined across tenors, led by a sharp one-week fall.", "macro": { "summary": "No qualifying macro event was retained for Solana.", "events": [] }, "crypto": { "summary": "Coinbase resolved a temporary delay affecting Solana sends and receives.", "events": [ { "eventId": "c47f5acb-263b-4107-9593-b5aca8e9e40a", "title": "Delayed Sends/Receives - Solana Network", "publisher": "Coinbase", "url": "https://status.coinbase.com/incidents/mr0f1hz5knrv", "publishedAt": "2026-09-02T10:51:12+00:00" } ] } } ] }, "headline": "Solana options reprice sharply lower as front-end volatility falls", "standfirst": "Solana’s front-end options repriced sharply lower: one-week ATM IV fell 7.61 volatility points to 53.34%, 13.19 volatility points below seven-day realised volatility. The front-end average declined 7.09 volatility points, more than the 3.99-point decline at the long end. One-week BF25 fell 1.47 volatility points to 3.42%, while short-dated relative put-side volatility increased.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-01", "asOfTimestamp": "2026-09-01T20:00:00+00:00", "summary": "Previous session (latest completed): SOL 30-day ATM IV was 56.03 volatility points, versus VIX at 16.34. Crypto and SPX realised volatility use different annualisation clocks.", "metrics": { "cryptoAtmIv30d": 56.03, "vix": 16.34000015258789, "vix9d": 14.329999923706055, "vix3m": 18.329999923706055, "ivSpread": 39.68999984741211, "ivRatio": 3.4290085359103317, "cryptoRealisedVol20d": 72.65158911548956, "spxRealisedVol20": 7.367486433677291, "rvSpread": 65.28410268181227, "rvRatio": 9.861109317201333, "rvSpreadPercentile": 52.51141552511415, "rvSpreadPercentileSampleCount": 219, "rvRatioPercentile": 94.06392694063926, "rvRatioPercentileSampleCount": 219, "returnCorrelation30": 0.2447158331498908, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38786248753071667, "returnCorrelation60SampleCount": 60 }, "methodology": "Latest completed common SPX/VIX/crypto session. Crypto 20-day realised volatility uses sqrt(365); SPX 20-session realised volatility uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1788971400282, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.34, "previous": 60.95, "change": -7.61, "percentChange": -12.49 }, "rr25": { "current": -0.62, "previous": 0.79, "change": -1.41, "percentChange": -178.48 }, "bf25": { "current": 3.42, "previous": 4.89, "change": -1.47, "percentChange": -30.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.61, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 60.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "rr25": { "absoluteMove": 1.41, "movePercentile30d": 40.0, "movePercentileFullHistory": 40.0, "currentLevelPercentileFullHistory": 16.7, "classificationPercentile": 40.0, "label": "routine", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 }, "bf25": { "absoluteMove": 1.47, "movePercentile30d": 80.0, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 80.0, "label": "notable", "observations30d": 5, "observationsFullHistory": 5, "levelObservationsFullHistory": 6 } } } } ], "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": 53.34, "lowest": 31.03, "spread": 22.31, "highestToLowestRatio": 1.719, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 53.34, "values": [ { "asset": "BTC", "value": 31.03 }, { "asset": "ETH", "value": 43.3 }, { "asset": "SOL", "value": 53.34 } ], "previousSpread": 27.59, "spreadChange": -5.28 }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": -1.17, "lowest": -7.61, "spread": 6.44, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -7.61, "values": [ { "asset": "BTC", "value": -2.33 }, { "asset": "ETH", "value": -1.17 }, { "asset": "SOL", "value": -7.61 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": -0.62, "lowest": -2.0, "spread": 1.38, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.0, "values": [ { "asset": "BTC", "value": -1.02 }, { "asset": "ETH", "value": -2.0 }, { "asset": "SOL", "value": -0.62 } ], "previousSpread": 0.98, "spreadChange": 0.4 }, "rr25Change": { "leader": "BTC", "laggard": "ETH", "highest": -1.07, "lowest": -1.81, "spread": 0.74, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.81, "values": [ { "asset": "BTC", "value": -1.07 }, { "asset": "ETH", "value": -1.81 }, { "asset": "SOL", "value": -1.41 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": -7.61 }, "termStructure": { "definition": "1Y minus 1W ATM IV, in volatility points", "currentSlope": { "leader": "ETH", "laggard": "SOL", "highest": 12.53, "lowest": 0.02, "spread": 12.51, "highestToLowestRatio": 626.5, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 12.53, "values": [ { "asset": "BTC", "value": 10.97 }, { "asset": "ETH", "value": 12.53 }, { "asset": "SOL", "value": 0.02 } ], "previousSpread": 15.05, "spreadChange": -2.54 }, "slopeChange": { "leader": "SOL", "laggard": "ETH", "highest": 3.74, "lowest": 1.2, "spread": 2.54, "highestToLowestRatio": 