{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:03:03+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "headline": "Major-coin options diverge as Ether firms and Solana softens", "standfirst": "Ether led the split in major-coin options, with a 2.54-volatility-point dispersion in one-week ATM IV changes between Ether and Solana. Solana’s one-week ATM IV stood 16.86 volatility points above Bitcoin’s.", "marketSummary": "Ether’s one-week ATM IV rise and Solana’s one-week ATM IV decline produced the major-coin options split.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-07", "artifactId": "sha256:c0f3d7f7c6c801156eb26e5a229b32e0ba74db979ec5fea0aeb59bc8b3acac30", "contentSha256": "5c97827fef80e43d4cefc9025208dc555bb78fedd7187195d476b641b0475887", "currentSnapshotId": 296121, "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotId": 286068, "previousSnapshotAt": "2026-09-06T16:54:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-07", "artifactId": "sha256:8f0961caa4193e02dcfb93390fdb910dd7eaed15253cff31906d850e430c2f36", "contentSha256": "90965e9ae11b2aab35926f7435d94a41a6b0d23d10e4920e558be4dbfc80fef2", "currentSnapshotId": 296122, "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotId": 286067, "previousSnapshotAt": "2026-09-06T16:54:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-07", "artifactId": "sha256:5cad42ab6fd285cbb6276aa2820048cbde795817016123bd1bb0354693ab1404", "contentSha256": "22440458d9988f0ff24fed49ee48ad20a88596ea6555b92d3d777241d57875e3", "currentSnapshotId": 296120, "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotId": 286066, "previousSnapshotAt": "2026-09-06T16:54:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:02:48+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296121, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286068, "timestamp": "2026-09-06T16:54:00+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": "2026-09-07T16:54:00+00:00", "spotMove24hPercent": -0.89, "rv24hPercent": 25.44, "rv7dPercent": 34.18, "rv30dPercent": 37.75, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.67, "oneWeekIvMinus7dRvPoints": 2.49, "oneWeekIvMinus24hRvPoints": 11.23, "oneWeekIvMinus30dRvPoints": -1.08 }, "fitQuality": { "currentObjective": 0.04979733, "previousObjective": 0.04398861, "currentLiveError": 77.56535675, "previousLiveError": 69.88034029 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s short-dated skew becomes put-rich", "executiveSummary": "The principal BTC surface move was a notable one-week RR25 decline, which left put-side volatility modestly above call-side volatility at the cutoff.", "evidenceIds": [ "rr25", "realised-vol" ], "newsSummary": "No qualifying news context was retained for Bitcoin options.", "marketContextSummary": "No retained news item supports a link to Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:54 UTC cutoff, 1W ATM IV was 36.67%, 2.49 volatility points above seven-day realised volatility of 34.18%; 24-hour realised volatility was 25.44% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 36.82% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 39.93% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.90 volatility points to -0.24% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.07 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 -0.63 volatility points at 2W, to 36.77%.", "tenor": "2W", "value": -0.63 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+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": 7, "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": 1, "articlesPassingTimeFilter": 1, "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 1.38 volatility points toward puts to -0.22%, leaving puts richer than calls; this was a notable move at the 79th percentile among 136 comparable historical observations. At the cutoff, realised volatility measured 25.44% over 24 hours, 34.18% over seven days and 37.75% over 30 days. Front-end ATM IV averaged 36.82%, -0.33 points from the prior snapshot, while the long end averaged 39.93%, -0.21 points. 2W ATM IV fell 0.63 volatility points to 36.77%. 6M BF25 fell 0.13 volatility points to 2.54%. The nearest eligible forward, 10SEP26, fell $722.13 (-0.91%) to $78,993.26. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 107, "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 16:54 UTC cutoff, 1W ATM IV was 36.67%, 2.49 volatility points above seven-day realised volatility of 34.18%; 24-hour realised volatility was 25.44% and 30-day realised volatility was 37.75%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 36.82% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.21 volatility points to 39.93% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.90 volatility points to -0.24% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.07 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 -0.63 volatility points at 2W, to 36.77%.", "tenor": "2W", "value": -0.63 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.25, "rr25Change": -0.9, "bf25Change": -0.07, "largestAtmMove": { "tenor": "2W", "current": 36.77, "previous": 37.4, "change": -0.63, "historicalSignificance": { "absoluteMove": 0.63, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.9, "currentLevelPercentileFullHistory": 63.5, "classificationPercentile": 30.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } }, "frontEndAverageAtm": { "current": 36.82, "previous": 37.15, "change": -0.33 }, "longEndAverageAtm": { "current": 39.93, "previous": 40.14, "change": -0.21 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.22, "previous": 1.16, "change": -1.38, "historicalSignificance": { "absoluteMove": 1.38, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 88.3, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.54, "previous": 2.67, "change": -0.13, "historicalSignificance": { "absoluteMove": 0.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.6, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } }, "nearestEligibleForwardMove": { "label": "10SEP26", "daysToExpiry": 2.629, "current": 78993.26, "previous": 79715.39, "change": -722.13, "percentChange": -0.91 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789404840364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.67, "previous": 36.71, "change": -0.04, "percentChange": -0.11 }, "rr25": { "current": -0.22, "previous": 1.16, "change": -1.38, "percentChange": -118.97 }, "bf25": { "current": 1.7, "previous": 1.82, "change": -0.12, "percentChange": -6.