{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:56+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "headline": "Major-coin options retain a wide implied-versus-realised volatility gap as ETH leads", "standfirst": "Major-coin one-week implied volatility minus seven-day realised volatility spans 13.91 volatility points between ETH and SOL. Major-coin one-week ATM IV level dispersion narrowed by 7.42 volatility points to 14.87 volatility points between SOL and BTC.", "marketSummary": "The major-coin options complex retains a marked gap between ETH and SOL on one-week implied volatility versus seven-day realised volatility.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-03", "artifactId": "sha256:9c4c3ad2e2fcecfb6d73282b857d9c82e6c14c90416da251738ee4722fe29f67", "contentSha256": "ace9ff61eea07ecc505e0658d9bc5c7299bf4ff7ac8c214f43501de540704b26", "currentSnapshotId": 255742, "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotId": 245721, "previousSnapshotAt": "2026-09-02T16:38:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-03", "artifactId": "sha256:512b3d59bfe110a81b510c09cf684edd13003d74ca058746d54df74ba621d299", "contentSha256": "0ccadc7a4e7a53741dc60a03d9bf785525d77222cf1b2d45497816c6f52a2be8", "currentSnapshotId": 255739, "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotId": 245726, "previousSnapshotAt": "2026-09-02T16:38:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-03", "artifactId": "sha256:dab5c67294eaeab8ca09f1c660b0af3d53242b31620a30c4d7415cc14e36ceb8", "contentSha256": "3447d232f6e78877d4816d27b5df6d9e47cd588a98eb0c6085a410e38ae07783", "currentSnapshotId": 255743, "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotId": 245724, "previousSnapshotAt": "2026-09-02T16:38:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:24+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255742, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245721, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 4.51, "rv24hPercent": 38.38, "rv7dPercent": 34.96, "rv30dPercent": 36.91, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 37.02, "oneWeekIvMinus7dRvPoints": 2.06, "oneWeekIvMinus24hRvPoints": -1.36, "oneWeekIvMinus30dRvPoints": 0.11 }, "fitQuality": { "currentObjective": 0.07775533, "previousObjective": 0.14378648, "currentLiveError": 118.58466151, "previousLiveError": 113.17777891 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s two-week skew makes the defining move", "executiveSummary": "The two-week Bitcoin option smile shifted toward richer call-side volatility, with RR25 rising 2.89 points to 1.99%.", "evidenceIds": [ "rr25", "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "News Check: no qualifying event was sufficiently relevant to retain.", "marketContextSummary": "No collected news supports a direct explanation for the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 37.02%, 2.06 volatility points above seven-day realised volatility of 34.96%; 24-hour realised volatility was 38.38% and 30-day realised volatility was 36.91%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.20 volatility points to 37.40% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.66 volatility points to 41.41% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.68 volatility points to 0.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.50% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.75 volatility points at 1W, to 37.02%.", "tenor": "1W", "value": 5.75 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "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 rose 5.75 volatility points to 37.02%, a large move at the 93rd percentile. At the cutoff, realised volatility measured 38.38% over 24 hours, 34.96% over seven days and 36.91% over 30 days. Front-end ATM IV averaged 37.40%, +4.20 points from the prior snapshot, while the long end averaged 41.41%, +0.66 points. The 1Y-minus-1W ATM slope flattened 5.37 points to 5.30 points. 2W RR25 moved 2.89 volatility points toward calls to 1.99%, leaving calls richer than puts. 2W BF25 rose 0.25 volatility points to 2.27%. The nearest eligible forward, 6SEP26, rose $3,450.12 (+4.46%) to $80,877.25. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 110, "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 16:38 UTC cutoff, 1W ATM IV was 37.02%, 2.06 volatility points above seven-day realised volatility of 34.96%; 24-hour realised volatility was 38.38% and 30-day realised volatility was 36.91%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.20 volatility points to 37.40% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.66 volatility points to 41.41% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.68 volatility points to 0.