3.1167, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.74, "values": [ { "asset": "BTC", "value": 2.32 }, { "asset": "ETH", "value": 1.2 }, { "asset": "SOL", "value": 3.74 } ] } }, "historicalContext": { "minimumObservations": 20, "observations": 4, "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": 5 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 5 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 5 } ], "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": -1.17, "lowest": -7.61, "spread": 6.44, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -7.61, "values": [ { "asset": "BTC", "value": -2.33 }, { "asset": "ETH", "value": -1.17 }, { "asset": "SOL", "value": -7.61 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "leader": "SOL", "laggard": "BTC", "highest": 53.34, "lowest": 31.03, "spread": 22.31, "highestToLowestRatio": 1.719, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 53.34, "values": [ { "asset": "BTC", "value": 31.03 }, { "asset": "ETH", "value": 43.3 }, { "asset": "SOL", "value": 53.34 } ], "previousSpread": 27.59, "spreadChange": -5.28 }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "leader": "SOL", "laggard": "ETH", "highest": -0.62, "lowest": -2.0, "spread": 1.38, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.0, "values": [ { "asset": "BTC", "value": -1.02 }, { "asset": "ETH", "value": -2.0 }, { "asset": "SOL", "value": -0.62 } ], "previousSpread": 0.98, "spreadChange": 0.4 }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "leader": "ETH", "laggard": "SOL", "highest": 12.53, "lowest": 0.02, "spread": 12.51, "highestToLowestRatio": 626.5, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 12.53, "values": [ { "asset": "BTC", "value": 10.97 }, { "asset": "ETH", "value": 12.53 }, { "asset": "SOL", "value": 0.02 } ], "previousSpread": 15.05, "spreadChange": -2.54 } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-02T16:30:00+00:00", "window": { "startAt": "2026-09-01T16:30:00+00:00", "endAt": "2026-09-02T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as solana volatility drops fastest", "standfirst": "Major-coin options saw a pronounced short-dated divergence: SOL one-week ATM IV fell 7.61 volatility points, versus a 1.17-point fall for ETH, creating a 6.44-point dispersion. SOL nonetheless retained the highest one-week ATM IV at 53.34%, 22.31 volatility points above BTC’s 31.03%. Ether carried the richest relative put-side volatility, with 1W RR25 at -2.00%.", "days": [ { "reportDate": "2026-09-02", "headline": "Solana drives major-coin divergence", "summary": "Solana’s one-week implied volatility declined far faster than Bitcoin’s or Ether’s during the session.", "macro": { "summary": "US-Iran tensions appeared in Bitcoin market reporting during the window.", "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" } ] }, "crypto": { "summary": "Coinbase resolved a delay affecting Solana sends and receives.", "events": [ { "eventId": "c47f5acb-263b-4107-9593-b5aca8e9e40a", "title": "Delayed Sends/Receives - Solana Network", "publisher": "Coinbase", "url": "https://status.coinbase.com/incidents/mr0f1hz5knrv", "publishedAt": "2026-09-02T10:51:12+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -2.2899999999999996, "rr25Change": -0.7866666666666667, "bf25Change": -0.033333333333333326 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin options diverge as solana volatility drops fastest", "executiveSummary": "The major-coin story was dispersion rather than a uniform repricing: SOL’s one-week ATM IV fell substantially faster than the BTC and ETH equivalents.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion", "majors-cross-term-structure-divergence" ], "newsSummary": "Bitcoin reporting focused on US-Iran tensions, while Coinbase resolved a delay affecting Solana sends and receives. Neither retained item establishes a direct explanation for the cross-asset options divergence.", "marketContextSummary": "Collected news does not provide a clear direct explanation for the major-coin options divergence; the event-time observations are partial and observational.", "marketContext": [ { "title": "Bitcoin geopolitical reporting", "explanation": "The Bitcoin-timed reaction was limited over the first hour, with BTC ATM IV down 0.02 volatility points. That observation does not explain the 6.44-point cross-asset spread in one-week ATM IV changes.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion" ], "news_evidence_ids": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5" ] }, { "title": "Coinbase Solana incident", "explanation": "SOL ATM IV was down 0.06 volatility points one hour after the incident update, far smaller than the daily one-week decline. The evidence does not establish a direct link to the cross-asset divergence.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "c47f5acb-263b-4107-9593-b5aca8e9e40a" ] } ], "newsEvidenceIds": [ "a1b64d57-2935-4642-9dc6-11ea0b69e4b5", "c47f5acb-263b-4107-9593-b5aca8e9e40a" ] } }