{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:27:07+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "headline": "Major-coin options widen volatility gaps as Ether leads repricing", "standfirst": "Ether led the major coins’ one-week ATM IV increase, rising 4.63 volatility points against Bitcoin’s 2.36-point gain and Solana’s 3.08-point rise. Yet Solana remained the highest-volatility major at 54.69%, compared with Bitcoin at 36.83%. The relative move widened repricing dispersion without changing the established level ranking.", "marketSummary": "One-week ATM IV repriced most sharply in Ether, creating a 2.27-point spread over Bitcoin’s smaller increase.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-06", "artifactId": "sha256:cb152e52d64fa4d1b699b7393ece126162adcb44126e9300b8602a58cf534bdb", "contentSha256": "9e86349522ddfe74bcd2b295e8aec9c6c58abbcee7fe8c37c950f6498432ec03", "currentSnapshotId": 286103, "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotId": 276029, "previousSnapshotAt": "2026-09-05T16:59:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-06", "artifactId": "sha256:0d70b5f6fe6723a0b2f5fc80ef60138f141cffc057a38e45669d2052f0c18ceb", "contentSha256": "ed7f0331e4c091b53566bbd6e2b0adcafc84d696e512849f73d7ec0342f870a9", "currentSnapshotId": 286100, "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotId": 276033, "previousSnapshotAt": "2026-09-05T16:59:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-06", "artifactId": "sha256:b58c2310cf3b0604a3fa9aa8f7d6d9c6599ffd250595f3f3e8b4f2396120b4c6", "contentSha256": "5aa0811f2526a0898ee0954db008e9f0fb61c83a5ec694e6621b1d59b4a8efbc", "currentSnapshotId": 286105, "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotId": 276027, "previousSnapshotAt": "2026-09-05T16:59:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:23:29+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "sourceSnapshots": { "current": { "id": 286103, "timestamp": "2026-09-06T16:59:00+00:00" }, "previous": { "id": 276029, "timestamp": "2026-09-05T16:59:00+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": "2026-09-06T16:59:00+00:00", "spotMove24hPercent": -0.46, "rv24hPercent": 18.76, "rv7dPercent": 36.36, "rv30dPercent": 37.53, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.83, "oneWeekIvMinus7dRvPoints": 0.47, "oneWeekIvMinus24hRvPoints": 18.07, "oneWeekIvMinus30dRvPoints": -0.7 }, "fitQuality": { "currentObjective": 0.04228083, "previousObjective": 0.15710442, "currentLiveError": 70.99173542, "previousLiveError": 227.42301968 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "6SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s curve adds convexity without a broad long-end reset", "executiveSummary": "The six-month BF25 increase stood out as Bitcoin’s most notable surface move, while the front end moved higher.", "evidenceIds": [ "bf25", "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "No qualifying news context was retained for Bitcoin options.", "marketContextSummary": "No retained news item supports a direct explanation for the Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:59 UTC cutoff, 1W ATM IV was 36.83%, broadly in line with seven-day realised volatility of 36.36%; 24-hour realised volatility was 18.76% and 30-day realised volatility was 37.53%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.28 volatility points to 37.24% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.07 volatility points to 40.13% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.36 volatility points at 1W, to 36.83%.", "tenor": "1W", "value": 2.36 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+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": 1, "discoveryEventsScanned": 2, "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": 1, "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 rose 2.36 volatility points to 36.83%, a routine move at the 67th percentile among 135 comparable historical observations. At the cutoff, realised volatility measured 18.76% over 24 hours, 36.36% over seven days and 37.53% over 30 days. Front-end ATM IV averaged 37.24%, +1.28 points from the prior snapshot, while the long end averaged 40.13%, -0.07 points. 3M RR25 moved 0.12 volatility points toward puts to -0.05%, leaving puts richer than calls. 6M BF25 rose 0.12 volatility points to 2.68%. The nearest eligible forward, 9SEP26, fell $431.03 (-0.54%) to $79,674.93. 