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.50% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.75 volatility points at 1W, to 37.02%.", "tenor": "1W", "value": 5.75 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.63, "rr25Change": 1.68, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 37.02, "previous": 31.27, "change": 5.75, "historicalSignificance": { "absoluteMove": 5.75, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } }, "frontEndAverageAtm": { "current": 37.4, "previous": 33.2, "change": 4.2 }, "longEndAverageAtm": { "current": 41.41, "previous": 40.75, "change": 0.66 }, "oneYearMinusOneWeekAtmSlope": { "current": 5.3, "previous": 10.67, "change": -5.37 }, "largestRr25Move": { "tenor": "2W", "current": 1.99, "previous": -0.9, "change": 2.89, "historicalSignificance": { "absoluteMove": 2.89, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.27, "previous": 2.02, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } }, "nearestEligibleForwardMove": { "label": "6SEP26", "daysToExpiry": 2.64, "current": 80877.25, "previous": 77427.13, "change": 3450.12, "percentChange": 4.46 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789058280620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.02, "previous": 31.27, "change": 5.75, "percentChange": 18.39 }, "rr25": { "current": 1.94, "previous": -0.92, "change": 2.86, "percentChange": 310.87 }, "bf25": { "current": 2.16, "previous": 1.94, "change": 0.22, "percentChange": 11.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.75, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 2.86, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": 70.0, "movePercentileFullHistory": 60.6, "currentLevelPercentileFullHistory": 70.7, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "2W", "targetExpiry": 1789663080620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.76, "previous": 33.58, "change": 4.18, "percentChange": 12.45 }, "rr25": { "current": 1.99, "previous": -0.9, "change": 2.89, "percentChange": 321.11 }, "bf25": { "current": 2.27, "previous": 2.02, "change": 0.25, "percentChange": 12.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.18, "movePercentile30d": 90.0, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 2.89, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": 80.0, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 72.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "1M", "targetExpiry": 1791045480620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.42, "previous": 34.76, "change": 2.66, "percentChange": 7.65 }, "rr25": { "current": 1.07, "previous": -0.87, "change": 1.94, "percentChange": 222.99 }, "bf25": { "current": 2.39, "previous": 2.29, "change": 0.1, "percentChange": 4.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.66, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.4, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 92.4, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 1.94, "movePercentile30d": 93.3, "movePercentileFullHistory": 96.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 96.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 66.7, "movePercentileFullHistory": 56.8, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "3M", "targetExpiry": 1796315880620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.31, "previous": 37.44, "change": 1.87, "percentChange": 4.99 }, "rr25": { "current": 0.17, "previous": -1.1, "change": 1.27, "percentChange": 115.45 }, "bf25": { "current": 2.57, "previous": 2.54, "change": 0.03, "percentChange": 1.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.87, "movePercentile30d": 96.7, "movePercentileFullHistory": 94.7, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 1.27, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 13.3, "movePercentileFullHistory": 15.9, "currentLevelPercentileFullHistory": 64.7, "classificationPercentile": 15.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "6M", "targetExpiry": 1804178280620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.5, "previous": 39.57, "change": 0.93, "percentChange": 2.35 }, "rr25": { "current": -0.01, "previous": -0.66, "change": 0.65, "percentChange": 98.48 }, "bf25": { "current": 2.67, "previous": 2.62, "change": 0.05, "percentChange": 1.91 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.93, "movePercentile30d": 96.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.65, "movePercentile30d": 76.7, "movePercentileFullHistory": 90.9, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 90.9, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 43.9, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 43.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "9M", "targetExpiry": 1812040680620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.62, "previous": 41.05, "change": 0.57, "percentChange": 1.39 }, "rr25": { "current": 0.21, "previous": -0.34, "change": 0.55, "percentChange": 161.76 }, "bf25": { "current": 2.83, "previous": 2.8, "change": 0.03, "percentChange": 1.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.57, "movePercentile30d": 83.3, "movePercentileFullHistory": 87.9, "currentLevelPercentileFullHistory": 24.1, "classificationPercentile": 87.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.55, "movePercentile30d": 76.7, "movePercentileFullHistory": 90.2, "currentLevelPercentileFullHistory": 97.7, "classificationPercentile": 90.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 26.7, "movePercentileFullHistory": 25.8, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } }, { "tenor": "1Y", "targetExpiry": 1819989480620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.32, "previous": 41.94, "change": 0.38, "percentChange": 0.91 }, "rr25": { "current": 0.35, "previous": -0.14, "change": 0.49, "percentChange": 350.0 }, "bf25": { "current": 2.93, "previous": 2.92, "change": 0.01, "percentChange": 0.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.38, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.6, "currentLevelPercentileFullHistory": 20.3, "classificationPercentile": 82.