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 67.9, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 1.38, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 88.3, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 43.4, "currentLevelPercentileFullHistory": 30.7, "classificationPercentile": 43.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "2W", "targetExpiry": 1790009640364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.77, "previous": 37.4, "change": -0.63, "percentChange": -1.68 }, "rr25": { "current": 0.08, "previous": 1.23, "change": -1.15, "percentChange": -93.5 }, "bf25": { "current": 1.84, "previous": 1.85, "change": -0.01, "percentChange": -0.54 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.63, "movePercentile30d": 30.0, "movePercentileFullHistory": 30.9, "currentLevelPercentileFullHistory": 63.5, "classificationPercentile": 30.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 1.15, "movePercentile30d": 73.3, "movePercentileFullHistory": 77.2, "currentLevelPercentileFullHistory": 90.5, "classificationPercentile": 77.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 1.5, "currentLevelPercentileFullHistory": 39.4, "classificationPercentile": 1.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "1M", "targetExpiry": 1791392040364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.01, "previous": 37.33, "change": -0.32, "percentChange": -0.86 }, "rr25": { "current": 0.06, "previous": 1.03, "change": -0.97, "percentChange": -94.17 }, "bf25": { "current": 2.2, "previous": 2.21, "change": -0.01, "percentChange": -0.45 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": 26.7, "movePercentileFullHistory": 26.5, "currentLevelPercentileFullHistory": 56.2, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 80.9, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 80.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 13.3, "movePercentileFullHistory": 8.1, "currentLevelPercentileFullHistory": 51.8, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "3M", "targetExpiry": 1796662440364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.82, "previous": 38.88, "change": -0.06, "percentChange": -0.15 }, "rr25": { "current": -0.62, "previous": -0.08, "change": -0.54, "percentChange": -675.0 }, "bf25": { "current": 2.36, "previous": 2.46, "change": -0.1, "percentChange": -4.07 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 6.7, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 52.6, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.54, "movePercentile30d": 66.7, "movePercentileFullHistory": 70.6, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 70.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 53.3, "movePercentileFullHistory": 65.4, "currentLevelPercentileFullHistory": 45.3, "classificationPercentile": 65.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "6M", "targetExpiry": 1804524840364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.93, "previous": 40.14, "change": -0.21, "percentChange": -0.52 }, "rr25": { "current": -0.52, "previous": -0.05, "change": -0.47, "percentChange": -940.0 }, "bf25": { "current": 2.54, "previous": 2.67, "change": -0.13, "percentChange": -4.87 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.1, "currentLevelPercentileFullHistory": 8.8, "classificationPercentile": 47.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 66.7, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 93.4, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 81.6, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 86.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "9M", "targetExpiry": 1812387240364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.15, "previous": 41.46, "change": -0.31, "percentChange": -0.75 }, "rr25": { "current": -0.27, "previous": 0.24, "change": -0.51, "percentChange": -212.5 }, "bf25": { "current": 2.69, "previous": 2.8, "change": -0.11, "percentChange": -3.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.31, "movePercentile30d": 60.0, "movePercentileFullHistory": 69.1, "currentLevelPercentileFullHistory": 7.3, "classificationPercentile": 69.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 0.51, "movePercentile30d": 76.7, "movePercentileFullHistory": 89.7, "currentLevelPercentileFullHistory": 93.4, "classificationPercentile": 89.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 73.3, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 62.8, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } }, { "tenor": "1Y", "targetExpiry": 1820336040364, "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": "8SEP26", "expiry": 1788854400000, "tauYears": 0.00172376, "daysToExpiry": 0.629, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 79007.76, "previous": 79697.8, "change": -690.04, "percentChange": -0.87 }, "atmIv": { "current": 27.19, "previous": 30.33, "change": -3.14, "percentChange": -10.35 }, "rr25": { "current": -1.02, "previous": 0.33, "change": -1.35, "percentChange": -409.09 }, "bf25": { 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"value": 0.00174993, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -23.60888713, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "8SEP26", "values": [ 33.5567, 31.7404, 29.9331, 28.1351, 26.3469, 24.5685, 22.7994, 21.0385, 19.2839, 17.5325, 15.78, 14.0198, 12.243, 10.4369, 8.585, 6.6665, 4.6605, 2.5595, 0.41, -1.6101, -3.1374, -3.7944, -3.5365, -2.6516, -1.4532, -0.1344, 1.2122, 2.5481, 3.8592, 5.1424, 6.3984, 7.6299, 8.8399, 10.0312, 11.2064, 12.3679, 13.5176, 14.6571, 15.7878, 16.911, 18.0275 ] }, { "label": "9SEP26", "values": [ 26.5064, 25.3706, 24.2144, 23.037, 21.8374, 20.6149, 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0.3528, 0.6521, 0.9624, 1.2825, 1.6113, 1.9479, 2.2918 ] }, { "label": "18SEP26", "values": [ 2.7932, 2.74, 2.6781, 2.6064, 2.5244, 2.4311, 2.3257, 2.2072, 2.0753, 1.9288, 1.7677, 1.5916, 1.401, 1.1966, 0.9799, 0.7532, 0.5193, 0.2821, 