{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:44:17+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "headline": "Major-coin options skew converges as Solana–Ether one-week RR25 spread compresses", "standfirst": "One-week RR25 dispersion across Bitcoin, Ether and Solana narrowed 3.02 volatility points to 0.89 volatility points. Solana’s one-week RR25 was 2.25%, while Ether’s one-week RR25 was 1.36%. One-week ATM IV levels spanned 15.67 volatility points between Solana and Bitcoin.", "marketSummary": "The main relative-value development was a pronounced narrowing in one-week call-side volatility differences across the three major coins.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-05", "artifactId": "sha256:056737353bdbda53fa4d2be50fdadbb203df5cdc49aac9f020e8e70af772a434", "contentSha256": "3d10b5be5c96f0d61bf8139fac9dbe3ecfa2a5eb768be82bbd7b1d0d984ae405", "currentSnapshotId": 276761, "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotId": 266682, "previousSnapshotAt": "2026-09-04T18:43:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-05", "artifactId": "sha256:631b83cf95b0c02f2eb43d3c40535c1cb0348c25ff86ec0b672b214fdb4109e1", "contentSha256": "b8c5da2d7a72dfd3c3d7d72cc6ec7ee8d709587b24f9f1d5f2955ec8a9e5821b", "currentSnapshotId": 276758, "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotId": 266684, "previousSnapshotAt": "2026-09-04T18:43:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-05", "artifactId": "sha256:6d5c3015ab2247896db229deddf4adc6fc259942772c6c584d216b7ec2e412d1", "contentSha256": "d487814fcec590577c0f01aaba6755647aded1f31c82d73e0ca5bf366971b919", "currentSnapshotId": 276757, "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotId": 266683, "previousSnapshotAt": "2026-09-04T18:43:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:41:05+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276761, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266682, "timestamp": "2026-09-04T18:43:00+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": 48, "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": "2026-09-05T18:43:00+00:00", "spotMove24hPercent": 0.4, "rv24hPercent": 16.9, "rv7dPercent": 36.54, "rv30dPercent": 37.65, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.95, "oneWeekIvMinus7dRvPoints": -1.59, "oneWeekIvMinus24hRvPoints": 18.05, "oneWeekIvMinus30dRvPoints": -2.7 }, "fitQuality": { "currentObjective": 0.50755473, "previousObjective": 0.05458305, "currentLiveError": 356.89046146, "previousLiveError": 82.10706194 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s one-week volatility move dominates the surface", "executiveSummary": "The 3.24-point rise in Bitcoin one-week ATM IV was the session’s principal surface adjustment, lifting the short end ahead of the long end.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "rr25" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 18:43 UTC cutoff, 1W ATM IV was 34.95%, 1.59 volatility points below seven-day realised volatility of 36.54%; 24-hour realised volatility was 16.90% and 30-day realised volatility was 37.65%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.02 volatility points to 36.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 40.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.37 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 2.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.24 volatility points at 1W, to 34.95%.", "tenor": "1W", "value": 3.24 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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 3.24 volatility points to 34.95%, a notable move at the 83rd percentile among 134 comparable historical observations. At the cutoff, realised volatility measured 16.90% over 24 hours, 36.54% over seven days and 37.65% over 30 days. Front-end ATM IV averaged 36.22%, +2.02 points from the prior snapshot, while the long end averaged 40.15%, +0.24 points. 1W RR25 moved 1.02 volatility points toward calls to 1.62%, leaving calls richer than puts. 1W BF25 rose 0.08 volatility points to 1.76%. The nearest eligible forward, 8SEP26, rose $266.87 (+0.34%) to $79,914.47. 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 18:43 UTC cutoff, 1W ATM IV was 34.95%, 1.59 volatility points below seven-day realised volatility of 36.54%; 24-hour realised volatility was 16.90% and 30-day realised volatility was 37.65%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.02 volatility points to 36.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 40.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.37 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 2.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.24 volatility points at 1W, to 34.95%.", "tenor": "1W", "value": 3.24 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.37, "rr25Change": 0.37, "bf25Change": 0.03, "largestAtmMove": { "tenor": "1W", "current": 34.95, "previous": 31.71, "change": 3.24, "historicalSignificance": { "absoluteMove": 3.24, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 82.