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 76.7, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 86.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 7.6, "currentLevelPercentileFullHistory": 86.5, "classificationPercentile": 7.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } } ], "listedExpiries": [ { "label": "4SEP26", "expiry": 1788508800000, "tauYears": 0.0017542, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 80838.84, "previous": 77407.08, "change": 3431.76, "percentChange": 4.43 }, "atmIv": { "current": 49.67, "previous": 32.78, "change": 16.89, "percentChange": 51.53 }, "rr25": { "current": 4.87, "previous": -0.94, "change": 5.81, "percentChange": 618.09 }, "bf25": { "current": 2.49, "previous": 1.88, "change": 0.61, "percentChange": 32.45 }, "svi": { "a": { "current": -0.0353, "previous": -0.0353, "change": -0.0, "percentChange": -0.04 }, "b": { "current": 0.0867, 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7.1894, 7.2797, 7.3602, 7.4322, 7.4971, 7.556, 7.6096 ] }, { "label": "25SEP26", "values": [ -1.3428, -1.2578, -1.1604, -1.0497, -0.9249, -0.7856, -0.6313, -0.4613, -0.2757, -0.0744, 0.1422, 0.3734, 0.618, 0.8743, 1.1402, 1.4129, 1.6893, 1.9659, 2.2388, 2.5044, 2.7592, 3.0, 3.2244, 3.4304, 3.617, 3.7837, 3.9308, 4.059, 4.1694, 4.2635, 4.3426, 4.4085, 4.4627, 4.5068, 4.5421, 4.5702, 4.5919, 4.6083, 4.6205, 4.6293, 4.6351 ] }, { "label": "30OCT26", "values": [ 0.7251, 0.7095, 0.7022, 0.7039, 0.7152, 0.7366, 0.7687, 0.8118, 0.8662, 0.9318, 1.0087, 1.0967, 1.195, 1.303, 1.42, 1.5447, 1.6757, 1.8116, 1.9506, 2.0912, 2.2314, 2.3694, 2.5037, 2.6322, 2.7538, 2.8666, 2.97, 3.0625, 3.1436, 3.2126, 3.2691, 3.3129, 3.344, 3.3625, 3.3686, 3.3626, 3.345, 3.3163, 3.2769, 3.2275, 3.1686 ] }, { "label": "27NOV26", "values": [ 0.6307, 0.6279, 0.6345, 0.6504, 0.6758, 0.7101, 0.7531, 0.8044, 0.8636, 0.93, 1.0031, 1.082, 1.166, 1.2542, 1.3458, 1.4398, 1.5352, 1.6311, 1.7265, 1.8205, 1.9121, 2.0004, 2.0848, 2.1642, 2.2384, 2.3064, 2.3681, 2.4226, 2.47, 2.5099, 2.5421, 2.5666, 2.5835, 2.5925, 2.594, 2.5881, 2.5749, 2.5548, 2.5279, 2.4945, 2.455 ] }, { "label": "25DEC26", "values": [ 0.7898, 0.7995, 0.8114, 0.8258, 0.8425, 0.8614, 0.8826, 0.9058, 0.9312, 0.9584, 0.9875, 1.0184, 1.0508, 1.0847, 1.1198, 1.1561, 1.1932, 1.2312, 1.2696, 1.3086, 1.3475, 1.3866, 1.4256, 1.4641, 1.5023, 1.5398, 1.5765, 1.6123, 1.647, 1.6806, 1.7131, 1.7442, 1.7741, 1.8024, 1.8294, 1.8548, 1.8789, 1.9015, 1.9225, 1.9421, 1.9601 ] }, { "label": "26MAR27", "values": [ 0.3676, 0.3801, 0.3934, 0.4079, 0.4233, 0.4395, 0.4567, 0.4745, 0.4933, 0.5127, 0.5328, 0.5535, 0.5747, 0.5964, 0.6186, 0.641, 0.6637, 0.6867, 0.7097, 0.7328, 0.7559, 0.7788, 0.8017, 0.8242, 0.8465, 0.8684, 0.8899, 0.9108, 0.9313, 0.9511, 0.9703, 0.9887, 1.0065, 1.0235, 1.0396, 1.055, 1.0695, 1.083, 1.0958, 1.1077, 1.1186 ] }, { "label": "25JUN27", "values": [ 0.1688, 0.1756, 0.1833, 0.192, 0.2015, 0.212, 0.2231, 0.2352, 0.2478, 0.2612, 0.2751, 0.2895, 0.3045, 0.3199, 0.3356, 0.3516, 0.3679, 0.3843, 0.4009, 0.4175, 0.4342, 0.4507, 0.4672, 0.4834, 0.4995, 0.5154, 0.5308, 0.546, 0.5608, 0.5751, 0.589, 0.6023, 0.6151, 0.6274, 0.6392, 0.6503, 0.6608, 0.6707, 0.68, 0.6886, 0.6967 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich after sharp two-week skew shift", "standfirst": "Bitcoin two-week RR25 rose 2.89 volatility points to 1.99%, moving call-side volatility above put-side volatility in a large 96.2 percentile move. The adjustment coincided with a 5.75-point rise in one-week ATM IV, while the 1Y-minus-1W ATM slope became less steep.", "days": [ { "reportDate": "2026-09-03", "headline": "Bitcoin skew moves decisively toward calls", "summary": "Two-week RR25 became call-rich as front-end implied volatility rose far faster than longer maturities.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options turn call-rich after sharp two-week skew shift", "standfirst": "Bitcoin two-week RR25 rose 2.89 volatility points to 1.99%, moving call-side volatility above put-side volatility in a large 96.2 percentile move. The adjustment coincided with a 5.75-point rise in one-week ATM IV, while the 1Y-minus-1W ATM slope became less steep.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-02", "asOfTimestamp": "2026-09-02T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session crypto and equity-volatility context. The crypto-to-SPX realised-volatility ratio was 5.98, at the 93.8 percentile across 226 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 5.98, at the 93.8 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.48, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 19.28000019073486, "ivRatio": 2.2684210810965117, "cryptoRealisedVol20d": 45.405413650957954, "spxRealisedVol20": 7.588171409644216, "rvSpread": 37.817242241313735, "rvRatio": 5.983709539461611, "rvSpreadPercentile": 78.76106194690266, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 93.80530973451327, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.11196543780165613, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31895951536093875, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789058280620, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.02, "previous": 31.27, "change": 5.75, "percentChange": 18.39 }, "rr25": { "current": 1.94, "previous": -0.92, "change": 2.86, "percentChange": 310.87 }, "bf25": { "current": 2.16, "previous": 1.94, "change": 0.22, "percentChange": 11.