0.0461, -0.1843, -0.404, -0.6089, -0.7951, -0.9598, -1.1012, -1.2183, -1.3111, -1.3805, -1.4276, -1.4539, -1.4614, -1.4517, -1.4268, -1.388, -1.3373, -1.2758, -1.2049, -1.1258, -1.0395, -0.9468, -0.8486 ] }, { "label": "25SEP26", "values": [ 1.422, 1.4154, 1.399, 1.3722, 1.3345, 1.2854, 1.2246, 1.1519, 1.0671, 0.9702, 0.8616, 0.7418, 0.6121, 0.4734, 0.3276, 0.1768, 0.0233, -0.1299, -0.2803, -0.4249, -0.5609, -0.6859, -0.7977, -0.895, -0.9765, -1.0417, -1.0905, -1.1231, -1.1404, -1.143, -1.1319, -1.1081, -1.0729, -1.0274, -0.9725, -0.9092, -0.8386, -0.7615, -0.6787, -0.5908, -0.4987 ] }, { "label": "30OCT26", "values": [ 0.9983, 0.9623, 0.9243, 0.8838, 0.8409, 0.7953, 0.747, 0.6958, 0.6416, 0.5846, 0.525, 0.4627, 0.3981, 0.3314, 0.2633, 0.1939, 0.1237, 0.0535, -0.0165, -0.0855, -0.153, -0.2185, -0.2817, -0.3419, -0.3989, -0.4524, -0.5019, -0.5475, -0.5891, -0.6263, -0.6595, -0.6884, -0.7132, -0.734, -0.751, -0.7642, -0.7738, -0.7802, -0.7831, -0.7833, -0.7804 ] }, { "label": "27NOV26", "values": [ 0.6862, 0.6484, 0.6104, 0.5726, 0.535, 0.4979, 0.4611, 0.4248, 0.389, 0.3539, 0.3192, 0.2851, 0.2516, 0.2187, 0.1861, 0.154, 0.1221, 0.0904, 0.0589, 0.0273, -0.0043, -0.0362, -0.0683, -0.1009, -0.1341, -0.1678, -0.2024, -0.2378, -0.2741, -0.3113, -0.3496, -0.389, -0.4294, -0.471, -0.5139, -0.558, -0.6033, -0.6498, -0.6975, -0.7464, -0.7965 ] }, { "label": "25DEC26", "values": [ 0.1591, 0.1474, 0.1356, 0.1237, 0.1117, 0.0995, 0.0872, 0.0748, 0.0622, 0.0496, 0.0367, 0.0235, 0.0102, -0.0035, -0.0174, -0.0317, -0.0463, -0.0614, -0.077, -0.0931, -0.1096, -0.1267, -0.1445, -0.1629, -0.1819, -0.2018, -0.2223, -0.2436, -0.2657, -0.2886, -0.3123, -0.3369, -0.3623, -0.3886, -0.4157, -0.4438, -0.4726, -0.5023, -0.5329, -0.5643, -0.5966 ] }, { "label": "26MAR27", "values": [ -0.0362, -0.0335, -0.0319, -0.0315, -0.0323, -0.0342, -0.0372, -0.0412, -0.0464, -0.0526, -0.0598, -0.0681, -0.0772, -0.0871, -0.098, -0.1097, -0.1221, -0.1352, -0.1491, -0.1635, -0.1785, -0.194, -0.2101, -0.2265, -0.2434, -0.2606, -0.278, -0.2958, -0.3138, -0.3318, -0.3502, -0.3685, -0.3869, -0.4054, -0.4238, -0.4423, -0.4607, -0.4789, -0.4972, -0.5153, -0.5333 ] }, { "label": "25JUN27", "values": [ -0.0946, -0.096, -0.0983, -0.1016, -0.1058, -0.1109, -0.1168, -0.1236, -0.1312, -0.1396, -0.1486, -0.1584, -0.1688, -0.1796, -0.1911, -0.2031, -0.2155, -0.2283, -0.2415, -0.2551, -0.2689, -0.2829, -0.297, -0.3114, -0.3258, -0.3404, -0.3549, -0.3694, -0.3839, -0.3983, -0.4125, -0.4267, -0.4406, -0.4544, -0.468, -0.4813, -0.4944, -0.5071, -0.5196, -0.5318, -0.5436 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn put-rich after notable short-dated shift", "standfirst": "Bitcoin’s one-week RR25 fell 1.38 volatility points to -0.22%, making put-side volatility richer than call-side volatility. The move ranked at the 78.7 percentile among comparable observations. One-week ATM IV stood 2.49 volatility points above seven-day realised volatility, even as the front end eased modestly.", "days": [ { "reportDate": "2026-09-07", "headline": "Bitcoin skew shifts toward richer put volatility", "summary": "One-week put-side volatility overtook call-side volatility as the front-end volatility surface softened.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Bitcoin options turn put-rich after notable short-dated shift", "standfirst": "Bitcoin’s one-week RR25 fell 1.38 volatility points to -0.22%, making put-side volatility richer than call-side volatility. The move ranked at the 78.7 percentile among comparable observations. One-week ATM IV stood 2.49 volatility points above seven-day realised volatility, even as the front end eased modestly.", "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-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789404840364, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.67, "previous": 36.71, "change": -0.04, "percentChange": -0.11 }, "rr25": { "current": -0.22, "previous": 1.16, "change": -1.38, "percentChange": -118.97 }, "bf25": { "current": 1.7, "previous": 1.82, "change": -0.12, "percentChange": -6.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 67.9, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "rr25": { "absoluteMove": 1.38, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.7, "currentLevelPercentileFullHistory": 88.3, "classificationPercentile": 78.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 43.4, "currentLevelPercentileFullHistory": 30.7, "classificationPercentile": 43.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 136, "levelObservationsFullHistory": 137 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:02:56+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296122, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286067, "timestamp": "2026-09-06T16:54:00+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": "2026-09-07T16:54:00+00:00", "spotMove24hPercent": -0.11, "rv24hPercent": 36.41, "rv7dPercent": 44.17, "rv30dPercent": 51.51, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 47.83, "oneWeekIvMinus7dRvPoints": 3.66, "oneWeekIvMinus24hRvPoints": 11.42, "oneWeekIvMinus30dRvPoints": -3.68 }, "fitQuality": { "currentObjective": 0.03423594, "previousObjective": 0.0827856, "currentLiveError": 21.5356241, "previousLiveError": 35.46850424 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options lift medium-term convexity amid firmer near-term volatility", "executiveSummary": "ETH’s defining options move was the increase in three-month BF25, accompanied by a modest rise in front-end ATM IV and a lower one-week RR25.