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } }, "frontEndAverageAtm": { "current": 36.22, "previous": 34.2, "change": 2.02 }, "longEndAverageAtm": { "current": 40.15, "previous": 39.91, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.62, "previous": 0.6, "change": 1.02, "historicalSignificance": { "absoluteMove": 1.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.9, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 64.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.76, "previous": 1.68, "change": 0.08, "historicalSignificance": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.9, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } }, "nearestEligibleForwardMove": { "label": "8SEP26", "daysToExpiry": 2.553, "current": 79914.47, "previous": 79647.6, "change": 266.87, "percentChange": 0.34 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.95, "previous": 31.71, "change": 3.24, "percentChange": 10.22 }, "rr25": { "current": 1.62, "previous": 0.6, "change": 1.02, "percentChange": 170.0 }, "bf25": { "current": 1.76, "previous": 1.68, "change": 0.08, "percentChange": 4.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.24, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 82.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.9, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 64.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.9, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "2W", "targetExpiry": 1789843380645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.73, "previous": 34.92, "change": 1.81, "percentChange": 5.18 }, "rr25": { "current": 1.61, "previous": 1.08, "change": 0.53, "percentChange": 49.07 }, "bf25": { "current": 1.81, "previous": 1.78, "change": 0.03, "percentChange": 1.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.81, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.1, "currentLevelPercentileFullHistory": 63.7, "classificationPercentile": 70.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.53, "movePercentile30d": 43.3, "movePercentileFullHistory": 42.5, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 3.3, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 9.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "1M", "targetExpiry": 1791225780645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.98, "previous": 35.97, "change": 1.01, "percentChange": 2.81 }, "rr25": { "current": 0.89, "previous": 0.69, "change": 0.2, "percentChange": 28.99 }, "bf25": { "current": 2.13, "previous": 2.13, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.01, "movePercentile30d": 70.0, "movePercentileFullHistory": 67.9, "currentLevelPercentileFullHistory": 56.3, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 26.7, "movePercentileFullHistory": 21.6, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 3.0, "currentLevelPercentileFullHistory": 46.7, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "3M", "targetExpiry": 1796496180645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.93, "previous": 38.4, "change": 0.53, "percentChange": 1.38 }, "rr25": { "current": -0.04, "previous": -0.07, "change": 0.03, "percentChange": 42.86 }, "bf25": { "current": 2.42, "previous": 2.39, "change": 0.03, "percentChange": 1.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.53, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.2, "currentLevelPercentileFullHistory": 54.8, "classificationPercentile": 67.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 3.3, "movePercentileFullHistory": 5.2, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 5.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 10.0, "movePercentileFullHistory": 15.7, "currentLevelPercentileFullHistory": 48.9, "classificationPercentile": 15.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "6M", "targetExpiry": 1804358580645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.15, "previous": 39.91, "change": 0.24, "percentChange": 0.6 }, "rr25": { "current": -0.09, "previous": -0.18, "change": 0.09, "percentChange": 50.0 }, "bf25": { "current": 2.53, "previous": 2.52, "change": 0.01, "percentChange": 0.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 43.3, "movePercentileFullHistory": 51.5, "currentLevelPercentileFullHistory": 17.0, "classificationPercentile": 51.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.09, "movePercentile30d": 20.0, "movePercentileFullHistory": 23.1, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 23.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 13.3, "movePercentileFullHistory": 9.7, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "9M", "targetExpiry": 1812220980645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.4, "previous": 41.24, "change": 0.16, "percentChange": 0.39 }, "rr25": { "current": 0.1, "previous": -0.01, "change": 0.11, "percentChange": 1100.0 }, "bf25": { "current": 2.78, "previous": 2.61, "change": 0.17, "percentChange": 6.