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 16:59 UTC cutoff, 1W ATM IV was 36.83%, broadly in line with seven-day realised volatility of 36.36%; 24-hour realised volatility was 18.76% and 30-day realised volatility was 37.53%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.28 volatility points to 37.24% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.07 volatility points to 40.13% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.05 volatility points to 0.68% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.36 volatility points at 1W, to 36.83%.", "tenor": "1W", "value": 2.36 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.75, "rr25Change": -0.05, "bf25Change": 0.01, "largestAtmMove": { "tenor": "1W", "current": 36.83, "previous": 34.47, "change": 2.36, "historicalSignificance": { "absoluteMove": 2.36, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 69.1, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } }, "frontEndAverageAtm": { "current": 37.24, "previous": 35.96, "change": 1.28 }, "longEndAverageAtm": { "current": 40.13, "previous": 40.2, "change": -0.07 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "3M", "current": -0.05, "previous": 0.07, "change": -0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 13.3, "movePercentileFullHistory": 19.3, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 19.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.68, "previous": 2.56, "change": 0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 83.3, "movePercentileFullHistory": 78.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } }, "nearestEligibleForwardMove": { "label": "9SEP26", "daysToExpiry": 2.626, "current": 79674.93, "previous": 80105.96, "change": -431.03, "percentChange": -0.54 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789318740482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.83, "previous": 34.47, "change": 2.36, "percentChange": 6.85 }, "rr25": { "current": 1.2, "previous": 1.28, "change": -0.08, "percentChange": -6.25 }, "bf25": { "current": 1.82, "previous": 1.86, "change": -0.04, "percentChange": -2.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.36, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 69.1, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 94.1, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 45.6, "classificationPercentile": 14.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "2W", "targetExpiry": 1789923540482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.46, "previous": 36.52, "change": 0.94, "percentChange": 2.57 }, "rr25": { "current": 1.25, "previous": 1.31, "change": -0.06, "percentChange": -4.58 }, "bf25": { "current": 1.85, "previous": 1.87, "change": -0.02, "percentChange": -1.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.94, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.0, "currentLevelPercentileFullHistory": 71.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 3.3, "movePercentileFullHistory": 4.4, "currentLevelPercentileFullHistory": 94.1, "classificationPercentile": 4.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 3.3, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "1M", "targetExpiry": 1791305940482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.42, "previous": 36.89, "change": 0.53, "percentChange": 1.44 }, "rr25": { "current": 1.04, "previous": 0.96, "change": 0.08, "percentChange": 8.33 }, "bf25": { "current": 2.18, "previous": 2.22, "change": -0.04, "percentChange": -1.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.53, "movePercentile30d": 43.3, "movePercentileFullHistory": 35.6, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 13.3, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 97.1, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 23.3, "movePercentileFullHistory": 20.7, "currentLevelPercentileFullHistory": 52.2, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "3M", "targetExpiry": 1796576340482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.88, "previous": 38.87, "change": 0.01, "percentChange": 0.03 }, "rr25": { "current": -0.05, "previous": 0.07, "change": -0.12, "percentChange": -171.43 }, "bf25": { "current": 2.45, "previous": 2.43, "change": 0.02, "percentChange": 0.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 53.7, "classificationPercentile": 0.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.12, "movePercentile30d": 13.3, "movePercentileFullHistory": 19.3, "currentLevelPercentileFullHistory": 95.6, "classificationPercentile": 19.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 8.1, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 8.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "6M", "targetExpiry": 1804438740482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.13, "previous": 40.2, "change": -0.07, "percentChange": -0.17 }, "rr25": { "current": -0.06, "previous": 0.0, "change": -0.06, "percentChange": null }, "bf25": { "current": 2.68, "previous": 2.56, "change": 0.12, "percentChange": 4.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.07, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.6, "currentLevelPercentileFullHistory": 14.0, "classificationPercentile": 12.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 3.3, "movePercentileFullHistory": 16.3, "currentLevelPercentileFullHistory": 96.3, "classificationPercentile": 16.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 83.3, "movePercentileFullHistory": 78.5, "currentLevelPercentileFullHistory": 58.