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "The Ethereum Foundation published its current and emerging protocol priorities after appointing Protocol cluster coordinators in May. The announcement is relevant background for Ether but does not establish an explanation for the observed surface moves.", "marketContextSummary": "The protocol-priorities publication coincided with the observed options repricing, but the available reaction evidence does not establish a direct link.", "marketContext": [ { "title": "Protocol update offers only contextual background", "explanation": "The Ethereum Foundation publication preceded an observed four-hour rise in ETH ATM IV, while RR25 and BF25 declined over that interval. Those timed observations are insufficient to attribute the day’s firmer front end or higher three-month convexity to the announcement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm", "bf25" ], "newsEvidenceIds": [ "7cf5e039-7cda-4d58-ad67-ace4c5623c97" ] } ], "newsEvidenceIds": [ "7cf5e039-7cda-4d58-ad67-ace4c5623c97" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:54 UTC cutoff, 1W ATM IV was 47.83%, 3.66 volatility points above seven-day realised volatility of 44.17%; 24-hour realised volatility was 36.41% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points to 49.28% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.05 volatility points to 54.29% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 1.14% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 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 +1.40 volatility points at 1W, to 47.83%.", "tenor": "1W", "value": 1.4 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 7, "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": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 1 }, "items": [ { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" } ], "events": [ { "event_cluster_id": "market-event-c7764e08ba16", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-c7764e08ba16", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "primary_article": { "id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "sourceId": "ethereum_foundation_blog", "publisher": "Ethereum Foundation", "title": "EF Protocol: Current and Emerging Priorities", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00", "summary": "Ethereum Foundation Protocol published its current and emerging priorities after appointing new Protocol cluster coordinators in May.", "matchedTerms": [ "EF Protocol", "ETH", "Ethereum" ], "topics": [ "protocol", "other" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 60, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "canonicalEventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "reactionHorizon": "4h", "marketReaction": { "event_id": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "asset": "ETH", "calculated_at": "2026-09-07T15:44:55.828532Z", "complete_through": "2026-09-07T04:00:00Z", "spot_return_5m": 0.150172, "spot_return_1h": 0.034655, "spot_return_4h": -0.523412, "spot_return_24h": null, "atm_iv_change_5m": -0.01, "atm_iv_change_1h": -0.03, "atm_iv_change_4h": 0.07, "atm_iv_change_24h": null, "rr25_change_5m": 0.0, "rr25_change_1h": -0.07, "rr25_change_4h": -0.05, "rr25_change_24h": null, "bf25_change_5m": -0.02, "bf25_change_1h": -0.07, "bf25_change_4h": -0.05, "bf25_change_24h": null, "realised_vol_pre": 33.494500962596696, "realised_vol_post_5m": 33.58619970494761, "realised_vol_post_1h": 34.25290635549777, "realised_vol_post_4h": 35.64707666195707, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD", "ATM IV 1W: up 1.40 points to 47.83%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 10SEP26: -2.15 USD (-0.09%) to 2482.09 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: ETH spot -0.52%, ATM IV +0.07 points and RR25 -0.05 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-c7764e08ba16" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W RR25 moved 1.86 volatility points toward puts to 0.77%, leaving calls richer than puts; this was a routine move at the 50th percentile among 20 comparable historical observations. At the cutoff, realised volatility measured 36.41% over 24 hours, 44.17% over seven days and 51.51% over 30 days. Front-end ATM IV averaged 49.28%, +0.52 points from the prior snapshot, while the long end averaged 54.29%, -0.05 points. 1W ATM IV rose 1.40 volatility points to 47.83%. 3M BF25 rose 0.25 volatility points to 3.27%. The nearest eligible forward, 10SEP26, fell $2.15 (-0.09%) to $2,482.09. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 16:54 UTC cutoff, 1W ATM IV was 47.83%, 3.66 volatility points above seven-day realised volatility of 44.17%; 24-hour realised volatility was 36.41% and 30-day realised volatility was 51.51%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.52 volatility points to 49.28% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging -0.05 volatility points to 54.29% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.81 volatility points to 1.14% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.01 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 +1.40 volatility points at 1W, to 47.83%.", "tenor": "1W", "value": 1.4 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.24, "rr25Change": -0.81, "bf25Change": 0.01, "largestAtmMove": { "tenor": "1W", "current": 47.83, "previous": 46.43, "change": 1.4, "historicalSignificance": { "absoluteMove": 1.4, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } }, "frontEndAverageAtm": { "current": 49.28, "previous": 48.77, "change": 0.52 }, "longEndAverageAtm": { "current": 54.29, "previous": 54.34, "change": -0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.77, "previous": 2.63, "change": -1.86, "historicalSignificance": { "absoluteMove": 1.86, "movePercentile30d": null, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 3.27, "previous": 3.02, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": null, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.3, "classificationPercentile": 85.0, "label": "notable", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } }, "nearestEligibleForwardMove": { "label": "10SEP26", "daysToExpiry": 2.629, "current": 2482.09, "previous": 2484.24, "change": -2.15, "percentChange": -0.09 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789404840510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.83, "previous": 46.43, "change": 1.4, "percentChange": 3.02 }, "rr25": { "current": 0.77, "previous": 2.63, "change": -1.86, "percentChange": -70.72 }, "bf25": { "current": 2.85, "previous": 2.95, "change": -0.1, "percentChange": -3.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.4, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 1.86, "movePercentile30d": null, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 10.0, "currentLevelPercentileFullHistory": 60.9, "classificationPercentile": 10.