{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:38+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "headline": "Major-coin options diverge as SOL volatility stays highest and BTC lowest", "standfirst": "One-week ATM IV dispersion across BTC, ETH and SOL widened by 2.54 volatility points to 16.95 points. SOL held the highest one-week implied volatility at 48.96%, BTC the lowest at 32.01%, and ETH’s 5.20-point decline was the largest absolute daily move.", "marketSummary": "The BTC, ETH and SOL complex became more dispersed: one-week ATM IV ranged from 32.01% for BTC to 48.96% for SOL, a 16.95-point spread.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-04", "artifactId": "sha256:da128c5719628545ecfa12852c0709410ec1997ff6d5824887f7cef5d9997379", "contentSha256": "c3cc6818f3be928534ca5171966ce4d1c53a3bfe3c1dc19206b7667048595c83", "currentSnapshotId": 265881, "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotId": 255809, "previousSnapshotAt": "2026-09-03T16:48:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-04", "artifactId": "sha256:1971491de659c021f100e56915e8efb20e1547d77a09692691d45fcbe2e14867", "contentSha256": "15e65d93355da987dee8b8a91ec3da34ddf08aaa532692dc396ff187774fe04a", "currentSnapshotId": 265879, "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotId": 255810, "previousSnapshotAt": "2026-09-03T16:48:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-04", "artifactId": "sha256:b994fc08134793ad3e398ae3959e342845775bad41d0b38856782be27dde999e", "contentSha256": "dde5a64ac2a42aaae537fad531c2279a9aa248653ef98e82d1f63f7cab3f118d", "currentSnapshotId": 265880, "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotId": 255813, "previousSnapshotAt": "2026-09-03T16:48:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:35+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "sourceSnapshots": { "current": { "id": 265881, "timestamp": "2026-09-04T16:48:00+00:00" }, "previous": { "id": 255809, "timestamp": "2026-09-03T16:48:00+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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface 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": "2026-09-04T16:48:00+00:00", "spotMove24hPercent": -1.48, "rv24hPercent": 52.23, "rv7dPercent": 36.91, "rv30dPercent": 37.75, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 32.01, "oneWeekIvMinus7dRvPoints": -4.9, "oneWeekIvMinus24hRvPoints": -20.22, "oneWeekIvMinus30dRvPoints": -5.74 }, "fitQuality": { "currentObjective": 0.04417236, "previousObjective": 0.07238309, "currentLiveError": 67.80031968, "previousLiveError": 79.56152116 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "8SEP26" ], "removedExpiries": [ "4SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options reprice lower as 1w ATM IV falls", "executiveSummary": "At the cutoff, Bitcoin 1W ATM IV stood at 32.01%, 4.90 volatility points below Bitcoin seven-day realised volatility of 36.91%.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "rr25" ], "newsSummary": "No qualifying news context was retained for the broad Bitcoin options move.", "marketContextSummary": "No retained news item provides a supported direct link to the Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 32.01%, 4.90 volatility points below seven-day realised volatility of 36.91%; 24-hour realised volatility was 52.23% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.01 volatility points to 34.38% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.61 volatility points to 39.87% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.32 volatility points to 2.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.04 volatility points at 1W, to 32.01%.", "tenor": "1W", "value": -5.04 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 14, "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": 2, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 fell 5.04 volatility points to 32.01%, a large move at the 92nd percentile among 133 comparable historical observations. At the cutoff, realised volatility measured 52.23% over 24 hours, 36.91% over seven days and 37.75% over 30 days. Front-end ATM IV averaged 34.38%, -3.01 points from the prior snapshot, while the long end averaged 39.87%, -0.61 points. 1W RR25 moved 1.82 volatility points toward puts to 0.29%, leaving calls richer than puts. 1W BF25 fell 0.58 volatility points to 1.67%. The nearest eligible forward, 7SEP26, fell $1,156.34 (-1.43%) to $79,813.70. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 32.01%, 4.90 volatility points below seven-day realised volatility of 36.91%; 24-hour realised volatility was 52.23% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.01 volatility points to 34.38% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.61 volatility points to 39.87% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.32 volatility points to 2.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.04 volatility points at 1W, to 32.01%.", "tenor": "1W", "value": -5.04 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.12, "rr25Change": -0.81, "bf25Change": -0.32, "largestAtmMove": { "tenor": "1W", "current": 32.01, "previous": 37.05, "change": -5.04, "historicalSignificance": { "absoluteMove": 5.04, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 20.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } }, "frontEndAverageAtm": { "current": 34.38, "previous": 37.4, "change": -3.01 }, "longEndAverageAtm": { "current": 39.87, "previous": 40.48, "change": -0.61 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.29, "previous": 2.11, "change": -1.82, "historicalSignificance": { "absoluteMove": 1.82, "movePercentile30d": 76.7, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.8, "classificationPercentile": 85.