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 30.0, "movePercentileFullHistory": 43.3, "currentLevelPercentileFullHistory": 16.3, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 23.3, "movePercentileFullHistory": 30.6, "currentLevelPercentileFullHistory": 97.0, "classificationPercentile": 30.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.5, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 92.5, "label": "large", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } }, { "tenor": "1Y", "targetExpiry": 1820169780645, "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": "6SEP26", "expiry": 1788681600000, "tauYears": 0.00151641, "daysToExpiry": 0.553, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79935.12, "previous": 79637.43, "change": 297.69, "percentChange": 0.37 }, "atmIv": { "current": 20.74, "previous": 18.76, "change": 1.98, "percentChange": 10.55 }, "rr25": { "current": 0.08, "previous": -0.39, "change": 0.47, "percentChange": 120.51 }, "bf25": { "current": 0.34, "previous": 0.63, "change": -0.29, "percentChange": -46.03 }, "svi": { 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8.6538, 7.8066, 6.9523, 6.0955, 5.2435, 4.4081, 3.6086, 2.8765, 2.2604, 1.8271, 1.6502, 1.778, 2.2022, 2.8604, 3.6718, 4.5693, 5.5089, 6.4652, 7.4243, 8.3786, 9.3241, 10.2584, 11.1801, 12.0883, 12.9823, 13.8618, 14.7263, 15.5756, 16.4096, 17.2283, 18.0317, 18.8198 ] }, { "label": "11SEP26", "values": [ 2.7358, 2.5858, 2.4394, 2.2975, 2.1611, 2.0314, 1.9098, 1.7982, 1.6983, 1.613, 1.5451, 1.498, 1.4757, 1.4825, 1.5226, 1.5999, 1.7168, 1.8732, 2.0663, 2.2892, 2.5329, 2.7872, 3.0433, 3.2948, 3.5381, 3.7722, 3.9973, 4.2149, 4.4263, 4.6328, 4.8358, 5.036, 5.2342, 5.4309, 5.6264, 5.8211, 6.015, 6.2083, 6.4009, 6.593, 6.7844 ] }, { "label": "18SEP26", "values": [ 0.7295, 0.7133, 0.7038, 0.7015, 0.7071, 0.7209, 0.7436, 0.7756, 0.8174, 0.8694, 0.9317, 1.0042, 1.0867, 1.1785, 1.2785, 1.3854, 1.4973, 1.6121, 1.7274, 1.8411, 1.9509, 2.0552, 2.1525, 2.2421, 2.3235, 2.3971, 2.4629, 2.5217, 2.574, 2.6208, 2.6627, 2.7005, 2.7349, 2.7664, 2.7956, 2.8228, 2.8485, 2.8729, 2.8964, 2.9192, 2.9414 ] }, { "label": "25SEP26", "values": [ -0.5176, -0.4305, -0.3406, -0.248, -0.153, -0.0557, 0.0434, 0.1441, 0.2457, 0.3478, 0.4496, 0.5501, 0.6485, 0.7435, 0.8343, 0.9195, 0.998, 1.0687, 1.1309, 1.1837, 1.2269, 1.2603, 1.2841, 1.2989, 1.305, 1.3035, 1.2954, 1.2814, 1.2626, 1.2398, 1.2141, 1.1861, 1.1564, 1.1258, 1.0946, 1.0632, 1.0321, 1.0016, 0.9718, 0.9429, 0.9151 ] }, { "label": "30OCT26", "values": [ 0.8702, 0.8334, 0.7995, 0.7688, 0.7413, 0.717, 0.6962, 0.6787, 0.6646, 0.6538, 0.6461, 0.6415, 0.6398, 0.6407, 0.644, 0.6495, 0.6567, 0.6655, 0.6754, 0.6862, 0.6975, 0.7091, 0.7207, 0.7321, 0.7431, 0.7533, 0.7628, 0.7713, 0.7789, 0.7855, 0.7909, 0.7952, 0.7984, 0.8005, 0.8016, 0.8015, 0.8005, 0.7986, 0.7958, 0.7922, 0.7878 ] }, { "label": "27NOV26", "values": [ 0.5064, 0.5104, 0.514, 0.5172, 0.5198, 0.5221, 0.5238, 0.5252, 0.5262, 0.5268, 0.5271, 0.5271, 0.5267, 0.5262, 0.5256, 0.5246, 0.5237, 0.5226, 0.5216, 0.5204, 0.5193, 0.5183, 0.5173, 0.5166, 0.5159, 0.5155, 0.5153, 0.5152, 0.5155, 0.516, 0.5167, 0.5178, 0.519, 0.5206, 0.5225, 0.5247, 0.5271, 0.5298, 0.5328, 0.536, 0.5396 ] }, { "label": "25DEC26", "values": [ 0.2725, 0.2868, 0.3009, 0.315, 0.3289, 0.3425, 0.356, 0.3692, 0.382, 0.3945, 0.4066, 0.4182, 0.4295, 0.4402, 0.4504, 0.46, 0.4691, 0.4777, 0.4855, 0.4927, 0.4993, 0.5052, 0.5105, 0.5151, 0.5191, 0.5224, 0.525, 0.5271, 0.5286, 0.5296, 0.5299, 0.5297, 0.529, 0.5278, 0.5262, 0.5241, 0.5216, 0.5189, 0.5157, 0.5122, 0.5084 ] }, { "label": "26MAR27", "values": [ 0.2138, 0.2061, 0.199, 0.1924, 0.1864, 0.1812, 0.1765, 0.1725, 0.169, 0.1661, 0.1638, 0.1621, 0.161, 0.1604, 0.1603, 0.1606, 0.1615, 0.1629, 0.1646, 0.1667, 0.1691, 0.1719, 0.1749, 0.1782, 0.1817, 0.1854, 0.1892, 0.1931, 0.1971, 0.2013, 0.2053, 0.2094, 0.2135, 0.2173, 0.2212, 0.225, 0.2285, 0.2319, 0.2351, 0.2381, 0.2408 ] }, { "label": "25JUN27", "values": [ 0.2782, 0.2628, 0.2483, 0.2347, 0.2219, 0.2099, 0.1989, 0.1886, 0.1794, 0.1709, 0.1634, 0.1568, 0.1511, 0.1464, 0.1424, 0.1393, 0.1371, 0.1357, 0.1351, 0.1352, 0.1361, 0.1377, 0.1399, 0.1428, 0.1464, 0.1504, 0.155, 0.1601, 0.1655, 0.1715, 0.1776, 0.1842, 0.191, 0.198, 0.2052, 0.2124, 0.2199, 0.2273, 0.2348, 0.2422, 0.2495 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 3.24 volatility points to 34.95%, a notable move at the 82.8 percentile of comparable history. The front end lifted more than longer maturities, while one-week RR25 moved toward call-side volatility. Bitcoin one-week implied volatility nevertheless remained 1.59 points below seven-day realised volatility.", "days": [ { "reportDate": "2026-09-05", "headline": "One-week volatility leads Bitcoin repricing", "summary": "The front end rose while longer-dated Bitcoin implied volatility changed only modestly.