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.75, "movePercentile30d": 86.7, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "rr25": { "absoluteMove": 2.86, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": 70.0, "movePercentileFullHistory": 60.6, "currentLevelPercentileFullHistory": 70.7, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 132, "levelObservationsFullHistory": 133 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:43+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255739, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245726, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 4.27, "rv24hPercent": 46.46, "rv7dPercent": 43.69, "rv30dPercent": 50.39, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 47.71, "oneWeekIvMinus7dRvPoints": 4.02, "oneWeekIvMinus24hRvPoints": 1.25, "oneWeekIvMinus30dRvPoints": -2.68 }, "fitQuality": { "currentObjective": 0.01286345, "previousObjective": 0.06601746, "currentLiveError": 28.90199189, "previousLiveError": 23.11335803 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s front end absorbs the day’s volatility repricing", "executiveSummary": "Ether’s primary surface move was a 4.73-point increase in one-week ATM IV, concentrating the repricing at short maturities.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "back-atm" ], "newsSummary": "News Check: no qualifying ETH-related event met the retention threshold.", "marketContextSummary": "There is no retained news basis for linking a catalyst to the options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 47.71%, 4.02 volatility points above seven-day realised volatility of 43.69%; 24-hour realised volatility was 46.46% and 30-day realised volatility was 50.39%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.76 volatility points to 48.91% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.26 volatility points to 55.05% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.09 volatility points to 0.48% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 2.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.73 volatility points at 1W, to 47.71%.", "tenor": "1W", "value": 4.73 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "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 rose 4.73 volatility points to 47.71%, a notable move at the 81st percentile. At the cutoff, realised volatility measured 46.46% over 24 hours, 43.69% over seven days and 50.39% over 30 days. Front-end ATM IV averaged 48.91%, +2.76 points from the prior snapshot, while the long end averaged 55.05%, +0.26 points. The 1Y-minus-1W ATM slope flattened 4.89 points to 8.15 points. 1W RR25 moved 2.11 volatility points toward calls to 0.52%, leaving calls richer than puts. 1W BF25 rose 0.21 volatility points to 2.80%. The nearest eligible forward, 6SEP26, rose $97.71 (+4.08%) to $2,494.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 110, "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 16:38 UTC cutoff, 1W ATM IV was 47.71%, 4.02 volatility points above seven-day realised volatility of 43.69%; 24-hour realised volatility was 46.46% and 30-day realised volatility was 50.39%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.76 volatility points to 48.91% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.26 volatility points to 55.05% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.09 volatility points to 0.48% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 2.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.73 volatility points at 1W, to 47.71%.", "tenor": "1W", "value": 4.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.62, "rr25Change": 1.09, "bf25Change": 0.07, "largestAtmMove": { "tenor": "1W", "current": 47.71, "previous": 42.98, "change": 4.73, "historicalSignificance": { "absoluteMove": 4.73, "movePercentile30d": 75.0, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 81.2, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } }, "frontEndAverageAtm": { "current": 48.91, "previous": 46.14, "change": 2.76 }, "longEndAverageAtm": { "current": 55.05, "previous": 54.78, "change": 0.26 }, "oneYearMinusOneWeekAtmSlope": { "current": 8.15, "previous": 13.04, "change": -4.89 }, "largestRr25Move": { "tenor": "1W", "current": 0.52, "previous": -1.59, "change": 2.11, "historicalSignificance": { "absoluteMove": 2.11, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": 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Ether front-end ATM IV across the one-week, two-week and one-month tenors rose 2.76 volatility points on average, while Ether long-end ATM IV across the six-month and one-year tenors rose 0.26 volatility points on average. The Ether one-year-minus-one-week ATM IV slope was 8.15 volatility points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-02", "asOfTimestamp": "2026-09-02T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session crypto and equity-volatility context. The crypto-to-SPX realised-volatility ratio was 8.21, at the 95.1 percentile across 223 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.21, at the 95.1 percentile across 223 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 48.87, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 33.67000019073486, "ivRatio": 3.2151316192919532, "cryptoRealisedVol20d": 62.32360394180741, "spxRealisedVol20": 7.588171409644216, "rvSpread": 54.735432532163195, "rvRatio": 8.21325726282316, "rvSpreadPercentile": 58.29596412556054, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 95.06726457399103, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.020968517459520112, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3227145915296376, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789058280236, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.71, "previous": 42.98, "change": 4.73, "percentChange": 11.01 }, "rr25": { "current": 0.52, "previous": -1.59, "change": 2.11, "percentChange": 132.7 }, "bf25": { "current": 2.8, "previous": 2.59, "change": 0.21, "percentChange": 8.