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "2W", "targetExpiry": 1790009640510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.34, "previous": 49.14, "change": 0.2, "percentChange": 0.41 }, "rr25": { "current": 1.26, "previous": 2.73, "change": -1.47, "percentChange": -53.85 }, "bf25": { "current": 2.64, "previous": 2.85, "change": -0.21, "percentChange": -7.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.2, "movePercentile30d": null, "movePercentileFullHistory": 10.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 10.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 1.47, "movePercentile30d": null, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 60.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": 35.0, "currentLevelPercentileFullHistory": 39.1, "classificationPercentile": 35.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "1M", "targetExpiry": 1791392040510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.68, "previous": 50.73, "change": -0.05, "percentChange": -0.1 }, "rr25": { "current": 1.74, "previous": 2.21, "change": -0.47, "percentChange": -21.27 }, "bf25": { "current": 2.92, "previous": 2.87, "change": 0.05, "percentChange": 1.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 5.0, "currentLevelPercentileFullHistory": 43.5, "classificationPercentile": 5.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": null, "movePercentileFullHistory": 65.0, "currentLevelPercentileFullHistory": 87.0, "classificationPercentile": 65.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 30.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "3M", "targetExpiry": 1796662440510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.2, "previous": 52.51, "change": -0.31, "percentChange": -0.59 }, "rr25": { "current": 1.25, "previous": 1.46, "change": -0.21, "percentChange": -14.38 }, "bf25": { "current": 3.27, "previous": 3.02, "change": 0.25, "percentChange": 8.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.31, "movePercentile30d": null, "movePercentileFullHistory": 35.0, "currentLevelPercentileFullHistory": 30.4, "classificationPercentile": 35.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 87.0, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": null, "movePercentileFullHistory": 85.0, "currentLevelPercentileFullHistory": 91.3, "classificationPercentile": 85.0, "label": "notable", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "6M", "targetExpiry": 1804524840510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.29, "previous": 54.34, "change": -0.05, "percentChange": -0.09 }, "rr25": { "current": 0.7, "previous": 0.75, "change": -0.05, "percentChange": -6.67 }, "bf25": { "current": 2.96, "previous": 2.89, "change": 0.07, "percentChange": 2.42 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 26.1, "classificationPercentile": 20.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 5.0, "currentLevelPercentileFullHistory": 78.3, "classificationPercentile": 5.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": 35.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 35.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "9M", "targetExpiry": 1812387240510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.49, "previous": 55.49, "change": 0.0, "percentChange": 0.0 }, "rr25": { "current": 0.76, "previous": 0.93, "change": -0.17, "percentChange": -18.28 }, "bf25": { "current": 2.7, "previous": 2.69, "change": 0.01, "percentChange": 0.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.0, "movePercentile30d": null, "movePercentileFullHistory": 10.0, "currentLevelPercentileFullHistory": 30.4, "classificationPercentile": 10.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": 30.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": 15.0, "currentLevelPercentileFullHistory": 43.5, "classificationPercentile": 15.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } }, { "tenor": "1Y", "targetExpiry": 1820336040510, "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, 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-0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "8SEP26", "values": [ 33.5323, 31.7088, 29.8812, 28.0492, 26.2118, 24.3684, 22.5178, 20.6586, 18.7893, 16.9078, 15.0119, 13.0997, 11.1698, 9.2234, 7.2671, 5.3204, 3.4285, 1.6862, 0.263, -0.6034, -0.7024, -0.0017, 1.3262, 3.039, 4.9465, 6.9368, 8.9543, 10.9747, 12.9891, 14.9954, 16.9945, 18.9883, 20.9792, 22.969, 24.9593, 26.9515, 28.9465, 30.9452, 32.948, 34.9551, 36.9666 ] }, { "label": "9SEP26", "values": [ 10.8322, 10.2281, 9.6438, 9.0798, 8.5363, 8.0135, 7.511, 7.0285, 6.5651, 6.1196, 5.6902, 5.2742, 4.8682, 4.4676, 4.0667, 3.6586, 3.2368, 2.7968, 2.3409, 1.8816, 1.4427, 1.0536, 0.7382, 0.5084, 0.3631, 0.2936, 0.2889, 0.338, 0.432, 0.5641, 0.7294, 0.9243, 1.1463, 1.3938, 1.6654, 1.9604, 2.278, 2.6176, 2.9788, 3.361, 3.764 ] }, { "label": "10SEP26", "values": [ 20.2663, 19.4118, 18.554, 17.6921, 16.8248, 15.9505, 15.0675, 14.173, 13.2644, 12.3378, 11.389, 10.4129, 9.4042, 8.3577, 7.2697, 6.1406, 4.9775, 3.7993, 2.6399, 1.5484, 0.582, -0.2068, -0.7841, -1.142, -1.2952, -1.2722, -1.1061, -0.8281, -0.4646, -0.0365, 0.44, 0.9528, 1.4929, 2.0536, 2.6299, 3.2183, 3.8159, 4.4205, 5.0305, 5.6449, 6.2623 ] }, { "label": "11SEP26", "values": [ 12.1734, 11.675, 11.1753, 10.6733, 10.1683, 9.6591, 9.1442, 8.6223, 8.0913, 7.5491, 6.9937, 6.4226, 5.8338, 5.2259, 4.5989, 3.9554, 3.3015, 2.6479, 2.0106, 1.4096, 0.8665, 0.4011, 0.0275, -0.248, -0.4266, -0.5152, -0.5244, -0.4657, -0.3505, -0.1891, 0.0099, 0.2394, 0.4933, 0.7672, 1.0572, 1.3606, 1.6748, 1.9981, 2.3288, 2.6659, 3.0084 ] }, { "label": "18SEP26", "values": [ 4.5196, 4.3792, 4.2361, 4.0893, 3.9383, 3.7824, 3.6207, 3.4525, 3.2771, 3.0938, 2.9019, 2.7014, 2.492, 2.2742, 2.0487, 1.8168, 1.5803, 1.3415, 1.1029, 0.8674, 0.6379, 0.417, 0.2073, 0.0107, -0.1713, -0.3378, -0.4883, -0.6227, -0.7415, -0.8451, -0.9345, -1.0106, -1.0741, -1.1262, -1.1679, -1.2, -1.2235, -1.2392, -1.2476, -1.2496, -1.2458 ] }, { "label": "25SEP26", "values": [ 1.3953, 1.3357, 1.2708, 1.2006, 1.125, 1.0445, 0.9591, 0.8692, 0.7753, 0.6775, 0.5767, 0.4734, 0.3681, 0.262, 0.1555, 0.0498, -0.0545, -0.1563, -0.2548, -0.3493, -0.4389, -0.5231, -0.6013, -0.6731, -0.7383, -0.7966, -0.8479, -0.8923, -0.9299, -0.961, -0.9856, -1.0041, -1.017, -1.0243, -1.0267, -1.0245, -1.0178, -1.0072, -0.993, -0.9755, -0.9549 ] }, { "label": "30OCT26", "values": [ 0.5197, 0.5022, 