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Bitcoin context was retained.", "events": [] } } ] }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 3.24 volatility points to 34.95%, a notable move at the 82.8 percentile of comparable history. The front end lifted more than longer maturities, while one-week RR25 moved toward call-side volatility. Bitcoin one-week implied volatility nevertheless remained 1.59 points below seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: BTC 30D ATM IV 36.2 volatility points; VIX 14.53; IV spread 21.67. BTC 20D realised volatility 50.3162 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 6.06, at the 96.1 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.06, at the 96.1 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.2, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 21.67000026702881, "ivRatio": 2.4913971552150596, "cryptoRealisedVol20d": 50.316183545862955, "spxRealisedVol20": 8.300077397171014, "rvSpread": 42.01610614869194, "rvRatio": 6.062134259496501, "rvSpreadPercentile": 87.71929824561404, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 96.05263157894737, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": 0.15826627536982374, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3517323049645112, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789238580645, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.95, "previous": 31.71, "change": 3.24, "percentChange": 10.22 }, "rr25": { "current": 1.62, "previous": 0.6, "change": 1.02, "percentChange": 170.0 }, "bf25": { "current": 1.76, "previous": 1.68, "change": 0.08, "percentChange": 4.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.24, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 47.4, "classificationPercentile": 82.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.9, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 64.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.9, "currentLevelPercentileFullHistory": 38.5, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 134, "levelObservationsFullHistory": 135 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:42:41+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276758, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266684, "timestamp": "2026-09-04T18:43:00+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": 48, "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": "2026-09-05T18:43:00+00:00", "spotMove24hPercent": 1.1, "rv24hPercent": 20.8, "rv7dPercent": 46.83, "rv30dPercent": 51.21, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 43.37, "oneWeekIvMinus7dRvPoints": -3.46, "oneWeekIvMinus24hRvPoints": 22.57, "oneWeekIvMinus30dRvPoints": -7.84 }, "fitQuality": { "currentObjective": 0.11268026, "previousObjective": 0.05484201, "currentLiveError": 47.62459671, "previousLiveError": 18.82138707 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s near-expiry surface rotates toward call-side volatility", "executiveSummary": "A pronounced near-expiry rotation defined Ether options trading, with the one-week RR25 reversal providing the clearest standard-tenor confirmation.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 18:43 UTC cutoff, 1W ATM IV was 43.37%, 3.46 volatility points below seven-day realised volatility of 46.83%; 24-hour realised volatility was 20.80% and 30-day realised volatility was 51.21%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.87 volatility points to 46.76% 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 54.17% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.25 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 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 +1.78 volatility points at 1W, to 43.37%.", "tenor": "1W", "value": 1.78 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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 RR25 moved 2.83 volatility points toward calls to 1.36%, leaving calls richer than puts. At the cutoff, realised volatility measured 20.80% over 24 hours, 46.83% over seven days and 51.21% over 30 days. Front-end ATM IV averaged 46.76%, +0.87 points from the prior snapshot, while the long end averaged 54.17%, -0.02 points. 1W ATM IV rose 1.78 volatility points to 43.37%. 2W BF25 rose 0.21 volatility points to 2.93%. The nearest eligible forward, 8SEP26, rose $24.37 (+0.99%) to $2,476.91. 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 18:43 UTC cutoff, 1W ATM IV was 43.37%, 3.46 volatility points below seven-day realised volatility of 46.83%; 24-hour realised volatility was 20.80% and 30-day realised volatility was 51.21%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.87 volatility points to 46.76% 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 54.17% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.25 volatility points to 1.45% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 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 +1.78 volatility points at 1W, to 43.37%.", "tenor": "1W", "value": 1.78 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.52, "rr25Change": 1.25, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 43.37, "previous": 41.59, "change": 1.78, "historicalSignificance": { "absoluteMove": 1.78, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 19.