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.73, "movePercentile30d": 75.0, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 81.2, "label": "notable", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 2.11, "movePercentile30d": 58.3, "movePercentileFullHistory": 68.8, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 68.8, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 41.7, "movePercentileFullHistory": 37.5, "currentLevelPercentileFullHistory": 63.2, "classificationPercentile": 41.7, "label": "routine", "observations30d": 12, "observationsFullHistory": 16, "levelObservationsFullHistory": 19 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-03", "generatedAt": "2026-09-03T16:58:56+00:00", "currentSnapshotAt": "2026-09-03T16:38:00+00:00", "previousSnapshotAt": "2026-09-02T16:38:00+00:00", "sourceSnapshots": { "current": { "id": 255743, "timestamp": "2026-09-03T16:38:00+00:00" }, "previous": { "id": 245724, "timestamp": "2026-09-02T16:38:00+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": "2026-09-03T16:38:00+00:00", "spotMove24hPercent": 5.16, "rv24hPercent": 61.15, "rv7dPercent": 61.78, "rv30dPercent": 64.3, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 51.89, "oneWeekIvMinus7dRvPoints": -9.89, "oneWeekIvMinus24hRvPoints": -9.26, "oneWeekIvMinus30dRvPoints": -12.41 }, "fitQuality": { "currentObjective": 0.00754341, "previousObjective": 0.00802516, "currentLiveError": 5.78124565, "previousLiveError": 7.55894936 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 5, "comparedListedExpiries": 4, "addedExpiries": [ "18SEP26", "30OCT26", "5SEP26" ], "removedExpiries": [ "3SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s call-side skew breaks away from lower ATM volatility", "executiveSummary": "SOL’s defining move was a 3.88-point rise in two-week RR25 toward call-side volatility, contrasting with lower short-dated ATM IV.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "News Check: no qualifying SOL-related event was retained.", "marketContextSummary": "No collected news establishes a direct explanation for this options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:38 UTC cutoff, 1W ATM IV was 51.89%, 9.89 volatility points below seven-day realised volatility of 61.78%; 24-hour realised volatility was 61.15% and 30-day realised volatility was 64.30%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.19 volatility points to 52.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 52.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.27 volatility points to 4.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 4.58% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.67 volatility points at 1W, to 51.89%.", "tenor": "1W", "value": -1.67 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 8, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "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": "2W RR25 moved 3.88 volatility points toward calls to 3.97%, leaving calls richer than puts; this was an exceptional move at the 100th percentile. At the cutoff, realised volatility measured 61.15% over 24 hours, 61.78% over seven days and 64.30% over 30 days. Front-end ATM IV averaged 52.37%, -1.19 points from the prior snapshot, while the long end averaged 52.84%, -0.50 points. The 1Y-minus-1W ATM slope turned positive, rising 1.17 points to 0.94 points. 1W ATM IV fell 1.67 volatility points to 51.89%. 1W BF25 rose 0.38 volatility points to 3.83%. The nearest eligible forward, 11SEP26, rose $4.98 (+5.02%) to $104.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 114, "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 16:38 UTC cutoff, 1W ATM IV was 51.89%, 9.89 volatility points below seven-day realised volatility of 61.78%; 24-hour realised volatility was 61.15% and 30-day realised volatility was 64.30%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.19 volatility points to 52.37% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 52.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.27 volatility points to 4.