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "9M", "targetExpiry": 1812301140482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.46, "previous": 41.4, "change": 0.06, "percentChange": 0.14 }, "rr25": { "current": 0.24, "previous": 0.12, "change": 0.12, "percentChange": 100.0 }, "bf25": { "current": 2.8, "previous": 2.8, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 13.3, "movePercentileFullHistory": 18.5, "currentLevelPercentileFullHistory": 16.9, "classificationPercentile": 18.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.12, "movePercentile30d": 26.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 98.5, "classificationPercentile": 32.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 1.5, "currentLevelPercentileFullHistory": 79.4, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } }, { "tenor": "1Y", "targetExpiry": 1820249940482, "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": "7SEP26", "expiry": 1788768000000, "tauYears": 0.00171425, "daysToExpiry": 0.626, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79664.42, "previous": 80101.24, "change": -436.82, "percentChange": -0.55 }, "atmIv": { "current": 28.5, "previous": 24.89, "change": 3.61, "percentChange": 14.5 }, "rr25": { "current": -0.23, "previous": -0.56, "change": 0.33, "percentChange": 58.93 }, "bf25": { "current": 0.85, "previous": 1.1, "change": -0.25, 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-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": "7SEP26", "values": [ 42.8408, 40.7983, 38.7397, 36.6652, 34.5755, 32.4708, 30.3519, 28.2193, 26.0742, 23.9176, 21.751, 19.5766, 17.3977, 15.2195, 13.0509, 10.9086, 8.8246, 6.8647, 5.1633, 3.9686, 3.6107, 4.2582, 5.7152, 7.6317, 9.7602, 11.9782, 14.2332, 16.5023, 18.7748, 21.0459, 23.3122, 25.5719, 27.8236, 30.0658, 32.2977, 34.5183, 36.7264, 38.9215, 41.1027, 43.2694, 45.4209 ] }, { "label": "8SEP26", "values": [ 26.1283, 24.8405, 23.5483, 22.2527, 20.9545, 19.6548, 18.3547, 17.0555, 15.7589, 14.4666, 13.1812, 11.9055, 10.6438, 9.4024, 8.1912, 7.0256, 5.932, 4.9545, 4.1618, 3.6469, 3.4973, 3.7425, 4.3296, 5.1616, 6.1484, 7.2274, 8.3603, 9.5249, 10.708, 11.9021, 13.102, 14.3049, 15.5084, 16.7114, 17.9125, 19.1109, 20.3059, 21.4968, 22.6832, 23.8646, 25.0405 ] }, { "label": "9SEP26", "values": [ 20.2518, 19.3721, 18.4776, 17.5679, 16.6424, 15.7006, 14.7421, 13.7663, 12.7728, 11.7615, 10.7325, 9.6866, 8.6257, 7.5543, 6.4806, 5.4202, 4.3997, 3.462, 2.6683, 2.0918, 1.7971, 1.8152, 2.1311, 2.6946, 3.4442, 4.3237, 5.2903, 6.3135, 7.3729, 8.4549, 9.5502, 10.6528, 11.7584, 12.8638, 13.9668, 15.0658, 16.1594, 17.2466, 18.3265, 19.3987, 20.4623 ] }, { "label": "11SEP26", "values": [ 5.4391, 5.1936, 4.9573, 4.7303, 4.5128, 4.3049, 4.1068, 3.9186, 3.7405, 3.5726, 3.415, 3.268, 3.1315, 3.0061, 2.8918, 2.7889, 2.698, 2.62, 2.5558, 2.508, 2.4794, 2.4735, 2.4936, 2.5424, 2.6206, 2.7284, 2.8644, 3.0272, 3.2147, 3.4248, 3.6556, 3.9053, 4.1722, 4.4548, 4.7517, 5.0618, 5.3837, 5.7166, 6.0595, 6.4115, 6.7716 ] }, { "label": "18SEP26", "values": [ 2.1052, 2.0179, 1.9357, 1.858, 1.7848, 1.7158, 1.6508, 1.5893, 1.5313, 1.4762, 1.4238, 1.3738, 1.3262, 1.2807, 1.2373, 1.1963, 1.1579, 1.1225, 1.0907, 1.0633, 1.041, 1.0244, 1.0143, 1.0112, 1.0157, 1.0278, 1.0477, 1.0756, 1.1112, 1.1543, 1.2047, 1.262, 1.326, 1.3962, 1.4724, 1.5542, 1.6413, 1.7333, 1.83, 1.931, 2.0362 ] }, { "label": "25SEP26", "values": [ 0.1227, 0.1213, 0.1294, 0.1468, 0.1727, 0.2069, 0.2485, 0.2968, 0.3508, 0.4094, 0.4713, 0.5353, 0.5999, 0.6634, 0.7243, 0.7815, 0.8334, 0.8788, 0.9172, 0.948, 0.9711, 0.9867, 0.9953, 0.998, 0.9955, 0.989, 0.9798, 0.969, 0.9575, 0.9466, 0.9369, 0.9292, 0.9241, 0.9222, 0.9236, 0.9289, 0.938, 0.9512, 0.9685, 0.99, 1.0156 ] }, { "label": "30OCT26", "values": [ 0.0415, 0.0476, 0.0542, 0.0613, 0.0687, 0.0761, 0.0832, 0.09, 0.0961, 0.1016, 0.1061, 0.1098, 0.1126, 0.1146, 0.1159, 0.1166, 0.1169, 0.1171, 0.1175, 0.1181, 0.1195, 0.1217, 0.1252, 0.1301, 0.1366, 0.145, 0.1552, 0.1676, 0.1823, 0.199, 0.218, 0.2393, 0.2627, 0.2884, 0.3161, 0.3459, 0.3775, 0.4111, 0.4463, 0.4832, 0.5217 ] }, { "label": "27NOV26", "values": [ -0.435, -0.398, -0.3612, -0.3249, -0.2893, -0.2548, -0.2217, -0.1902, -0.1606, -0.1329, -0.1073, -0.084, -0.063, -0.0442, -0.0277, -0.0132, -0.0008, 0.0097, 0.0186, 0.026, 0.0322, 0.0375, 0.042, 0.0462, 0.0501, 0.0542, 0.0587, 0.0639, 0.0699, 0.077, 0.0854, 0.0953, 0.1068, 0.1201, 0.1352, 0.1523, 0.1715, 0.1928, 0.2162, 0.2419, 0.2697 ] }, { "label": "25DEC26", "values": [ 0.4882, 0.4742, 0.4581, 0.4401, 0.4201, 0.3985, 0.3751, 0.3501, 0.3237, 0.2959, 0.2671, 0.2373, 0.2068, 0.1756, 0.1443, 0.1128, 0.0814, 0.0504, 0.02, -0.0094, -0.038, -0.0651, -0.0907, -0.1147, -0.1367, -0.1567, -0.1744, -0.1897, -0.2024, -0.2126, -0.2201, -0.2248, -0.2266, -0.2257, -0.2217, -0.2148, -0.2051, -0.1925, -0.177, -0.1586, -0.1377 ] }, { "label": "26MAR27", "values": [ 0.0347, 0.0322, 0.0291, 0.0256, 0.0215, 0.017, 0.012, 0.0067, 0.001, -0.0049, -0.011, -0.0173, -0.0236, -0.03, -0.0363, -0.0424, -0.0485, -0.0542, -0.0596, -0.0646, -0.0691, -0.0731, -0.0764, -0.0791, -0.081, -0.0821, -0.0823, -0.0817, -0.0801, -0.0775, -0.0739, -0.0691, -0.0634, -0.0564, -0.0483, -0.0391, -0.0287, -0.017, -0.0042, 0.0098, 0.025 ] }, { "label": "25JUN27", "values": [ -0.0541, -0.0493, -0.0443, -0.0391, -0.0338, -0.0283, -0.0228, -0.0172, -0.0115, -0.0058, -0.0001, 0.0057, 0.0114, 0.017, 0.0227, 0.0281, 0.0336, 0.0389, 0.0442, 0.0493, 0.0543, 0.0591, 0.0638, 0.0684, 0.0727, 0.0769, 0.081, 0.085, 0.0888, 0.0923, 0.0958, 0.0991, 0.1023, 0.1054, 0.1082, 0.111, 0.1137, 0.1163, 0.1187, 0.1212, 0.1235 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "headline": "Bitcoin options add six-month convexity as front-end volatility rises", "standfirst": "Bitcoin’s six-month BF25 rose 0.12 volatility points to 2.68%, the day’s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.", "days": [ { "reportDate": "2026-09-06", "headline": "Bitcoin convexity firms at six months", "summary": "Six-month BF25 increased while one-week implied volatility rose and longer maturities held broadly steady.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options add six-month convexity as front-end volatility rises", "standfirst": "Bitcoin’s six-month BF25 rose 0.12 volatility points to 2.68%, the day’s notable surface adjustment. Meanwhile, one-week ATM IV increased 2.36 points to 36.83% and the front-end average reached 37.24%, while longer-dated ATM IV was broadly unchanged. The result is a firmer near-term volatility surface alongside modestly richer six-month convexity.", "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 SPX/VIX session. BTC 30-day ATM IV was 36.2 volatility points; VIX was 14.529999732971191. Sources: DerivaSys 30-day fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, and ^GSPC via Yahoo Finance. 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": "market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789318740482, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.83, "previous": 34.47, "change": 2.36, "percentChange": 6.85 }, "rr25": { "current": 1.2, "previous": 1.28, "change": -0.08, "percentChange": -6.25 }, "bf25": { "current": 1.82, "previous": 1.86, "change": -0.04, "percentChange": -2.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.36, "movePercentile30d": 60.0, "movePercentileFullHistory": 67.4, "currentLevelPercentileFullHistory": 69.1, "classificationPercentile": 67.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 6.7, "currentLevelPercentileFullHistory": 94.1, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 10.0, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 45.6, "classificationPercentile": 14.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 135, "levelObservationsFullHistory": 136 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:25:14+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "sourceSnapshots": { "current": { "id": 286100, "timestamp": "2026-09-06T16:59:00+00:00" }, "previous": { "id": 276033, "timestamp": "2026-09-05T16:59:00+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": "2026-09-06T16:59:00+00:00", "spotMove24hPercent": 0.53, "rv24hPercent": 31.88, "rv7dPercent": 47.07, "rv30dPercent": 51.17, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 46.95, "oneWeekIvMinus7dRvPoints": -0.12, "oneWeekIvMinus24hRvPoints": 15.07, "oneWeekIvMinus30dRvPoints": -4.22 }, "fitQuality": { "currentObjective": 0.10200613, "previousObjective": 0.06050049, "currentLiveError": 50.89873236, "previousLiveError": 68.86050047 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "6SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s near-term options surface shifts toward calls", "executiveSummary": "Ether’s front-end repricing paired a 4.63-point increase in one-week ATM IV with a substantial move toward call-side volatility.", "evidenceIds": [ "rr25", "largest-standard-tenor", "front-atm", "realised-vol" ], "newsSummary": "No qualifying news context was retained for Ether options.", "marketContextSummary": "No retained news item supports a direct explanation for the Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:59 UTC cutoff, 1W ATM IV was 46.95%, broadly in line with seven-day realised volatility of 47.07%; 24-hour realised volatility was 31.88% and 30-day realised volatility was 51.17%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.14 volatility points to 49.13% 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 54.25% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.90 volatility points to 1.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 2.93% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.63 volatility points at 1W, to 46.95%.", "tenor": "1W", "value": 4.63 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+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": 1, "discoveryEventsScanned": 2, "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": 1, "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 rose 4.63 volatility points to 46.95%. At the cutoff, realised volatility measured 31.88% over 24 hours, 47.07% over seven days and 51.17% over 30 days. Front-end ATM IV averaged 49.13%, +3.14 points from the prior snapshot, while the long end averaged 54.25%, -0.02 points. 