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.67, "previous": 2.25, "change": -0.58, "historicalSignificance": { "absoluteMove": 0.58, "movePercentile30d": 93.3, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 28.4, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } }, "nearestEligibleForwardMove": { "label": "7SEP26", "daysToExpiry": 2.633, "current": 79813.7, "previous": 80970.04, "change": -1156.34, "percentChange": -1.43 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789145340059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.01, "previous": 37.05, "change": -5.04, "percentChange": -13.6 }, "rr25": { "current": 0.29, "previous": 2.11, "change": -1.82, "percentChange": -86.26 }, "bf25": { "current": 1.67, "previous": 2.25, "change": -0.58, "percentChange": -25.78 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.04, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 20.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 1.82, "movePercentile30d": 76.7, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.8, "classificationPercentile": 85.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.58, "movePercentile30d": 93.3, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 28.4, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "2W", "targetExpiry": 1789750140059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.15, "previous": 37.72, "change": -2.57, "percentChange": -6.81 }, "rr25": { "current": 0.64, "previous": 1.8, "change": -1.16, "percentChange": -64.44 }, "bf25": { "current": 1.8, "previous": 2.2, "change": -0.4, "percentChange": -18.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.57, "movePercentile30d": 80.0, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 41.0, "classificationPercentile": 85.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 1.16, "movePercentile30d": 73.3, "movePercentileFullHistory": 76.7, "currentLevelPercentileFullHistory": 93.3, "classificationPercentile": 76.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.4, "movePercentile30d": 86.7, "movePercentileFullHistory": 80.5, "currentLevelPercentileFullHistory": 38.1, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "1M", "targetExpiry": 1791132540059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.99, "previous": 37.42, "change": -1.43, "percentChange": -3.82 }, "rr25": { "current": 0.65, "previous": 1.32, "change": -0.67, "percentChange": -50.76 }, "bf25": { "current": 2.09, "previous": 2.3, "change": -0.21, "percentChange": -9.13 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.43, "movePercentile30d": 80.0, "movePercentileFullHistory": 78.9, "currentLevelPercentileFullHistory": 45.5, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 0.67, "movePercentile30d": 60.0, "movePercentileFullHistory": 66.2, "currentLevelPercentileFullHistory": 95.5, "classificationPercentile": 66.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 86.7, "movePercentileFullHistory": 79.7, "currentLevelPercentileFullHistory": 39.6, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "3M", "targetExpiry": 1796402940059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.34, "previous": 39.28, "change": -0.94, "percentChange": -2.39 }, "rr25": { "current": 0.03, "previous": 0.21, "change": -0.18, "percentChange": -85.71 }, "bf25": { "current": 2.35, "previous": 2.59, "change": -0.24, "percentChange": -9.27 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.94, "movePercentile30d": 76.7, "movePercentileFullHistory": 81.2, "currentLevelPercentileFullHistory": 43.3, "classificationPercentile": 81.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 0.18, "movePercentile30d": 30.0, "movePercentileFullHistory": 32.3, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 32.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": 86.7, "movePercentileFullHistory": 90.2, "currentLevelPercentileFullHistory": 44.8, "classificationPercentile": 90.2, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "6M", "targetExpiry": 1804265340059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.87, "previous": 40.48, "change": -0.61, "percentChange": -1.51 }, "rr25": { "current": -0.17, "previous": 0.05, "change": -0.22, "percentChange": -440.0 }, "bf25": { "current": 2.53, "previous": 2.69, "change": -0.16, "percentChange": -5.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.61, "movePercentile30d": 70.0, "movePercentileFullHistory": 83.5, "currentLevelPercentileFullHistory": 6.0, "classificationPercentile": 83.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 46.7, "movePercentileFullHistory": 52.6, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 52.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 83.3, "movePercentileFullHistory": 87.2, "currentLevelPercentileFullHistory": 44.0, "classificationPercentile": 87.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "9M", "targetExpiry": 1812127740059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.15, "previous": 41.59, "change": -0.44, "percentChange": -1.06 }, "rr25": { "current": 0.01, "previous": 0.21, "change": -0.2, "percentChange": -95.24 }, "bf25": { "current": 2.69, "previous": 2.81, "change": -0.12, "percentChange": -4.27 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.44, "movePercentile30d": 76.7, "movePercentileFullHistory": 82.0, "currentLevelPercentileFullHistory": 7.5, "classificationPercentile": 82.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 50.0, "movePercentileFullHistory": 55.6, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 55.