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 4.58% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.67 volatility points at 1W, to 51.89%.", "tenor": "1W", "value": -1.67 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.84, "rr25Change": 3.27, "bf25Change": 0.2, "largestAtmMove": { "tenor": "1W", "current": 51.89, "previous": 53.56, "change": -1.67, "historicalSignificance": { "absoluteMove": 1.67, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } }, "frontEndAverageAtm": { "current": 52.37, "previous": 53.55, "change": -1.19 }, "longEndAverageAtm": { "current": 52.84, "previous": 53.34, "change": -0.5 }, "oneYearMinusOneWeekAtmSlope": { "current": 0.94, "previous": -0.23, "change": 1.17 }, "largestRr25Move": { "tenor": "2W", "current": 3.97, "previous": 0.09, "change": 3.88, "historicalSignificance": { "absoluteMove": 3.88, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.83, "previous": 3.45, "change": 0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 7.64, "current": 104.26, "previous": 99.28, "change": 4.98, "percentChange": 5.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789058280738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.89, "previous": 53.56, "change": -1.67, "percentChange": -3.12 }, "rr25": { "current": 3.49, "previous": -0.27, "change": 3.76, "percentChange": 1392.59 }, "bf25": { "current": 3.83, "previous": 3.45, "change": 0.38, "percentChange": 11.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.67, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.38, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "2W", "targetExpiry": 1789663080738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.5, "previous": 53.53, "change": -1.03, "percentChange": -1.92 }, "rr25": { "current": 3.97, "previous": 0.09, "change": 3.88, "percentChange": 4311.11 }, "bf25": { "current": 3.77, "previous": 3.63, "change": 0.14, "percentChange": 3.86 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.03, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.88, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "1M", "targetExpiry": 1791045480738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.71, "previous": 53.57, "change": -0.86, "percentChange": -1.61 }, "rr25": { "current": 3.81, "previous": 0.83, "change": 2.98, "percentChange": 359.04 }, "bf25": { "current": 4.21, "previous": 4.13, "change": 0.08, "percentChange": 1.94 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.86, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 2.98, "movePercentile30d": 100.0, "movePercentileFullHistory": 100.0, "currentLevelPercentileFullHistory": 85.7, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 0.0, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "3M", "targetExpiry": 1796315880738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.91, "previous": 53.4, "change": -0.49, "percentChange": -0.92 }, "rr25": { "current": 5.1, "previous": 2.13, "change": 2.97, "percentChange": 139.44 }, "bf25": { "current": 4.94, "previous": 4.87, "change": 0.07, "percentChange": 1.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 2.97, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 14.3, "classificationPercentile": 0.0, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "6M", "targetExpiry": 1804178280738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.86, "previous": 53.35, "change": -0.49, "percentChange": -0.92 }, "rr25": { "current": 5.45, "previous": 2.44, "change": 3.01, "percentChange": 123.36 }, "bf25": { "current": 5.29, "previous": 5.06, "change": 0.23, "percentChange": 4.55 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.01, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 66.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "9M", "targetExpiry": 1812040680738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.84, "previous": 53.34, "change": -0.5, "percentChange": -0.94 }, "rr25": { "current": 5.57, "previous": 2.54, "change": 3.03, "percentChange": 119.29 }, "bf25": { "current": 5.41, "previous": 5.12, "change": 0.29, "percentChange": 5.66 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.5, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.03, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.29, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } }, { "tenor": "1Y", "targetExpiry": 1819989480738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.83, "previous": 53.33, "change": -0.5, "percentChange": -0.94 }, "rr25": { "current": 5.63, "previous": 2.6, "change": 3.03, "percentChange": 116.54 }, "bf25": { "current": 5.47, "previous": 5.16, "change": 0.31, "percentChange": 6.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.5, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.03, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, 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The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 9.63, at the 93.2 percentile across 220 prior observations.", "The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 53.18, "vix": 15.199999809265137, "vix9d": 12.569999694824219, "vix3m": 17.729999542236328, "ivSpread": 37.98000019073486, "ivRatio": 3.4986842544290173, "cryptoRealisedVol20d": 73.1036490998457, "spxRealisedVol20": 7.588171409644216, "rvSpread": 65.51547769020148, "rvRatio": 9.63389532910845, "rvSpreadPercentile": 52.72727272727273, "rvSpreadPercentileSampleCount": 220, "rvRatioPercentile": 93.18181818181819, "rvRatioPercentileSampleCount": 220, "returnCorrelation30": 0.233231285366973, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.38287375102586013, "returnCorrelation60SampleCount": 60 }, "methodology": "Provider: yahoo_finance; quality: valid. Crypto RV annualised on sqrt(365); SPX RV on sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789058280738, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.89, "previous": 53.56, "change": -1.67, "percentChange": -3.12 }, "rr25": { "current": 3.49, "previous": -0.27, "change": 3.76, "percentChange": 1392.59 }, "bf25": { "current": 3.83, "previous": 3.45, "change": 0.38, "percentChange": 11.01 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.67, "movePercentile30d": 16.7, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 28.