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } }, "frontEndAverageAtm": { "current": 46.76, "previous": 45.89, "change": 0.87 }, "longEndAverageAtm": { "current": 54.17, "previous": 54.19, "change": -0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.36, "previous": -1.47, "change": 2.83, "historicalSignificance": { "absoluteMove": 2.83, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.93, "previous": 2.72, "change": 0.21, "historicalSignificance": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } }, "nearestEligibleForwardMove": { "label": "8SEP26", "daysToExpiry": 2.553, "current": 2476.91, "previous": 2452.54, "change": 24.37, "percentChange": 0.99 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.37, "previous": 41.59, "change": 1.78, "percentChange": 4.28 }, "rr25": { "current": 1.36, "previous": -1.47, "change": 2.83, "percentChange": 192.52 }, "bf25": { "current": 2.42, "previous": 2.39, "change": 0.03, "percentChange": 1.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.78, "movePercentile30d": null, "movePercentileFullHistory": null, 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RR25 to 1.36%. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.", "days": [ { "reportDate": "2026-09-05", "headline": "Near-expiry Ether skew turns call-rich", "summary": "The nearest expiry rotated sharply as one-week relative call-side volatility increased. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Ether context was retained.", "events": [] } } ] }, "headline": "Ether options shift toward calls as near-expiry pricing rotates", "standfirst": "Ether’s nearest-expiry smile rotation was the largest surface dislocation, accompanied by a 2.83-point rise in Ether one-week RR25 to 1.36%. Ether one-week ATM IV rose 1.78 volatility points to 43.37%, remaining 3.46 volatility points below Ether seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: ETH 30D ATM IV 49.28 volatility points; VIX 14.53; IV spread 34.75. ETH 20D realised volatility 65.3250 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 7.87, at the 93.8 percentile across 225 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.87, at the 93.8 percentile across 225 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 49.28, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 34.75000026702881, "ivRatio": 3.391603641132545, "cryptoRealisedVol20d": 65.32496046150138, "spxRealisedVol20": 8.300077397171014, "rvSpread": 57.02488306433036, "rvRatio": 7.870403772833087, "rvSpreadPercentile": 60.44444444444444, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 93.77777777777777, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.02891644151562212, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3292850648186534, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789238580296, "availability": "available", "unavailableReason": null, "atmIv": { "current": 43.37, "previous": 41.59, "change": 1.78, "percentChange": 4.28 }, "rr25": { "current": 1.36, "previous": -1.47, "change": 2.83, "percentChange": 192.52 }, "bf25": { "current": 2.42, "previous": 2.39, "change": 0.03, "percentChange": 1.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.78, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 19.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 2.83, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 23.8, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 18, "levelObservationsFullHistory": 21 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-05", "generatedAt": "2026-09-05T19:44:17+00:00", "currentSnapshotAt": "2026-09-05T18:43:00+00:00", "previousSnapshotAt": "2026-09-04T18:43:00+00:00", "sourceSnapshots": { "current": { "id": 276757, "timestamp": "2026-09-05T18:43:00+00:00" }, "previous": { "id": 266683, "timestamp": "2026-09-04T18:43:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "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 changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 24h is incomplete: expected 1440 returns, found 1405", "fitQuality": { "currentObjective": 0.02535715, "previousObjective": 0.03705312, "currentLiveError": 11.00570448, "previousLiveError": 26.7186164 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "7SEP26" ], "removedExpiries": [ "5SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s near-expiry rotation leads a firmer front end", "executiveSummary": "Solana options showed their largest adjustment in the nearest expiry, while standard one-week implied volatility and two-week call-side volatility also increased.", "evidenceIds": [ "rr25", "largest-standard-tenor", "front-atm" ], "newsSummary": "No report-relevant news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.35 volatility points to 51.17% 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 calls, averaging +1.02 volatility points to 2.