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 70.0, "movePercentileFullHistory": 79.7, "currentLevelPercentileFullHistory": 64.2, "classificationPercentile": 79.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } }, { "tenor": "1Y", "targetExpiry": 1820076540059, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "5SEP26", "expiry": 1788595200000, "tauYears": 0.0017333, "daysToExpiry": 0.633, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79807.61, "previous": 80974.77, "change": -1167.16, "percentChange": -1.44 }, "atmIv": { "current": 26.64, "previous": 44.34, "change": -17.7, "percentChange": -39.92 }, "rr25": { "current": -0.41, "previous": 3.11, "change": -3.52, "percentChange": -113.18 }, "bf25": { 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"highestThetaDecay": { "label": "5SEP26", "expiry": 1788595200000, "value": -279.07544381, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00175858, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -24.21572187, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "5SEP26", "values": [ 20.5756, 19.2199, 17.8615, 16.4981, 15.1264, 13.7419, 12.3387, 10.9088, 9.4418, 7.9239, 6.3368, 4.6566, 2.8526, 0.8856, -1.2917, -3.7301, -6.4686, -9.4941, -12.6608, -15.5859, -17.6686, -18.4592, -18.0676, -16.9709, -15.5902, -14.1618, 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"values": [ 2.074, 1.8491, 1.6149, 1.3697, 1.1119, 0.8396, 0.5505, 0.2424, -0.0872, -0.441, -0.8214, -1.2303, -1.6685, -2.1353, -2.6273, -3.1377, -3.655, -4.1633, -4.6437, -5.0754, -5.4409, -5.7282, -5.9332, -6.0599, -6.1175, -6.1183, -6.0749, -5.9992, -5.9006, -5.7868, -5.6636, -5.535, -5.4042, -5.2729, -5.1426, -5.0142, -4.8881, -4.7647, -4.6438, -4.526, -4.4106 ] }, { "label": "18SEP26", "values": [ -1.2276, -1.1929, -1.1656, -1.1469, -1.1374, -1.1379, -1.1494, -1.1729, -1.2092, -1.2587, -1.3223, -1.4002, -1.4923, -1.5983, -1.7171, -1.8472, -1.9867, -2.133, -2.2833, -2.4345, -2.5837, -2.7282, -2.8658, -2.995, -3.1146, -3.2242, -3.3237, -3.4134, -3.494, -3.5663, -3.6308, -3.6885, -3.7401, -3.7864, -3.828, -3.8654, -3.8992, -3.9298, -3.9576, -3.983, -4.0062 ] }, { "label": "25SEP26", "values": [ 0.8806, 0.8064, 0.7254, 0.6374, 0.5422, 0.4397, 0.3298, 0.2126, 0.0883, -0.0429, -0.1804, -0.3235, -0.4712, -0.6223, -0.7754, -0.9289, -1.0811, -1.2301, -1.3743, -1.5118, -1.6415, -1.7621, -1.8727, -1.9732, -2.0631, -2.1428, -2.2126, -2.2732, -2.3252, -2.3695, -2.4071, -2.4384, -2.4645, -2.4862, -2.5038, -2.5185, -2.5303, -2.5399, -2.5478, -2.5542, -2.5596 ] }, { "label": "30OCT26", "values": [ -1.4524, -1.4481, -1.4425, -1.4358, -1.4277, -1.4188, -1.4087, -1.3977, -1.3861, -1.3739, -1.3614, -1.3488, -1.3361, -1.3238, -1.312, -1.301, -1.291, -1.2822, -1.2748, -1.2689, -1.2648, -1.2627, -1.2625, -1.2643, -1.2683, -1.2744, -1.2826, -1.2929, -1.3053, -1.3196, -1.3358, -1.3538, -1.3734, -1.3946, -1.4173, -1.4413, -1.4666, -1.493, -1.5203, -1.5486, -1.5777 ] }, { "label": "27NOV26", "values": [ -1.1969, -1.1814, -1.1653, -1.1492, -1.1328, -1.1165, -1.1005, -1.0847, -1.0694, -1.0548, -1.041, -1.0282, -1.0165, -1.006, -0.9969, -0.9891, -0.9829, -0.9782, -0.9753, -0.974, -0.9744, -0.9766, -0.9805, -0.986, -0.9933, -1.0021, -1.0125, -1.0243, -1.0376, -1.0523, -1.0683, -1.0855, -1.1037, -1.123, -1.1434, -1.1645, -1.1865, -1.2092, -1.2325, -1.2565, -1.281 ] }, { "label": "25DEC26", "values": [ -0.7213, -0.7252, -0.7295, -0.7343, -0.7396, -0.7453, -0.7516, -0.7583, -0.7657, -0.7735, -0.7819, -0.7908, -0.8003, -0.8103, -0.8208, -0.8316, -0.8431, -0.8549, -0.8671, -0.8796, -0.8924, -0.9056, -0.9189, -0.9324, -0.946, -0.9598, -0.9735, -0.9872, -1.0009, -1.0146, -1.0281, -1.0413, -1.0545, -1.0674, -1.08, -1.0925, -1.1045, -1.1163, -1.1277, -1.1389, -1.1496 ] }, { "label": "26MAR27", "values": [ -0.5398, -0.5377, -0.5358, -0.5341, -0.5326, -0.5314, -0.5305, -0.5299, -0.5295, -0.5295, -0.5299, -0.5306, -0.5318, -0.5332, -0.5351, -0.5373, -0.54, -0.543, -0.5465, -0.5504, -0.5548, -0.5594, -0.5645, -0.57, -0.5759, -0.5822, -0.5888, -0.5958, -0.6031, -0.6107, -0.6187, -0.6269, -0.6354, -0.6442, -0.6532, -0.6624, -0.6719, -0.6815, -0.6913, -0.7012, -0.7113 ] }, { "label": "25JUN27", "values": [ -0.383, -0.3792, -0.3761, -0.3735, -0.3714, -0.3698, -0.3687, -0.3681, -0.368, -0.3683, -0.3692, -0.3704, -0.3722, -0.3743, -0.3767, -0.3796, -0.3827, -0.3863, -0.3901, -0.3942, -0.3986, -0.4032, -0.4081, -0.4131, -0.4183, -0.4236, -0.429, -0.4346, -0.4402, -0.4459, -0.4516, -0.4574, -0.4631, -0.4689, -0.4745, -0.4802, -0.4858, -0.4913, -0.4967, -0.502, -0.5071 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice lower as 1w ATM IV drops", "standfirst": "Bitcoin 1W ATM IV fell 5.04 volatility points to 32.01%. Bitcoin 1W RR25 moved 1.82 volatility points toward puts to 0.29%, while Bitcoin 1W BF25 fell 0.58 volatility points to 1.67%. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-04", "headline": "Bitcoin options reprice lower at the front end", "summary": "Bitcoin 1W ATM IV fell 5.04 volatility points to 32.01%, below Bitcoin seven-day realised volatility of 36.91%.