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.3, "currentLevelPercentileFullHistory": 71.4, "classificationPercentile": 83.3, "label": "notable", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 }, "bf25": { "absoluteMove": 0.38, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 33.3, "label": "routine", "observations30d": 6, "observationsFullHistory": 6, "levelObservationsFullHistory": 7 } } } } ], "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": 51.89, "lowest": 37.02, "spread": 14.87, "highestToLowestRatio": 1.4017, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 51.89, "values": [ { "asset": "BTC", "value": 37.02 }, { "asset": "ETH", "value": 47.71 }, { "asset": "SOL", "value": 51.89 } ], "previousSpread": 22.29, "spreadChange": -7.42, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "SOL", "highest": 5.75, "lowest": -1.67, "spread": 7.42, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 5.75, "values": [ { "asset": "BTC", "value": 5.75 }, { "asset": "ETH", "value": 4.73 }, { "asset": "SOL", "value": -1.67 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": 3.49, "lowest": 0.52, "spread": 2.97, "highestToLowestRatio": 6.7115, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.49, "values": [ { "asset": "BTC", "value": 1.94 }, { "asset": "ETH", "value": 0.52 }, { "asset": "SOL", "value": 3.49 } ], "previousSpread": 1.32, "spreadChange": 1.65, "dispersionDirection": "widening" }, "rr25Change": { "leader": "SOL", "laggard": "ETH", "highest": 3.76, "lowest": 2.11, "spread": 1.65, "highestToLowestRatio": 1.782, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.76, "values": [ { "asset": "BTC", "value": 2.86 }, { "asset": "ETH", "value": 2.11 }, { "asset": "SOL", "value": 3.76 } ] } }, "relativeVolatilityLeader": { "asset": "BTC", "metric": "absolute 1W ATM IV change", "value": 5.75 }, "termStructure": { "definition": "1Y minus 1W ATM IV, in volatility points", "currentSlope": { "leader": "ETH", "laggard": "SOL", "highest": 8.15, "lowest": 0.94, "spread": 7.21, "highestToLowestRatio": 8.6702, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 8.15, "values": [ { "asset": "BTC", "value": 5.3 }, { "asset": "ETH", "value": 8.15 }, { "asset": "SOL", "value": 0.94 } ], "previousSpread": 13.27, "spreadChange": -6.06, "dispersionDirection": "compressing" }, "slopeChange": { "leader": "SOL", "laggard": "BTC", "highest": 1.17, "lowest": -5.37, "spread": 6.54, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -5.37, "values": [ { "asset": "BTC", "value": -5.37 }, { "asset": "ETH", "value": -4.89 }, { "asset": "SOL", "value": 1.17 } ] } }, "relativeValue": { "ivMinusRealised7d": { "leader": "ETH", "laggard": "SOL", "highest": 4.02, "lowest": -9.89, "spread": 13.91, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -9.89, "values": [ { "asset": "BTC", "value": 2.06 }, { "asset": "ETH", "value": 4.02 }, { "asset": "SOL", "value": -9.89 } ] }, "spotPerformance24h": { "leader": "SOL", "laggard": "ETH", "highest": 5.16, "lowest": 4.27, "spread": 0.89, "highestToLowestRatio": 1.2084, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 5.16, "values": [ { "asset": "BTC", "value": 4.51 }, { "asset": "ETH", "value": 4.27 }, { "asset": "SOL", "value": 5.16 } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 51.89, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 47.71, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 37.02, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": 5.75, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 4.73, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -1.67, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "BTC", "value": 5.75, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 4.73, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -1.67, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 4.02, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 2.06, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -9.89, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 3.49, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 1.94, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "ETH", "value": 0.52, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": 0.52, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 1.94, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 3.49, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": 1, "asset": "ETH", "value": 8.15, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 5.3, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 0.94, "previousRank": 3, "rankChange": 0 } ], "termStructureSlopeChange": [ { "rank": 1, "asset": "BTC", "value": -5.37, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -4.89, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": 1.17, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "SOL", "value": 5.16, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 4.51, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 