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 4.00% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.90 volatility points at 1W, to 50.62%.", "tenor": "1W", "value": 1.9 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+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, "discoveryEventsScanned": 63, "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": 0, "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 1.90 volatility points to 50.62%. Front-end ATM IV averaged 51.17%, +1.35 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 2W RR25 moved 1.58 volatility points toward calls to 2.60%, leaving calls richer than puts. 1W BF25 rose 0.23 volatility points to 3.49%. The nearest eligible forward, 11SEP26, rose $2.11 (+2.08%) to $103.79. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.35 volatility points to 51.17% 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 calls, averaging +1.02 volatility points to 2.92% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 4.00% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.90 volatility points at 1W, to 50.62%.", "tenor": "1W", "value": 1.9 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.16, "rr25Change": 1.02, "bf25Change": 0.04, "largestAtmMove": { "tenor": "1W", "current": 50.62, "previous": 48.72, "change": 1.9, "historicalSignificance": { "absoluteMove": 1.9, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } }, "frontEndAverageAtm": { "current": 51.17, "previous": 49.81, "change": 1.35 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 2.6, "previous": 1.02, "change": 1.58, "historicalSignificance": { "absoluteMove": 1.58, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.49, "previous": 3.26, "change": 0.23, "historicalSignificance": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 5.553, "current": 103.79, "previous": 101.68, "change": 2.11, "percentChange": 2.08 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789238580195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.62, "previous": 48.72, "change": 1.9, "percentChange": 3.9 }, "rr25": { "current": 2.25, "previous": 2.44, "change": -0.19, "percentChange": -7.79 }, "bf25": { "current": 3.49, "previous": 3.26, "change": 0.23, "percentChange": 7.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.9, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "2W", "targetExpiry": 1789843380195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.26, "previous": 49.98, "change": 1.28, "percentChange": 2.56 }, "rr25": { "current": 2.6, "previous": 1.02, "change": 1.58, "percentChange": 154.9 }, "bf25": { "current": 3.56, "previous": 3.5, "change": 0.06, "percentChange": 1.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.28, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 1.58, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "1M", "targetExpiry": 1791225780195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.62, "previous": 50.74, "change": 0.88, "percentChange": 1.73 }, "rr25": { "current": 3.2, "previous": 1.72, "change": 1.48, "percentChange": 86.05 }, "bf25": { "current": 4.02, "previous": 4.1, "change": -0.08, "percentChange": -1.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.88, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "3M", "targetExpiry": 1796496180195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.44, 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null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } }, { "tenor": "6M", "targetExpiry": 1804358580195, "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": 1812220980195, "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 }, 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-0.3005, -0.3128, -0.3133, -0.3018, -0.2782, -0.2424, -0.1946, -0.1351, -0.0645, 0.0168, 0.1076, 0.207, 0.3135, 0.4258, 0.5425, 0.6616, 0.7818, 0.9012, 1.0185, 1.1322, 1.2413, 1.3448, 1.4422, 1.533, 1.6167, 1.6936, 1.7636, 1.8271, 1.8844, 1.9358, 1.9819, 2.0231, 2.0599, 2.0929, 2.1223, 2.1488, 2.1726, 2.1941, 2.2137 ] }, { "label": "30OCT26", "values": [ -0.8687, -0.8486, -0.8212, -0.7865, -0.7445, -0.6955, -0.6397, -0.5774, -0.509, -0.435, -0.356, -0.2725, -0.1852, -0.0947, -0.0018, 0.0926, 0.1881, 0.2838, 0.3788, 0.4727, 0.5647, 0.6543, 0.7409, 0.8242, 0.9037, 0.9792, 1.0504, 1.1174, 1.1798, 1.2379, 1.2916, 1.3409, 1.3862, 1.4274, 1.4649, 1.4988, 1.5295, 1.5571, 1.5818, 1.604, 1.6238 ] }, { "label": "25DEC26", "values": [ -0.2488, -0.2394, -0.2268, -0.2109, -0.1918, -0.1695, -0.144, -0.1154, -0.084, -0.0498, -0.013, 0.0262, 0.0675, 0.1105, 0.1551, 0.201, 0.2477, 0.2949, 0.3425, 0.3898, 0.4366, 0.4828, 0.5278, 0.5715, 0.6136, 0.654, 0.6923, 0.7286, 0.7626, 0.7942, 0.8234, 0.8502, 0.8746, 0.8965, 0.916, 0.9332, 0.9481, 0.9608, 0.9714, 0.98, 0.9866 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "headline": "Solana options reprice as 18sep26 smile rotation leads surface moves", "standfirst": "Solana’s nearest-expiry smile rotation led the daily options-surface changes. Solana one-week ATM IV rose 1.90 volatility points to 50.62%, while Solana one-week, two-week and one-month ATM IV averaged 51.17% after a 1.35-point increase. Solana two-week RR25 moved 1.58 volatility points toward call-side volatility to 2.60%.", "days": [ { "reportDate": "2026-09-05", "headline": "Solana near-expiry pricing makes the move", "summary": "Near-expiry rotation led alongside higher front-end implied volatility and call-rich skew. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Solana context was retained.", "events": [] } } ] }, "headline": "Solana options reprice as 18sep26 smile rotation leads surface moves", "standfirst": "Solana’s nearest-expiry smile rotation led the daily options-surface changes. Solana one-week ATM IV rose 1.90 volatility points to 50.62%, while Solana one-week, two-week and one-month ATM IV averaged 51.17% after a 1.35-point increase. Solana two-week RR25 moved 1.58 volatility points toward call-side volatility to 2.60%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session: SOL 30D ATM IV 50.73 volatility points; VIX 14.53; IV spread 36.20. SOL 20D realised volatility 76.4828 versus SPX 8.3001. The crypto-to-SPX realised-volatility ratio was 9.21, at the 91.9 percentile across 222 prior observations. The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 9.21, at the 91.9 percentile across 222 prior observations.", "The 60-session crypto-SPX return correlation was 0.38 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.73, "vix": 14.529999732971191, "vix9d": 11.970000267028809, "vix3m": 17.610000610351562, "ivSpread": 36.200000267028805, "ivRatio": 3.4913971735928166, "cryptoRealisedVol20d": 76.4827989361067, "spxRealisedVol20": 8.300077397171014, "rvSpread": 68.1827215389357, "rvRatio": 9.214709125745621, "rvSpreadPercentile": 59.45945945945946, "rvSpreadPercentileSampleCount": 222, "rvRatioPercentile": 91.89189189189189, "rvRatioPercentileSampleCount": 222, "returnCorrelation30": 0.25240915363830735, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3833016893008728, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1. Crypto RV: 20 calendar-day close-to-close log returns, sqrt(365); SPX RV: 20 US trading-session close-to-close log returns, sqrt(252). Sources: DerivaSys 30-day fixed-tenor surface; DerivaSys canonical crypto index; ^VIX and ^GSPC via Yahoo Finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789238580195, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.62, "previous": 48.72, "change": 1.9, "percentChange": 3.9 }, "rr25": { "current": 2.25, "previous": 2.44, "change": -0.19, "percentChange": -7.79 }, "bf25": { "current": 3.49, "previous": 3.26, "change": 0.23, "percentChange": 7.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.9, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "rr25": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 }, "bf25": { "absoluteMove": 0.23, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 8, "observationsFullHistory": 8, "levelObservationsFullHistory": 9 } } } } ], "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": 50.62, "lowest": 34.95, "spread": 15.67, "highestToLowestRatio": 1.4484, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.62, "values": [ { "asset": "BTC", "value": 34.95 }, { "asset": "ETH", "value": 43.37 }, { "asset": "SOL", "value": 50.62 } ], "previousSpread": 17.01, "spreadChange": -1.34, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "ETH", "highest": 3.24, "lowest": 1.78, "spread": 1.46, "highestToLowestRatio": 1.8202, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 3.24, "values": [ { "asset": "BTC", "value": 3.24 }, { "asset": "ETH", "value": 1.78 }, { "asset": "SOL", "value": 1.9 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": 2.25, "lowest": 1.36, "spread": 0.89, "highestToLowestRatio": 1.6544, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.25, "values": [ { "asset": "BTC", "value": 1.62 }, { "asset": "ETH", "value": 1.36 }, { "asset": "SOL", "value": 2.25 } ], "previousSpread": 3.91, "spreadChange": -3.02, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "ETH", "laggard": "SOL", "highest": 2.83, "lowest": -0.19, "spread": 3.02, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.83, "values": [ { "asset": "BTC", "value": 1.02 }, { "asset": "ETH", "value": 2.83 }, { "asset": "SOL", "value": -0.19 } ] } }, "relativeVolatilityLeader": { "asset": "BTC", "metric": "absolute 1W ATM IV change", "value": 3.24 }, "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": "ETH", "highest": -1.59, "lowest": -3.46, "spread": 1.87, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.46, "values": [ { "asset": "BTC", "value": -1.59 }, { "asset": "ETH", "value": -3.46 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 1.1, "lowest": 0.4, "spread": 0.7, "highestToLowestRatio": 2.75, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.1, "values": [ { "asset": "BTC", "value": 0.4 }, { "asset": "ETH", "value": 1.1 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 