1W RR25 moved 1.79 volatility points toward calls to 2.55%, leaving calls richer than puts. 1W BF25 rose 0.63 volatility points to 2.99%. The nearest eligible forward, 9SEP26, rose $11.26 (+0.46%) to $2,484.21. 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 16:59 UTC cutoff, 1W ATM IV was 46.95%, broadly in line with seven-day realised volatility of 47.07%; 24-hour realised volatility was 31.88% and 30-day realised volatility was 51.17%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.14 volatility points to 49.13% 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 54.25% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.90 volatility points to 1.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.20 volatility points to 2.93% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.63 volatility points at 1W, to 46.95%.", "tenor": "1W", "value": 4.63 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.0, "rr25Change": 0.9, "bf25Change": 0.2, "largestAtmMove": { "tenor": "1W", "current": 46.95, "previous": 42.32, "change": 4.63, "historicalSignificance": { "absoluteMove": 4.63, "movePercentile30d": null, 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One-week RR25 increased 1.79 points to 2.55%, meaning calls carried higher implied volatility than puts. Front-end ATM IV averaged 49.13%, while the long end was effectively unchanged, concentrating the adjustment in nearer expiries.", "days": [ { "reportDate": "2026-09-06", "headline": "Ether front end reopens higher", "summary": "One-week implied volatility and call-side volatility both rose, while longer-dated implied volatility barely changed.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options reprice higher as short-dated calls grow richer", "standfirst": "Ether’s short-dated options surface moved higher, with one-week ATM IV rising 4.63 volatility points to 46.95%. One-week RR25 increased 1.79 points to 2.55%, meaning calls carried higher implied volatility than puts. Front-end ATM IV averaged 49.13%, while the long end was effectively unchanged, concentrating the adjustment in nearer expiries.", "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 SPX/VIX session. ETH 30-day ATM IV was 49.28 volatility points; VIX was 14.529999732971191. Sources: DerivaSys 30-day fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, and ^GSPC via Yahoo Finance. 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": "market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789318740207, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.95, "previous": 42.32, "change": 4.63, "percentChange": 10.94 }, "rr25": { "current": 2.55, "previous": 0.76, "change": 1.79, "percentChange": 235.53 }, "bf25": { "current": 2.99, "previous": 2.36, "change": 0.63, "percentChange": 26.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 54.5, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "rr25": { "absoluteMove": 1.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 72.7, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 }, "bf25": { "absoluteMove": 0.63, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 19, "levelObservationsFullHistory": 22 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-06", "generatedAt": "2026-09-06T17:27:07+00:00", "currentSnapshotAt": "2026-09-06T16:59:00+00:00", "previousSnapshotAt": "2026-09-05T16:59:00+00:00", "sourceSnapshots": { "current": { "id": 286105, "timestamp": "2026-09-06T16:59:00+00:00" }, "previous": { "id": 276027, "timestamp": "2026-09-05T16:59:00+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 7d is incomplete: expected 10080 returns, found 10045", "fitQuality": { "currentObjective": 0.02844539, "previousObjective": 0.00347428, "currentLiveError": 24.24465279, "previousLiveError": 1.42082936 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "8SEP26" ], "removedExpiries": [ "6SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s short-dated surface rotates toward higher call-side volatility", "executiveSummary": "Solana’s one-week options repriced higher, combining a 3.08-point ATM IV rise with a 1.56-point RR25 increase.", "evidenceIds": [ "rr25", "largest-standard-tenor", "front-atm" ], "newsSummary": "No qualifying news context was retained for Solana options.", "marketContextSummary": "No retained news item supports a direct explanation for the Solana options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.17 volatility points to 53.81% 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 +1.23 volatility points to 3.59% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 4.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.08 volatility points at 1W, to 54.69%.", "tenor": "1W", "value": 3.08 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+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": 1, "discoveryEventsScanned": 2, "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": 1, "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 rose 3.08 volatility points to 54.69%. Front-end ATM IV averaged 53.81%, +2.17 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.56 volatility points toward calls to 3.19%, leaving calls richer than puts. 1M BF25 rose 0.16 volatility points to 4.29%. The nearest eligible forward, 11SEP26, rose $2.53 (+2.44%) to $106.02. 