0.4835, 0.4636, 0.4429, 0.4213, 0.3993, 0.3771, 0.3546, 0.3322, 0.3103, 0.2889, 0.2681, 0.2483, 0.2297, 0.2122, 0.1961, 0.1815, 0.1684, 0.157, 0.1473, 0.1393, 0.133, 0.1284, 0.1255, 0.1242, 0.1244, 0.1261, 0.1292, 0.1336, 0.1392, 0.146, 0.1537, 0.1624, 0.1718, 0.1819, 0.1927, 0.2039, 0.2156, 0.2276, 0.2399 ] }, { "label": "27NOV26", "values": [ 0.9723, 0.8726, 0.7758, 0.6821, 0.5917, 0.5049, 0.4219, 0.3429, 0.2679, 0.1973, 0.1309, 0.069, 0.0116, -0.0414, -0.0898, -0.1338, -0.1733, -0.2086, -0.2396, -0.2665, -0.2894, -0.3086, -0.3241, -0.3362, -0.345, -0.3507, -0.3537, -0.354, -0.3517, -0.3473, -0.3408, -0.3324, -0.3224, -0.3109, -0.298, -0.284, -0.269, -0.2531, -0.2365, -0.2193, -0.2016 ] }, { "label": "25DEC26", "values": [ -0.1368, -0.1643, -0.19, -0.2136, -0.2352, -0.255, -0.2726, -0.2883, -0.302, -0.3138, -0.3237, -0.3316, -0.3377, -0.3422, -0.345, -0.3461, -0.3457, -0.344, -0.3408, -0.3364, -0.3309, -0.3242, -0.3167, -0.3082, -0.299, -0.2891, -0.2786, -0.2676, -0.2562, -0.2444, -0.2324, -0.2202, -0.2079, -0.1954, -0.183, -0.1706, -0.1583, -0.1462, -0.1341, -0.1224, -0.1108 ] }, { "label": "26MAR27", "values": [ 0.0948, 0.0846, 0.0749, 0.0657, 0.057, 0.0487, 0.041, 0.0337, 0.0269, 0.0205, 0.0145, 0.009, 0.004, -0.0007, -0.0049, -0.0088, -0.0122, -0.0154, -0.0182, -0.0206, -0.0228, -0.0247, -0.0263, -0.0277, -0.0289, -0.0298, -0.0304, -0.031, -0.0313, -0.0315, -0.0315, -0.0314, -0.0312, -0.0309, -0.0305, -0.03, -0.0295, -0.0289, -0.0282, -0.0275, -0.0268 ] }, { "label": "25JUN27", "values": [ 0.1256, 0.1187, 0.112, 0.1056, 0.0994, 0.0932, 0.0874, 0.0816, 0.0762, 0.0708, 0.0656, 0.0606, 0.0557, 0.051, 0.0464, 0.042, 0.0377, 0.0336, 0.0295, 0.0256, 0.0218, 0.0181, 0.0144, 0.0109, 0.0074, 0.004, 0.0007, -0.0025, -0.0056, -0.0087, -0.0117, -0.0147, -0.0177, -0.0206, -0.0234, -0.0262, -0.029, -0.0317, -0.0344, -0.0371, -0.0398 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Ether options add three-month convexity as front end firms", "standfirst": "Ether’s three-month BF25 rose 0.25 volatility points to 3.27%, a notable move that lifted the convexity measure to its 91.3 percentile of available history. Front-end ATM IV averaged 49.28%, up 0.52 points, while one-week skew rotated toward puts but remained call-rich.", "days": [ { "reportDate": "2026-09-07", "headline": "Ether convexity rises as the front end strengthens", "summary": "Three-month convexity increased notably while short-dated implied volatility edged higher and skew softened.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Ethereum Foundation outlined current and emerging protocol priorities following coordinator appointments.", "events": [ { "eventId": "7cf5e039-7cda-4d58-ad67-ace4c5623c97", "title": "EF Protocol: Current and Emerging Priorities", "publisher": "Ethereum Foundation", "url": "https://blog.ethereum.org/en/2026/09/07/protocol-priorities", "publishedAt": "2026-09-07T00:00:00+00:00" } ] } } ] }, "headline": "Ether options add three-month convexity as front end firms", "standfirst": "Ether’s three-month BF25 rose 0.25 volatility points to 3.27%, a notable move that lifted the convexity measure to its 91.3 percentile of available history. Front-end ATM IV averaged 49.28%, up 0.52 points, while one-week skew rotated toward puts but remained call-rich.", "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-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789404840510, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.83, "previous": 46.43, "change": 1.4, "percentChange": 3.02 }, "rr25": { "current": 0.77, "previous": 2.63, "change": -1.86, "percentChange": -70.72 }, "bf25": { "current": 2.85, "previous": 2.95, "change": -0.1, "percentChange": -3.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.4, "movePercentile30d": null, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 65.2, "classificationPercentile": 25.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "rr25": { "absoluteMove": 1.86, "movePercentile30d": null, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 56.5, "classificationPercentile": 50.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 10.0, "currentLevelPercentileFullHistory": 60.9, "classificationPercentile": 10.0, "label": "routine", "observations30d": 16, "observationsFullHistory": 20, "levelObservationsFullHistory": 23 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-07", "generatedAt": "2026-09-07T17:03:03+00:00", "currentSnapshotAt": "2026-09-07T16:54:00+00:00", "previousSnapshotAt": "2026-09-06T16:54:00+00:00", "sourceSnapshots": { "current": { "id": 296120, "timestamp": "2026-09-07T16:54:00+00:00" }, "previous": { "id": 286066, "timestamp": "2026-09-06T16:54:00+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": 0.03029925, "previousObjective": 0.02484214, "currentLiveError": 22.71290261, "previousLiveError": 20.63573594 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "9SEP26" ], "removedExpiries": [ "7SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options rotate lower with put-side volatility richer", "executiveSummary": "Solana’s key surface development was the one-week RR25 decline, which left put-side volatility slightly richer than call-side volatility as front-end ATM IV softened.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No qualifying news context was retained for Solana options.", "marketContextSummary": "No retained news item supports a link to Solana options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.62 volatility points to 53.18% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.32 volatility points to 1.27% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 4.23% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.14 volatility points at 1W, to 53.53%.", "tenor": "1W", "value": -1.14 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+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": 7, "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": 1, "articlesPassingTimeFilter": 1, "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 3.33 volatility points toward puts to -0.14%, leaving puts richer than calls. Front-end ATM IV averaged 53.18%, -0.62 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.14 volatility points to 53.53%. 