50.62, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 43.37, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 34.95, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": 3.24, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 1.9, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 1.78, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "BTC", "value": 3.24, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 1.9, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 1.78, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": -1.59, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -3.46, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 2.25, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 1.62, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "ETH", "value": 1.36, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": 1.36, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 1.62, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 2.25, "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": 1.1, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 0.4, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "BTC", "value": 3.24, "groupMedian": 1.9, "distanceFromMedian": 1.34 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 34.95, "groupMedian": 43.37, "distanceFromMedian": -8.42 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 2.25, "groupMedian": 1.62, "distanceFromMedian": 0.63 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 1.87, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "BTC screens richest and ETH cheapest on one-week implied volatility versus seven-day realised volatility, with a 1.87-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 7, "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": 8 }, { "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": "BTC", "laggard": "ETH", "highest": 3.24, "lowest": 1.78, "spread": 1.46, "highestToLowestRatio": 1.8202, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 3.24, "values": [ { "asset": "BTC", "value": 3.24 }, { "asset": "ETH", "value": 1.78 }, { "asset": "SOL", "value": 1.9 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 50.62, "lowest": 34.95, "spread": 15.67, "highestToLowestRatio": 1.4484, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.62, "values": [ { "asset": "BTC", "value": 34.95 }, { "asset": "ETH", "value": 43.37 }, { "asset": "SOL", "value": 50.62 } ], "previousSpread": 17.01, "spreadChange": -1.34, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 2.25, "lowest": 1.36, "spread": 0.89, "highestToLowestRatio": 1.6544, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.25, "values": [ { "asset": "BTC", "value": 1.62 }, { "asset": "ETH", "value": 1.36 }, { "asset": "SOL", "value": 2.25 } ], "previousSpread": 3.91, "spreadChange": -3.02, "dispersionDirection": "compressing" }, { "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": "ETH", "highest": -1.59, "lowest": -3.46, "spread": 1.87, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.46, "values": [ { "asset": "BTC", "value": -1.59 }, { "asset": "ETH", "value": -3.46 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 1.1, "lowest": 0.4, "spread": 0.7, "highestToLowestRatio": 2.75, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.1, "values": [ { "asset": "BTC", "value": 0.4 }, { "asset": "ETH", "value": 1.1 }, { "asset": "SOL", "value": null } ] }, { "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": "2026-09-05T18:43:00+00:00", "window": { "startAt": "2026-09-04T18:43:00+00:00", "endAt": "2026-09-05T18:43:00+00:00", "endExclusive": true }, "headline": "Major-coin options skew converges as Solana–Ether one-week RR25 spread compresses", "standfirst": "One-week RR25 dispersion across Bitcoin, Ether and Solana narrowed 3.02 volatility points to 0.89 volatility points. Solana’s one-week RR25 was 2.25%, while Ether’s one-week RR25 was 1.36%. One-week ATM IV levels spanned 15.67 volatility points between Solana and Bitcoin.", "days": [ { "reportDate": "2026-09-05", "headline": "Major-coin call-side volatility converges", "summary": "The three markets finished with a substantially narrower one-week RR25 spread. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying cross-market crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 1.0166666666666666, "rr25Change": 0.88, "bf25Change": 0.043333333333333335 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin skew compression outpaces volatility-level convergence", "executiveSummary": "The main relative-value development was a pronounced narrowing in one-week call-side volatility differences across the three major coins.", "evidenceIds": [ "majors-cross-1w-rr25-dispersion", "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "No report-relevant cross-asset news context qualified for inclusion.", "marketContextSummary": "No retained news item supports an assessment of the comparative repricing.", "marketContext": [], "newsEvidenceIds": [] } }