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 +2.17 volatility points to 53.81% 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 +1.23 volatility points to 3.59% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.07 volatility points to 4.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.08 volatility points at 1W, to 54.69%.", "tenor": "1W", "value": 3.08 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.7, "rr25Change": 1.23, "bf25Change": 0.07, "largestAtmMove": { "tenor": "1W", "current": 54.69, "previous": 51.61, "change": 3.08, "historicalSignificance": { "absoluteMove": 3.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } }, "frontEndAverageAtm": { "current": 53.81, "previous": 51.64, "change": 2.17 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.19, "previous": 1.63, "change": 1.56, "historicalSignificance": { "absoluteMove": 1.56, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 4.29, "previous": 4.13, "change": 0.16, "historicalSignificance": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 4.626, "current": 106.02, "previous": 103.49, "change": 2.53, "percentChange": 2.44 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789318740726, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.69, "previous": 51.61, "change": 3.08, "percentChange": 5.97 }, "rr25": { "current": 3.19, "previous": 1.63, "change": 1.56, "percentChange": 95.71 }, "bf25": { "current": 3.81, "previous": 3.69, "change": 0.12, "percentChange": 3.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "rr25": { "absoluteMove": 1.56, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } } }, { "tenor": "2W", "targetExpiry": 1789923540726, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.84, "previous": 51.7, "change": 2.14, "percentChange": 4.14 }, "rr25": { "current": 3.64, "previous": 2.34, "change": 1.3, "percentChange": 55.56 }, "bf25": { "current": 3.98, "previous": 3.86, "change": 0.12, "percentChange": 3.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "rr25": { "absoluteMove": 1.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } } }, { "tenor": "1M", "targetExpiry": 1791305940726, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.9, "previous": 51.62, "change": 1.28, "percentChange": 2.48 }, "rr25": { "current": 3.83, "previous": 2.87, "change": 0.96, "percentChange": 33.45 }, "bf25": { "current": 4.29, "previous": 4.13, "change": 0.16, "percentChange": 3.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.28, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "rr25": { "absoluteMove": 0.96, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } } }, { "tenor": "3M", "targetExpiry": 1796576340726, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.91, "previous": 51.63, "change": 0.28, "percentChange": 0.54 }, "rr25": { "current": 3.69, "previous": 2.59, "change": 1.1, "percentChange": 42.47 }, "bf25": { "current": 4.61, "previous": 4.75, "change": -0.14, "percentChange": -2.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "rr25": { "absoluteMove": 1.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } } }, { "tenor": "6M", "targetExpiry": 1804438740726, "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": 1812301140726, "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": 1820249940726, "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": "7SEP26", "expiry": 1788768000000, "tauYears": 0.00171425, "daysToExpiry": 0.626, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 106.01, "previous": 103.49, "change": 2.52, "percentChange": 2.44 }, "atmIv": { "current": 53.96, "previous": 46.07, "change": 7.89, "percentChange": 17.13 }, "rr25": { "current": 0.96, "previous": 1.1, "change": -0.14, "percentChange": -12.73 }, "bf25": { "current": 2.94, "previous": 3.56, "change": -0.62, "percentChange": -17.42 }, "svi": { "a": { "current": -0.0376, "previous": -0.035, "change": -0.0026, "percentChange": -7.43 }, "b": { "current": 0.0938, "previous": 0.1072, "change": -0.0134, "percentChange": -12.52 }, "rho": { 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38.4157, 35.3109, 32.2047, 29.1026, 26.0124, 22.9475, 19.9304, 16.9995, 14.2229, 11.7168, 9.6649, 8.312, 7.8906, 8.4917, 10.0048, 12.1995, 14.8478, 17.7825, 20.8974, 24.1286, 27.4378, 30.8014, 34.2041, 37.6356, 41.0877, 44.5545, 48.0307, 51.5118, 54.9937, 58.4726, 61.9452, 65.4086, 68.8598 ] }, { "label": "11SEP26", "values": [ 1.7375, 1.7252, 1.7217, 1.7276, 1.7433, 1.7693, 1.8065, 1.8556, 1.9176, 1.9934, 2.0842, 2.1911, 2.3151, 2.4571, 2.6172, 2.7952, 2.9901, 3.2001, 3.4227, 3.655, 3.8942, 4.1381, 4.3851, 4.6348, 4.8874, 5.1439, 5.4055, 5.6736, 5.9495, 6.2341, 6.5283, 6.8325, 7.1469, 7.4717, 7.8068, 8.1517, 8.5063, 8.8699, 9.2422, 9.6226, 10.0104 ] }, { "label": "18SEP26", "values": [ 1.2865, 1.2682, 1.2514, 1.2369, 1.2257, 1.2188, 1.2173, 1.2225, 1.2353, 1.2572, 1.2893, 1.3327, 1.3884, 1.457, 1.5389, 1.6343, 1.7427, 1.8635, 1.9958, 2.1378, 