3M BF25 rose 0.32 volatility points to 4.93%. The nearest eligible forward, 11SEP26, fell $2.31 (-2.18%) to $103.83. 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 decreased, averaging -0.62 volatility points to 53.18% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.32 volatility points to 1.27% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 4.23% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.14 volatility points at 1W, to 53.53%.", "tenor": "1W", "value": -1.14 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.52, "rr25Change": -2.32, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 53.53, "previous": 54.67, "change": -1.14, "historicalSignificance": { "absoluteMove": 1.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } }, "frontEndAverageAtm": { "current": 53.18, "previous": 53.8, "change": -0.62 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.14, "previous": 3.19, "change": -3.33, "historicalSignificance": { "absoluteMove": 3.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.93, "previous": 4.61, "change": 0.32, "historicalSignificance": { "absoluteMove": 0.32, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 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than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22454815, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "8SEP26", "expiry": 1788854400000, "value": 0.170059307241, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "8SEP26", "expiry": 1788854400000, "value": -0.7436296, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00107749, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00861422, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "8SEP26", "values": [ 33.8423, 31.9838, 30.1541, 28.3545, 26.5856, 24.8475, 23.14, 21.4625, 19.8133, 18.19, 16.5896, 15.0076, 13.4385, 11.8763, 10.3152, 8.7526, 7.194, 5.6621, 4.2086, 2.92, 1.9048, 1.2543, 1.0028, 1.1207, 1.5414, 2.1919, 3.0114, 3.9551, 4.9931, 6.1054, 7.2795, 8.5077, 9.7848, 11.1075, 12.4739, 13.8823, 15.3314, 16.8202, 18.3475, 19.912, 21.5126 ] }, { "label": "11SEP26", "values": [ 26.2141, 24.9926, 23.7396, 22.4532, 21.1313, 19.772, 18.3734, 16.9338, 15.4518, 13.927, 12.3599, 10.7537, 9.1142, 7.4519, 5.7831, 4.1317, 2.5302, 1.0197, -0.3521, -1.5356, -2.486, -3.1705, -3.5737, -3.699, -3.5666, -3.2075, -2.6576, -1.9532, -1.1272, -0.208, 0.7809, 1.8205, 2.8961, 3.996, 5.1112, 6.2349, 7.3619, 8.488, 9.6101, 10.7259, 11.8335 ] }, { "label": "18SEP26", "values": [ 5.0754, 4.9896, 4.8877, 4.7684, 4.6301, 4.4713, 4.2909, 4.0876, 3.8606, 3.6092, 3.3337, 3.0345, 2.713, 2.3715, 2.0134, 1.6428, 1.265, 0.8861, 0.5127, 0.1516, -0.1906, -0.5078, -0.7947, -1.0473, -1.2625, -1.4389, -1.5757, -1.6734, -1.7333, -1.7571, -1.747, -1.7055, -1.6351, -1.5382, -1.4175, -1.2753, -1.1137, -0.9349, -0.7407, -0.5328, -0.313 ] }, { "label": "25SEP26", "values": [ 3.3887, 3.3215, 3.2427, 3.1511, 3.0461, 2.927, 2.7931, 2.6443, 2.4803, 2.3012, 2.1078, 1.9006, 1.6812, 1.4511, 1.2125, 0.9679, 0.7202, 0.4723, 0.2276, -0.0107, -0.2397, -0.4563, -0.6581, -0.8429, -1.0091, -1.1552, -1.2808, -1.3851, -1.4685, -1.531, -1.5732, -1.596, -1.6004, -1.5872, -1.5576, -1.5127, -1.4537, -1.3815, -1.2973, -1.2021, -1.0969 ] }, { "label": "30OCT26", "values": [ 0.9127, 0.8926, 0.8712, 0.8483, 0.8233, 0.7959, 0.7657, 0.7321, 0.6949, 0.6537, 0.6082, 0.558, 0.5032, 0.4434, 0.3788, 0.3095, 0.2353, 0.1568, 0.0742, -0.0122, -0.102, -0.1944, -0.2891, -0.3856, -0.4831, -0.5813, -0.6794, -0.7768, -0.8732, -0.968, -1.0609, -1.1512, -1.2388, -1.3233, -1.4044, -1.482, -1.556, -1.626, -1.692, -1.7541, -1.8122 ] }, { "label": "25DEC26", "values": [ 0.9929, 0.9435, 0.8932, 0.8419, 0.7896, 0.7364, 0.6822, 0.627, 0.5711, 0.5145, 0.4573, 0.3996, 0.3418, 0.2839, 0.2264, 0.1693, 0.1133, 0.0584, 0.005, -0.0465, -0.0956, -0.1421, -0.1858, -0.2261, -0.2629, -0.2957, -0.3245, -0.3489, -0.3688, -0.384, -0.3943, -0.3999, -0.4005, -0.3961, -0.3869, -0.3729, -0.354, -0.3303, -0.3023, -0.2696, -0.2328 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Solana options soften as short-dated skew turns put-rich", "standfirst": "Solana options shifted toward puts: Solana’s one-week RR25 fell 3.33 volatility points to -0.14%, leaving one-week put volatility richer than call volatility. Solana’s front-end ATM IV across the one-week, two-week and one-month tenors averaged 53.18%. Solana’s front-end ATM IV fell 0.62 volatility points. Solana’s one-week ATM IV fell 1.14 volatility points to 53.53%. Long-dated comparable tenors were unavailable.", "days": [ { "reportDate": "2026-09-07", "headline": "Solana’s front end softens as skew rotates", "summary": "Short-dated put-side volatility became richer while one-week implied volatility and the front end declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options soften as short-dated skew turns put-rich", "standfirst": "Solana options shifted toward puts: Solana’s one-week RR25 fell 3.33 volatility points to -0.14%, leaving one-week put volatility richer than call volatility. Solana’s front-end ATM IV across the one-week, two-week and one-month tenors averaged 53.18%. Solana’s front-end ATM IV fell 0.62 volatility points. Solana’s one-week ATM IV fell 1.14 volatility points to 53.53%. Long-dated comparable tenors 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-family session; crypto snapshot aligned at 2026-09-04T20:00:00Z. 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=sqrt(365), SPX RV=sqrt(252); sources: DerivaSys fixed-tenor surface, DerivaSys canonical crypto index, ^VIX, ^GSPC." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789404840265, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.53, "previous": 54.67, "change": -1.14, "percentChange": -2.09 }, "rr25": { "current": -0.14, "previous": 3.19, "change": -3.33, "percentChange": -104.39 }, "bf25": { "current": 4.02, "previous": 3.81, "change": 0.21, "percentChange": 5.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 10, "observationsFullHistory": 10, "levelObservationsFullHistory": 11 }, "rr25": { "absoluteMove": 3.