4.27, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": -1.67, "groupMedian": 4.73, "distanceFromMedian": -6.4 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 37.02, "groupMedian": 47.71, "distanceFromMedian": -10.69 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 3.49, "groupMedian": 1.94, "distanceFromMedian": 1.55 }, { "metric": "1Y minus 1W ATM IV slope", "asset": "SOL", "value": 0.94, "groupMedian": 5.3, "distanceFromMedian": -4.36 }, { "metric": "1W IV minus 7D realised volatility", "asset": "SOL", "value": -9.89, "groupMedian": 2.06, "distanceFromMedian": -11.95 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "SOL", "spread": 13.91, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and SOL cheapest on one-week implied volatility versus seven-day realised volatility, with a 13.91-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 5, "oneWeekAtmIvLevelDispersionPercentile": null, "oneWeekAtmIvChangeDispersionPercentile": null, "oneWeekRr25LevelDispersionPercentile": null, "termStructureDispersionPercentile": null, "ivMinusRealisedDispersionPercentile": null, "availabilityNote": "Cross-sectional percentiles require 20 prior aligned reports." }, "correlations": { "metric": "spotMove24hPercent", "minimumObservations": 10, "lookbackObservations": 30, "pairs": [ { "assets": [ "BTC", "ETH" ], "value": null, "observations": 6 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 6 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 6 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "SOL", "highest": 5.75, "lowest": -1.67, "spread": 7.42, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 5.75, "values": [ { "asset": "BTC", "value": 5.75 }, { "asset": "ETH", "value": 4.73 }, { "asset": "SOL", "value": -1.67 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 51.89, "lowest": 37.02, "spread": 14.87, "highestToLowestRatio": 1.4017, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 51.89, "values": [ { "asset": "BTC", "value": 37.02 }, { "asset": "ETH", "value": 47.71 }, { "asset": "SOL", "value": 51.89 } ], "previousSpread": 22.29, "spreadChange": -7.42, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 3.49, "lowest": 0.52, "spread": 2.97, "highestToLowestRatio": 6.7115, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.49, "values": [ { "asset": "BTC", "value": 1.94 }, { "asset": "ETH", "value": 0.52 }, { "asset": "SOL", "value": 3.49 } ], "previousSpread": 1.32, "spreadChange": 1.65, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "SOL", "highest": 8.15, "lowest": 0.94, "spread": 7.21, "highestToLowestRatio": 8.6702, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 8.15, "values": [ { "asset": "BTC", "value": 5.3 }, { "asset": "ETH", "value": 8.15 }, { "asset": "SOL", "value": 0.94 } ], "previousSpread": 13.27, "spreadChange": -6.06, "dispersionDirection": "compressing" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "SOL", "highest": 4.02, "lowest": -9.89, "spread": 13.91, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -9.89, "values": [ { "asset": "BTC", "value": 2.06 }, { "asset": "ETH", "value": 4.02 }, { "asset": "SOL", "value": -9.89 } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "SOL", "laggard": "ETH", "highest": 5.16, "lowest": 4.27, "spread": 0.89, "highestToLowestRatio": 1.2084, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 5.16, "values": [ { "asset": "BTC", "value": 4.51 }, { "asset": "ETH", "value": 4.27 }, { "asset": "SOL", "value": 5.16 } ] }, { "id": "majors-cross-term-structure-change", "metric": "1Y minus 1W ATM IV slope change dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 1.17, "lowest": -5.37, "spread": 6.54, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -5.37, "values": [ { "asset": "BTC", "value": -5.37 }, { "asset": "ETH", "value": -4.89 }, { "asset": "SOL", "value": 1.17 } ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-03T16:38:00+00:00", "window": { "startAt": "2026-09-02T16:38:00+00:00", "endAt": "2026-09-03T16:38:00+00:00", "endExclusive": true }, "headline": "Major-coin options retain a wide implied-versus-realised volatility gap as ETH leads", "standfirst": "Major-coin one-week implied volatility minus seven-day realised volatility spans 13.91 volatility points between ETH and SOL. Major-coin one-week ATM IV level dispersion narrowed by 7.42 volatility points to 14.87 volatility points between SOL and BTC.", "days": [ { "reportDate": "2026-09-03", "headline": "Major-coin options retain a relative-value divide", "summary": "ETH screens richest and SOL cheapest on one-week implied volatility versus seven-day realised volatility.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 1.1366666666666667, "rr25Change": 2.013333333333333, "bf25Change": 0.12666666666666668 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "ETH leads the major-coin options value comparison", "executiveSummary": "The major-coin options complex retains a marked gap between ETH and SOL on one-week implied volatility versus seven-day realised volatility.", "evidenceIds": [ "majors-cross-iv-minus-realised-dispersion", "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion" ], "newsSummary": "News Check: no event materially illuminated the comparative options thesis.", "marketContextSummary": "No retained news offers a direct link to relative major-coin options repricing.", "marketContext": [], "newsEvidenceIds": [] } }