2.2882, 2.4452, 2.6071, 2.7722, 2.939, 3.106, 3.2724, 3.4371, 3.5992, 3.7586, 3.9145, 4.0671, 4.2157, 4.3607, 4.5018, 4.6392, 4.7729, 4.9029, 5.0294, 5.1525, 5.2722 ] }, { "label": "25SEP26", "values": [ -0.2123, -0.0908, 0.0321, 0.1562, 0.2814, 0.4071, 0.5331, 0.6589, 0.784, 0.9075, 1.029, 1.1476, 1.2625, 1.3727, 1.4773, 1.5758, 1.6671, 1.7508, 1.8262, 1.8932, 1.9515, 2.0014, 2.0428, 2.0765, 2.1025, 2.1219, 2.1348, 2.1423, 2.1449, 2.1432, 2.1379, 2.1295, 2.1186, 2.1055, 2.0908, 2.0748, 2.0579, 2.04, 2.0218, 2.0032, 1.9844 ] }, { "label": "30OCT26", "values": [ 0.3165, 0.3044, 0.2931, 0.2834, 0.2754, 0.2697, 0.2668, 0.2671, 0.2708, 0.2785, 0.2906, 0.3071, 0.3284, 0.3547, 0.386, 0.4221, 0.4633, 0.5093, 0.5597, 0.6143, 0.6728, 0.7346, 0.7993, 0.8665, 0.9357, 1.0061, 1.0774, 1.1491, 1.2206, 1.2915, 1.3614, 1.4299, 1.4966, 1.5611, 1.6235, 1.6832, 1.7402, 1.7943, 1.8454, 1.8935, 1.9384 ] }, { "label": "25DEC26", "values": [ -0.9149, -0.8753, -0.8348, -0.7932, -0.7505, -0.7067, -0.6618, -0.6158, -0.5685, -0.5203, -0.4712, -0.4211, -0.3703, -0.3189, -0.267, -0.215, -0.1629, -0.1111, -0.0598, -0.0093, 0.0402, 0.0885, 0.1351, 0.18, 0.2228, 0.2633, 0.3013, 0.3366, 0.369, 0.3985, 0.4249, 0.448, 0.4679, 0.4845, 0.4977, 0.5078, 0.5145, 0.5178, 0.5182, 0.5154, 0.5095 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "headline": "Solana options lift near-term volatility as calls become richer", "standfirst": "Solana’s near-dated options surface moved higher, with one-week ATM IV gaining 3.08 volatility points to 54.69%. One-week RR25 rose 1.56 points to 3.19%, placing call-side volatility above put-side volatility. Front-end ATM IV averaged 53.81%, and the nearest eligible forward rose 2.44%, while realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-06", "headline": "Solana calls gain relative volatility", "summary": "Near-dated implied volatility rose and calls became relatively more expensive than puts across the front end.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options lift near-term volatility as calls become richer", "standfirst": "Solana’s near-dated options surface moved higher, with one-week ATM IV gaining 3.08 volatility points to 54.69%. One-week RR25 rose 1.56 points to 3.19%, placing call-side volatility above put-side volatility. Front-end ATM IV averaged 53.81%, and the nearest eligible forward rose 2.44%, while realised-volatility comparisons were unavailable.", "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 SPX/VIX session. SOL 30-day ATM IV was 50.73 volatility points; VIX was 14.529999732971191. Sources: DerivaSys 30-day fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, and ^GSPC via Yahoo Finance. 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": "market-context-v1; crypto RV is 20 calendar-day close-to-close log returns annualised with sqrt(365); SPX RV is 20 US-session log returns annualised with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789318740726, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.69, "previous": 51.61, "change": 3.08, "percentChange": 5.97 }, "rr25": { "current": 3.19, "previous": 1.63, "change": 1.56, "percentChange": 95.71 }, "bf25": { "current": 3.81, "previous": 3.69, "change": 0.12, "percentChange": 3.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "rr25": { "absoluteMove": 1.56, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 9, "observationsFullHistory": 9, "levelObservationsFullHistory": 10 } } } } ], "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": 54.69, "lowest": 36.83, "spread": 17.86, "highestToLowestRatio": 1.4849, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 54.69, "values": [ { "asset": "BTC", "value": 36.83 }, { "asset": "ETH", "value": 46.95 }, { "asset": "SOL", "value": 54.69 } ], "previousSpread": 17.14, "spreadChange": 0.72, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "ETH", "laggard": "BTC", "highest": 4.63, "lowest": 2.36, "spread": 2.27, "highestToLowestRatio": 1.9619, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 4.63, "values": [ { "asset": "BTC", "value": 2.36 }, { "asset": "ETH", "value": 4.63 }, { "asset": "SOL", "value": 3.08 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 3.19, "lowest": 1.2, "spread": 1.99, "highestToLowestRatio": 2.6583, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.19, "values": [ { "asset": "BTC", "value": 1.2 }, { "asset": "ETH", "value": 2.55 }, { "asset": "SOL", "value": 3.19 } ], "previousSpread": 0.87, "spreadChange": 1.12, "dispersionDirection": "widening" }, "rr25Change": { "leader": "ETH", "laggard": "BTC", "highest": 1.79, "lowest": -0.08, "spread": 1.87, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.79, "values": [ { "asset": "BTC", "value": -0.08 }, { "asset": "ETH", "value": 1.79 }, { "asset": "SOL", "value": 1.56 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": 4.63 }, "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": 0.47, "lowest": -0.12, "spread": 0.59, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 0.47, "values": [ { "asset": "BTC", "value": 0.47 }, { "asset": "ETH", "value": -0.12 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 0.53, "lowest": -0.46, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.53, "values": [ { "asset": "BTC", "value": -0.46 }, { "asset": "ETH", "value": 0.53 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 54.69, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 46.95, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 36.83, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "ETH", "value": 4.63, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 3.08, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": 2.36, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": 4.63, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 3.08, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": 2.36, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": 0.47, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -0.12, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 3.19, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 2.55, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": 1.2, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": 1.2, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 2.55, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 3.19, "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": 0.53, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -0.46, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": 4.63, "groupMedian": 3.08, "distanceFromMedian": 1.55 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 36.83, "groupMedian": 46.95, "distanceFromMedian": -10.12 }, { "metric": "1W RR25 level", "asset": "BTC", "value": 1.2, "groupMedian": 2.55, "distanceFromMedian": -1.35 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 0.59, "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 0.59-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 8, "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": 9 }, { "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": "ETH", "laggard": "BTC", "highest": 4.63, "lowest": 2.36, "spread": 2.27, "highestToLowestRatio": 1.9619, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 4.63, "values": [ { "asset": "BTC", "value": 2.36 }, { "asset": "ETH", "value": 4.63 }, { "asset": "SOL", "value": 3.08 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 54.69, "lowest": 36.83, "spread": 17.86, "highestToLowestRatio": 1.4849, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 54.69, "values": [ { "asset": "BTC", "value": 36.83 }, { "asset": "ETH", "value": 46.95 }, { "asset": "SOL", "value": 54.69 } ], "previousSpread": 17.14, "spreadChange": 0.72, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 3.19, "lowest": 1.2, "spread": 1.99, "highestToLowestRatio": 2.6583, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.19, "values": [ { "asset": "BTC", "value": 1.2 }, { "asset": "ETH", "value": 2.55 }, { "asset": "SOL", "value": 3.19 } ], "previousSpread": 0.87, "spreadChange": 1.12, "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": "ETH", "highest": 0.47, "lowest": -0.12, "spread": 0.59, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 0.47, "values": [ { "asset": "BTC", "value": 0.47 }, { "asset": "ETH", "value": -0.12 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 0.53, "lowest": -0.46, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.53, "values": [ { "asset": "BTC", "value": -0.46 }, { "asset": "ETH", "value": 0.53 }, { "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": "2026-09-06T16:59:00+00:00", "window": { "startAt": "2026-09-05T16:59:00+00:00", "endAt": "2026-09-06T16:59:00+00:00", "endExclusive": true }, "headline": "Major-coin options widen volatility gaps as Ether leads repricing", "standfirst": "Ether led the major coins’ one-week ATM IV increase, rising 4.63 volatility points against Bitcoin’s 2.36-point gain and Solana’s 3.08-point rise. Yet Solana remained the highest-volatility major at 54.69%, compared with Bitcoin at 36.83%. The relative move widened repricing dispersion without changing the established level ranking.", "days": [ { "reportDate": "2026-09-06", "headline": "Ether leads major-coin volatility repricing", "summary": "Ether posted the largest one-week ATM IV increase, while Solana retained the highest absolute volatility level.", "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": 1.4833333333333334, "rr25Change": 0.6933333333333334, "bf25Change": 0.09333333333333334 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether drives a wider one-week volatility gap among majors", "executiveSummary": "One-week ATM IV repriced most sharply in Ether, creating a 2.27-point spread over Bitcoin’s smaller increase.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion", "majors-cross-iv-minus-realised-dispersion" ], "newsSummary": "No qualifying news context was retained for the major-coin comparison.", "marketContextSummary": "No retained news item supports a direct explanation for the relative major-coin options repricing.", "marketContext": [], "newsEvidenceIds": [] } }