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, 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"spreadChange": -1.1, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": 1.4, "lowest": -1.14, "spread": 2.54, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.4, "values": [ { "asset": "BTC", "value": -0.04 }, { "asset": "ETH", "value": 1.4 }, { "asset": "SOL", "value": -1.14 } ] }, "rr25Level": { "leader": "ETH", "laggard": "BTC", "highest": 0.77, "lowest": -0.22, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.77, "values": [ { "asset": "BTC", "value": -0.22 }, { "asset": "ETH", "value": 0.77 }, { "asset": "SOL", "value": -0.14 } ], "previousSpread": 2.03, "spreadChange": -1.04, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "BTC", "laggard": "SOL", "highest": -1.38, "lowest": -3.33, "spread": 1.95, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -3.33, "values": [ { "asset": "BTC", "value": -1.38 }, { "asset": "ETH", "value": -1.86 }, { "asset": "SOL", "value": -3.33 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": 1.4 }, "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": "ETH", "laggard": "BTC", "highest": 3.66, "lowest": 2.49, "spread": 1.17, "highestToLowestRatio": 1.4699, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 3.66, "values": [ { "asset": "BTC", "value": 2.49 }, { "asset": "ETH", "value": 3.66 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": -0.11, "lowest": -0.89, "spread": 0.78, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -0.89, "values": [ { "asset": "BTC", "value": -0.89 }, { "asset": "ETH", "value": -0.11 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 53.53, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 47.83, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 36.67, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "ETH", "value": 1.4, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -0.04, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -1.14, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": 1.4, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": -1.14, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": -0.04, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 3.66, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 2.49, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "ETH", "value": 0.77, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "SOL", "value": -0.14, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": -0.22, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -0.22, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "SOL", "value": -0.14, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "ETH", "value": 0.77, "previousRank": 2, "rankChange": -1 } ], "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": -0.11, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -0.89, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": 1.4, "groupMedian": -0.04, "distanceFromMedian": 1.44 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 36.67, "groupMedian": 47.83, "distanceFromMedian": -11.16 }, { "metric": "1W RR25 level", "asset": "ETH", "value": 0.77, "groupMedian": -0.14, "distanceFromMedian": 0.91 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 1.17, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and BTC cheapest on one-week implied volatility versus seven-day realised volatility, with a 1.17-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 9, "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": 0.9212, "observations": 10 }, { "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": "SOL", "highest": 1.4, "lowest": -1.14, "spread": 2.54, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.4, "values": [ { "asset": "BTC", "value": -0.04 }, { "asset": "ETH", "value": 1.4 }, { "asset": "SOL", "value": -1.14 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 53.53, "lowest": 36.67, "spread": 16.86, "highestToLowestRatio": 1.4598, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 53.53, "values": [ { "asset": "BTC", "value": 36.67 }, { "asset": "ETH", "value": 47.83 }, { "asset": "SOL", "value": 53.53 } ], "previousSpread": 17.96, "spreadChange": -1.1, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 0.77, "lowest": -0.22, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.77, "values": [ { "asset": "BTC", "value": -0.22 }, { "asset": "ETH", "value": 0.77 }, { "asset": "SOL", "value": -0.14 } ], "previousSpread": 2.03, "spreadChange": -1.04, "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": "ETH", "laggard": "BTC", "highest": 3.66, "lowest": 2.49, "spread": 1.17, "highestToLowestRatio": 1.4699, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 3.66, "values": [ { "asset": "BTC", "value": 2.49 }, { "asset": "ETH", "value": 3.66 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": -0.11, "lowest": -0.89, "spread": 0.78, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -0.89, "values": [ { "asset": "BTC", "value": -0.89 }, { "asset": "ETH", "value": -0.11 }, { "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": "2026-09-07T16:54:00+00:00", "window": { "startAt": "2026-09-06T16:54:00+00:00", "endAt": "2026-09-07T16:54:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Ether firms and Solana softens", "standfirst": "Ether led the split in major-coin options, with a 2.54-volatility-point dispersion in one-week ATM IV changes between Ether and Solana. Solana’s one-week ATM IV stood 16.86 volatility points above Bitcoin’s. The evidence is retained as context and does not establish causation for the measured options move.", "days": [ { "reportDate": "2026-09-07", "headline": "Major-coin volatility moves in opposite directions", "summary": "Ether’s one-week implied volatility rose while Solana’s declined and Bitcoin remained nearly unchanged.", "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": -0.17666666666666667, "rr25Change": -1.3433333333333335, "bf25Change": -2.8912057932946786e-18 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether and Solana drive a major-coin volatility split", "executiveSummary": "Ether’s one-week ATM IV rise and Solana’s one-week ATM IV decline produced the major-coin options split.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion" ], "newsSummary": "No qualifying news context was retained for the comparative major-coin options thesis.", "marketContextSummary": "No retained news item supports an assessment of the relative options moves.", "marketContext": [], "newsEvidenceIds": [] } }