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options reprice lower as 1w ATM IV drops", "standfirst": "Bitcoin 1W ATM IV fell 5.04 volatility points to 32.01%. Bitcoin 1W RR25 moved 1.82 volatility points toward puts to 0.29%, while Bitcoin 1W BF25 fell 0.58 volatility points to 1.67%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "unavailable", "asset": "BTC", "sessionDate": "2026-09-03", "asOfTimestamp": "2026-09-03T20:00:00+00:00", "summary": "Previous session (latest completed): Common benchmark session is available, but persisted BTC cross-asset context is unavailable.", "regimeInsights": [], "metrics": { "cryptoAtmIv30d": null, "vix": 14.319999694824219, "vix9d": 11.680000305175781, "vix3m": 17.420000076293945, "ivSpread": null, "ivRatio": null, "cryptoRealisedVol20d": null, "spxRealisedVol20": null, "rvSpread": null, "rvRatio": null, "rvSpreadPercentile": null, "rvSpreadPercentileSampleCount": null, "rvRatioPercentile": null, "rvRatioPercentileSampleCount": null, "returnCorrelation30": null, "returnCorrelation30SampleCount": null, "returnCorrelation60": null, "returnCorrelation60SampleCount": null }, "methodology": "Persisted DerivaSys market-context v1; benchmark values are Yahoo Finance US-session closes. BTC cross-asset metrics were unavailable and remain null." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789145340059, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.01, "previous": 37.05, "change": -5.04, "percentChange": -13.6 }, "rr25": { "current": 0.29, "previous": 2.11, "change": -1.82, "percentChange": -86.26 }, "bf25": { "current": 1.67, "previous": 2.25, "change": -0.58, "percentChange": -25.78 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.04, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 20.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "rr25": { "absoluteMove": 1.82, "movePercentile30d": 76.7, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.8, "classificationPercentile": 85.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 }, "bf25": { "absoluteMove": 0.58, "movePercentile30d": 93.3, "movePercentileFullHistory": 85.7, "currentLevelPercentileFullHistory": 28.4, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 133, "levelObservationsFullHistory": 134 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:37+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "sourceSnapshots": { "current": { "id": 265879, "timestamp": "2026-09-04T16:48:00+00:00" }, "previous": { "id": 255810, "timestamp": "2026-09-03T16:48:00+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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface 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": "2026-09-04T16:48:00+00:00", "spotMove24hPercent": -1.37, "rv24hPercent": 68.3, "rv7dPercent": 47.11, "rv30dPercent": 51.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 42.1, "oneWeekIvMinus7dRvPoints": -5.01, "oneWeekIvMinus24hRvPoints": -26.2, "oneWeekIvMinus30dRvPoints": -9.41 }, "fitQuality": { "currentObjective": 0.1346548, "previousObjective": 0.01663583, "currentLiveError": 25.03799082, "previousLiveError": 18.96561424 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "8SEP26" ], "removedExpiries": [ "4SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options pair volatility compression with put-rich skew", "executiveSummary": "Ether one-week ATM IV declined while one-week RR25 turned put-rich, pairing softer short-dated volatility with more defensive skew.", "evidenceIds": [ "largest-standard-tenor", "rr25", "back-atm" ], "newsSummary": "No qualifying news context was retained for the Ether options-surface movement.", "marketContextSummary": "No retained news item offers a supported explanation for Ether’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 42.10%, 5.01 volatility points below seven-day realised volatility of 47.11%; 24-hour realised volatility was 68.30% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.57 volatility points to 46.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 54.06% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.10% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 2.74% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 42.10%.", "tenor": "1W", "value": -5.2 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 14, "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": 2, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 fell 5.20 volatility points to 42.10%. At the cutoff, realised volatility measured 68.30% over 24 hours, 47.11% over seven days and 51.51% over 30 days. Front-end ATM IV averaged 46.29%, -2.57 points from the prior snapshot, while the long end averaged 54.06%, +0.02 points. 1W RR25 moved 2.06 volatility points toward puts to -1.66%, leaving puts richer than calls. 1W BF25 fell 0.30 volatility points to 2.46%. The nearest eligible forward, 7SEP26, fell $33.30 (-1.33%) to $2,462.11. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 42.10%, 5.01 volatility points below seven-day realised volatility of 47.11%; 24-hour realised volatility was 68.30% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.57 volatility points to 46.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 54.06% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.10% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 2.74% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -5.20 volatility points at 1W, to 42.10%.", "tenor": "1W", "value": -5.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.52, "rr25Change": -0.52, "bf25Change": -0.12, "largestAtmMove": { "tenor": "1W", "current": 42.1, "previous": 47.3, "change": -5.2, "historicalSignificance": { "absoluteMove": 5.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 5.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } }, "frontEndAverageAtm": { "current": 46.29, "previous": 48.85, "change": -2.57 }, "longEndAverageAtm": { "current": 54.06, "previous": 54.04, "change": 0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.66, "previous": 0.4, "change": -2.06, "historicalSignificance": { "absoluteMove": 2.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.46, "previous": 2.76, 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The move was concentrated at the front end, while long-dated ATM IV was broadly unchanged. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-04", "headline": "Ether short-dated skew turns defensive", "summary": "One-week volatility compressed while the short-dated skew shifted to put-rich pricing. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options compress as short-dated put volatility becomes richer", "standfirst": "Ether one-week ATM IV declined as one-week RR25 moved into put-rich territory. The move was concentrated at the front end, while long-dated ATM IV was broadly unchanged.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-03", "asOfTimestamp": "2026-09-03T20:00:00+00:00", "summary": "Previous session (latest completed): ETH 30-day ATM IV was 51.32 volatility points versus VIX at 14.32; crypto 20-calendar-day RV was 63.7525 versus SPX 20-session RV at 8.4890. The crypto-to-SPX realised-volatility ratio was 7.51, at the 92.0 percentile across 224 prior observations. The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.51, at the 92.0 percentile across 224 prior observations.", "The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.32, "vix": 14.319999694824219, "vix9d": 11.680000305175781, "vix3m": 17.420000076293945, "ivSpread": 37.00000030517578, "ivRatio": 3.5837989590564696, "cryptoRealisedVol20d": 63.75246035526154, "spxRealisedVol20": 8.489037652770298, "rvSpread": 55.26342270249124, "rvRatio": 7.50997497748837, "rvSpreadPercentile": 58.92857142857143, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 91.96428571428571, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.007978352150818902, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3381641159174078, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted DerivaSys market-context v1. Crypto RV is annualised with sqrt(365); SPX RV with sqrt(252). Sources: DerivaSys fixed-tenor surface/canonical crypto index and Yahoo Finance ^VIX/^GSPC." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789145280532, "availability": "available", "unavailableReason": null, "atmIv": { "current": 42.1, "previous": 47.3, "change": -5.2, "percentChange": -10.99 }, "rr25": { "current": -1.66, "previous": 0.4, "change": -2.06, "percentChange": -515.0 }, "bf25": { "current": 2.46, "previous": 2.76, "change": -0.3, "percentChange": -10.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 5.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 2.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 30.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 17, "levelObservationsFullHistory": 20 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-04", "generatedAt": "2026-09-04T16:55:38+00:00", "currentSnapshotAt": "2026-09-04T16:48:00+00:00", "previousSnapshotAt": "2026-09-03T16:48:00+00:00", "sourceSnapshots": { "current": { "id": 265880, "timestamp": "2026-09-04T16:48:00+00:00" }, "previous": { "id": 255813, "timestamp": "2026-09-03T16:48:00+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 published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface 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": "2026-09-04T16:48:00+00:00", "spotMove24hPercent": -2.45, "rv24hPercent": 73.62, "rv7dPercent": 58.51, "rv30dPercent": 65.34, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.96, "oneWeekIvMinus7dRvPoints": -9.55, "oneWeekIvMinus24hRvPoints": -24.66, "oneWeekIvMinus30dRvPoints": -16.38 }, "fitQuality": { "currentObjective": 0.05149668, "previousObjective": 0.00643415, "currentLiveError": 26.98555264, "previousLiveError": 4.95293597 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "6SEP26" ], "removedExpiries": [ "4SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options remain below realised volatility", "executiveSummary": "Solana one-week implied volatility remained below seven-day realised volatility as the nearest eligible forward declined.", "evidenceIds": [ "realised-vol", "rr25" ], "newsSummary": "No qualifying news context was retained for the observed Solana options move.", "marketContextSummary": "No retained news item provides a supported direct explanation for Solana’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 48.96%, 9.55 volatility points below seven-day realised volatility of 58.51%; 24-hour realised volatility was 73.62% and 30-day realised volatility was 65.34%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.13 volatility points to 50.25% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.22 volatility points to 1.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.27 volatility points to 3.95% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.50 volatility points at 1W, to 48.96%.", "tenor": "1W", "value": -2.5 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 14, "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": 2, "feedEntriesScanned": 2, "articlesPassingTimeFilter": 2, "articlesPassingSourceRelevanceRules": 2, "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 2.69 volatility points toward puts to 1.36%, leaving calls richer than puts. At the cutoff, realised volatility measured 73.62% over 24 hours, 58.51% over seven days and 65.34% over 30 days. Front-end ATM IV averaged 50.25%, -2.13 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 2.50 volatility points to 48.96%. 1W BF25 fell 0.54 volatility points to 3.27%. The nearest eligible forward, 11SEP26, fell $2.58 (-2.47%) to $101.98. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 97, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:48 UTC cutoff, 1W ATM IV was 48.96%, 9.55 volatility points below seven-day realised volatility of 58.51%; 24-hour realised volatility was 73.62% and 30-day realised volatility was 65.34%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.13 volatility points to 50.25% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.22 volatility points to 1.88% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.27 volatility points to 3.95% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.50 volatility points at 1W, to 48.96%.", "tenor": "1W", "value": -2.5 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.12, "rr25Change": -2.22, "bf25Change": -0.27, "largestAtmMove": { "tenor": "1W", "current": 48.96, "previous": 51.46, "change": -2.5, "historicalSignificance": { "absoluteMove": 2.5, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } }, "frontEndAverageAtm": { "current": 50.25, "previous": 52.38, "change": -2.13 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 1.36, "previous": 4.05, "change": -2.69, "historicalSignificance": { "absoluteMove": 2.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.27, "previous": 3.81, "change": -0.54, "historicalSignificance": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 6.633, "current": 101.98, "previous": 104.56, "change": -2.58, "percentChange": -2.47 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789145280698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.96, "previous": 51.46, "change": -2.5, "percentChange": -4.86 }, "rr25": { "current": 2.09, "previous": 3.33, "change": -1.24, "percentChange": -37.24 }, "bf25": { "current": 3.27, "previous": 3.81, "change": -0.54, "percentChange": -14.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.5, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 1.24, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "2W", "targetExpiry": 1789750080698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.84, "previous": 52.85, "change": -2.01, "percentChange": -3.8 }, "rr25": { "current": 1.36, "previous": 4.05, "change": -2.69, "percentChange": -66.42 }, "bf25": { "current": 3.52, "previous": 3.79, "change": -0.27, "percentChange": -7.12 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.27, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "1M", "targetExpiry": 1791132480698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.94, "previous": 52.82, "change": -1.88, "percentChange": -3.56 }, "rr25": { "current": 1.51, "previous": 3.81, "change": -2.3, "percentChange": -60.37 }, "bf25": { "current": 4.09, "previous": 4.25, "change": -0.16, "percentChange": -3.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.88, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "3M", "targetExpiry": 1796402880698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.9, "previous": 53.0, "change": -2.1, "percentChange": -3.96 }, "rr25": { "current": 2.55, "previous": 5.2, "change": -2.65, "percentChange": -50.96 }, "bf25": { "current": 4.91, "previous": 5.02, "change": -0.11, "percentChange": -2.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 2.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } }, { "tenor": "6M", "targetExpiry": 1804265280698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "9M", "targetExpiry": 1812127680698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "1Y", "targetExpiry": 1820076480698, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "5SEP26", "expiry": 1788595200000, "tauYears": 0.00173521, "daysToExpiry": 0.633, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 101.98, "previous": 104.56, "change": -2.58, "percentChange": -2.47 }, "atmIv": { "current": 53.99, "previous": 57.63, "change": -3.64, "percentChange": 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move", "label": "25DEC26", "value": 0.0452, "score": 0.0452, "unit": "parameter units" } ], "expiryEffects": [ { "label": "5SEP26", "daysToExpiry": 0.633, "metric": "Smile rotation", "value": -22.72, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22370073, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "5SEP26", "expiry": 1788595200000, "value": 0.173931653969, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "5SEP26", "expiry": 1788595200000, "value": -0.72229139, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00109229, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.0086976, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "5SEP26", "values": [ 38.5871, 36.3241, 34.1032, 31.927, 29.7971, 27.7145, 25.6789, 23.6889, 21.7409, 19.829, 17.944, 16.0727, 14.1968, 12.292, 10.3274, 8.2669, 6.0749, 3.7305, 1.2563, -1.2466, -3.5833, -5.5188, -6.8875, -7.666, -7.9443, -7.851, -7.4997, -6.9723, -6.3227, -5.584, -4.7759, -3.91, -2.9937, -2.0309, -1.0245, 0.0235, 1.1114, 2.2376, 3.4004, 4.5981, 5.8288 ] }, { "label": "11SEP26", "values": [ 2.2629, 2.0534, 1.8379, 1.6161, 1.3875, 1.1515, 0.9081, 0.6569, 0.398, 0.132, -0.1405, -0.4179, -0.6981, -0.978, -1.2533, -1.5192, -1.77, -1.9995, -2.2019, -2.3723, -2.5075, -2.6059, -2.6678, -2.6952, -2.6915, -2.6608, -2.6073, -2.5352, -2.4485, -2.3504, -2.244, -2.1313, -2.0143, -1.8948, -1.7735, -1.6517, -1.5298, -1.4085, -1.2881, -1.169, -1.0512 ] }, { "label": "18SEP26", "values": [ 3.5266, 3.3169, 3.0979, 2.8694, 2.6311, 2.3826, 2.124, 1.8553, 1.5768, 1.289, 0.993, 0.6899, 0.3814, 0.0695, -0.2435, -0.5546, -0.8614, -1.1604, -1.449, -1.7242, -1.984, -2.2262, -2.4495, -2.6533, -2.8371, -3.0013, -3.1465, -3.2737, -3.3841, -3.479, -3.56, -3.6283, -3.6853, -3.7325, -3.771, -3.802, -3.8264, -3.8453, -3.8592, -3.8692, -3.8757 ] }, { "label": "25SEP26", "values": [ 1.1804, 1.1079, 1.0265, 0.936, 0.8361, 0.7269, 0.6085, 0.4808, 0.3444, 0.1997, 0.0476, -0.1109, -0.2748, -0.4425, -0.6127, -0.7835, -0.953, -1.1196, -1.2814, -1.4368, -1.5841, -1.7222, -1.8498, -1.9664, -2.0713, -2.1644, -2.2455, -2.3151, -2.3734, -2.4209, -2.4584, -2.4864, -2.5058, -2.5171, -2.5214, -2.5191, -2.511, -2.4978, -2.48, -2.4581, -2.4326 ] }, { "label": "30OCT26", "values": [ 0.8167, 0.7251, 0.6256, 0.5183, 0.4035, 0.2817, 0.153, 0.0181, -0.1224, -0.2681, -0.4178, -0.5711, -0.7268, -0.8842, -1.0423, -1.2, -1.3565, -1.5108, -1.6621, -1.8095, -1.9524, -2.0898, -2.2216, -2.347, -2.4658, -2.5777, -2.6826, -2.7804, -2.8712, -2.955, -3.032, -3.1025, -3.1667, -3.225, -3.2778, -3.3251, -3.3676, -3.4056, -3.4394, -3.4693, -3.4958 ] }, { "label": "25DEC26", "values": [ 0.021, -0.0459, -0.1175, -0.1935, -0.2738, -0.358, -0.4457, -0.5369, -0.6308, -0.7271, -0.8254, -0.9253, -1.0263, -1.1277, -1.2291, -1.3301, -1.4301, -1.5287, -1.6254, -1.7198, -1.8116, -1.9003, -1.9858, -2.0677, -2.1458, -2.2201, -2.2902, -2.3564, -2.4184, -2.4762, -2.5301, -2.58, -2.6259, -2.6682, -2.7068, -2.742, -2.774, -2.8029, -2.829, -2.8523, -2.8732 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "headline": "Solana options remain cheap to realised volatility", "standfirst": "Solana one-week implied volatility remained below seven-day realised volatility. The front end softened and two-week skew moved toward puts while remaining call-rich. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-04", "headline": "Solana implied volatility trails realised", "summary": "One-week implied volatility remained well below realised volatility despite continued weakness in the forward.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options remain cheap to realised volatility", "standfirst": "Solana one-week implied volatility remained below seven-day realised volatility. The front end softened and two-week skew moved toward puts while remaining call-rich.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-03", "asOfTimestamp": "2026-09-03T20:00:00+00:00", "summary": "Previous session (latest completed): SOL 30-day ATM IV was 52.88 volatility points versus VIX at 14.32; crypto 20-calendar-day RV was 73.8519 versus SPX 20-session RV at 8.4890. The crypto-to-SPX realised-volatility ratio was 8.70, at the 91.4 percentile across 221 prior observations. The 60-session crypto-SPX return correlation was 0.40 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.70, at the 91.4 percentile across 221 prior observations.", "The 60-session crypto-SPX return correlation was 0.40 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.88, "vix": 14.319999694824219, "vix9d": 11.680000305175781, "vix3m": 17.420000076293945, "ivSpread": 38.560000305175784, "ivRatio": 3.69273750886411, "cryptoRealisedVol20d": 73.85188101882811, "spxRealisedVol20": 8.489037652770298, "rvSpread": 65.36284336605782, "rvRatio": 8.69967645799373, "rvSpreadPercentile": 52.48868778280543, "rvSpreadPercentileSampleCount": 221, "rvRatioPercentile": 91.4027149321267, "rvRatioPercentileSampleCount": 221, "returnCorrelation30": 0.2324082287246102, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3955413323873608, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted DerivaSys market-context v1. Crypto RV is annualised with sqrt(365); SPX RV with sqrt(252). Sources: DerivaSys fixed-tenor surface/canonical crypto index and Yahoo Finance ^VIX/^GSPC." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789145280698, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.96, "previous": 51.46, "change": -2.5, "percentChange": -4.86 }, "rr25": { "current": 2.09, "previous": 3.33, "change": -1.24, "percentChange": -37.24 }, "bf25": { "current": 3.27, "previous": 3.81, "change": -0.54, "percentChange": -14.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.5, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "rr25": { "absoluteMove": 1.24, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 }, "bf25": { "absoluteMove": 0.54, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 7, "observationsFullHistory": 7, "levelObservationsFullHistory": 8 } } } } ], "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": 48.96, "lowest": 32.01, "spread": 16.95, "highestToLowestRatio": 1.5295, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 48.96, "values": [ { "asset": "BTC", "value": 32.01 }, { "asset": "ETH", "value": 42.1 }, { "asset": "SOL", "value": 48.96 } ], "previousSpread": 14.41, "spreadChange": 2.54, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "ETH", "highest": -2.5, "lowest": -5.2, "spread": 2.7, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -5.2, "values": [ { "asset": "BTC", "value": -5.04 }, { "asset": "ETH", "value": -5.2 }, { "asset": "SOL", "value": -2.5 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": 2.09, "lowest": -1.66, "spread": 3.75, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.09, "values": [ { "asset": "BTC", "value": 0.29 }, { "asset": "ETH", "value": -1.66 }, { "asset": "SOL", "value": 2.09 } ], "previousSpread": 2.93, "spreadChange": 0.82, "dispersionDirection": "widening" }, "rr25Change": { "leader": "SOL", "laggard": "ETH", "highest": -1.24, "lowest": -2.06, "spread": 0.82, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.06, "values": [ { "asset": "BTC", "value": -1.82 }, { "asset": "ETH", "value": -2.06 }, { "asset": "SOL", "value": -1.24 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": -5.2 }, "termStructure": { "definition": "1Y minus 1W ATM IV, in volatility points", "currentSlope": { "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, "slopeChange": { "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ] } }, "relativeValue": { "ivMinusRealised7d": { "leader": "BTC", "laggard": "SOL", "highest": -4.9, "lowest": -9.55, "spread": 4.65, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -9.55, "values": [ { "asset": "BTC", "value": -4.9 }, { "asset": "ETH", "value": -5.01 }, { "asset": "SOL", "value": -9.55 } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "SOL", "highest": -1.37, "lowest": -2.45, "spread": 1.08, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -2.45, "values": [ { "asset": "BTC", "value": -1.48 }, { "asset": "ETH", "value": -1.37 }, { "asset": "SOL", "value": -2.45 } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 48.96, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 42.1, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 32.01, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": -2.5, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -5.04, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -5.2, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -5.2, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -5.04, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -2.5, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": -4.9, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -5.01, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -9.55, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 2.09, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 0.29, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "ETH", "value": -1.66, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": -1.66, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 0.29, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 2.09, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "ETH", "value": -1.37, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -1.48, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -2.45, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": -2.5, "groupMedian": -5.04, "distanceFromMedian": 2.54 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 32.01, "groupMedian": 42.1, "distanceFromMedian": -10.09 }, { "metric": "1W RR25 level", "asset": "ETH", "value": -1.66, "groupMedian": 0.29, "distanceFromMedian": -1.95 }, { "metric": "1W IV minus 7D realised volatility", "asset": "SOL", "value": -9.55, "groupMedian": -5.01, "distanceFromMedian": -4.54 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "SOL", "spread": 4.65, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "BTC screens richest and SOL cheapest on one-week implied volatility versus seven-day realised volatility, with a 4.65-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 6, "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": 7 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "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": "SOL", "laggard": "ETH", "highest": -2.5, "lowest": -5.2, "spread": 2.7, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -5.2, "values": [ { "asset": "BTC", "value": -5.04 }, { "asset": "ETH", "value": -5.2 }, { "asset": "SOL", "value": -2.5 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 48.96, "lowest": 32.01, "spread": 16.95, "highestToLowestRatio": 1.5295, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 48.96, "values": [ { "asset": "BTC", "value": 32.01 }, { "asset": "ETH", "value": 42.1 }, { "asset": "SOL", "value": 48.96 } ], "previousSpread": 14.41, "spreadChange": 2.54, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 2.09, "lowest": -1.66, "spread": 3.75, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.09, "values": [ { "asset": "BTC", "value": 0.29 }, { "asset": "ETH", "value": -1.66 }, { "asset": "SOL", "value": 2.09 } ], "previousSpread": 2.93, "spreadChange": 0.82, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "SOL", "highest": -4.9, "lowest": -9.55, "spread": 4.65, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -9.55, "values": [ { "asset": "BTC", "value": -4.9 }, { "asset": "ETH", "value": -5.01 }, { "asset": "SOL", "value": -9.55 } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "SOL", "highest": -1.37, "lowest": -2.45, "spread": 1.08, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -2.45, "values": [ { "asset": "BTC", "value": -1.48 }, { "asset": "ETH", "value": -1.37 }, { "asset": "SOL", "value": -2.45 } ] }, { "id": "majors-cross-term-structure-change", "metric": "1Y minus 1W ATM IV slope change dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-04T16:48:00+00:00", "window": { "startAt": "2026-09-03T16:48:00+00:00", "endAt": "2026-09-04T16:48:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as SOL volatility stays highest and BTC lowest", "standfirst": "One-week ATM IV dispersion across BTC, ETH and SOL widened by 2.54 volatility points to 16.95 points. SOL held the highest one-week implied volatility at 48.96%, BTC the lowest at 32.01%, and ETH’s 5.20-point decline was the largest absolute daily move.", "days": [ { "reportDate": "2026-09-04", "headline": "Major-coin volatility dispersion widens", "summary": "SOL retained the highest one-week implied volatility while BTC stayed lowest and ETH fell fastest.", "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": -1.92, "rr25Change": -1.1833333333333333, "bf25Change": -0.23666666666666666 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin options widen their one-week volatility range", "executiveSummary": "The BTC, ETH and SOL complex became more dispersed: one-week ATM IV ranged from 32.01% for BTC to 48.96% for SOL, a 16.95-point spread.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion", "majors-cross-iv-minus-realised-dispersion" ], "newsSummary": "No cross-asset-relevant news context was retained for the major-coin comparison.", "marketContextSummary": "No retained news item directly explains the relative major-coin options moves.", "marketContext": [], "newsEvidenceIds": [] } }