{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:01:35+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "headline": "Major-coin options track Ether’s 24-hour spot lead over Bitcoin", "standfirst": "Ether led Bitcoin by 1.02 percentage points in 24-hour spot performance over the observation window: Ether spot gained 0.78%, while Bitcoin spot declined 0.24%. Derivasys data show that the gap coincided with narrower one-week options-market dispersion across the major coins.\n\nSolana’s one-week ATM implied volatility was 55.35%, versus Bitcoin’s one-week ATM implied volatility of 39.57%, leaving the one-week ATM implied-volatility gap 0.41 volatility points narrower at 15.78 volatility points. Ether’s one-week RR25 level was 1.66%, while Solana’s one-week RR25 level was 1.28%, narrowing the one-week RR25 gap by 0.66 volatility points to 0.38 volatility points. Implied volatility is the market’s expectation of future price variability: Ether’s one-week ATM implied volatility exceeded Ether’s seven-day realised volatility by 6.27 volatility points, while Bitcoin’s corresponding one-week implied-versus-seven-day-realised spread was 6.10 volatility points. Solana realised-volatility comparisons were unavailable.", "marketSummary": "Over the observation window, Ether’s 24-hour spot performance rose 0.78% and Bitcoin’s 24-hour spot performance fell 0.24%, creating a 1.02-percentage-point Ether–Bitcoin spot-performance spread. Derivasys data show Solana’s one-week ATM implied volatility at 55.35% and Bitcoin’s one-week ATM implied volatility at 39.57%; the resulting one-week ATM implied-volatility dispersion narrowed 0.41 volatility points to 15.78 volatility points.\n\nEther’s one-week RR25 level of 1.66% and Solana’s one-week RR25 level of 1.28% reduced their one-week RR25 dispersion by 0.66 volatility points to 0.38 volatility points. Ether’s one-week ATM implied volatility was 6.27 volatility points above Ether’s seven-day realised volatility, compared with a 6.10-volatility-point Bitcoin one-week implied-versus-seven-day-realised spread; Solana’s realised-volatility comparison was unavailable.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-08", "artifactId": "sha256:7aae3aec841c65cdec5a5d34435386114479c975fe2f3efe8b84f5c2d588d36d", "contentSha256": "88b7d3cd19ad09e4a732bbcbe5659c815bf933742b25368c4ab6e0f50c3dc8e2", "currentSnapshotId": 306029, "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotId": 295950, "previousSnapshotAt": "2026-09-07T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-08", "artifactId": "sha256:ad9387f6458cf47fcc910d8b302668fd74af43725cede4b0df853fa028fce411", "contentSha256": "f1716a987f5e89bafca6ffb3a76a7f2b008698aa8146a354b2aaad66643b9881", "currentSnapshotId": 306032, "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotId": 295955, "previousSnapshotAt": "2026-09-07T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-08", "artifactId": "sha256:c1669b2ef41afc87fb8be2b848329794c30d1ead6b524708f1f4f88dc42c6ba3", "contentSha256": "7c81da8ad1d204c3330c716178babfded819a3c26f87481aaaf34df1ca4e149e", "currentSnapshotId": 306026, "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotId": 295956, "previousSnapshotAt": "2026-09-07T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:00:57+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306029, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295950, "timestamp": "2026-09-07T16:30:00+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": "2026-09-08T16:30:00+00:00", "spotMove24hPercent": -0.27, "rv24hPercent": 27.74, "rv7dPercent": 33.47, "rv30dPercent": 38.06, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 39.57, "oneWeekIvMinus7dRvPoints": 6.1, "oneWeekIvMinus24hRvPoints": 11.83, "oneWeekIvMinus30dRvPoints": 1.51 }, "fitQuality": { "currentObjective": 0.05668325, "previousObjective": 0.04101444, "currentLiveError": 92.76118905, "previousLiveError": 58.37877849 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s short-dated call-side premium becomes the main signal", "executiveSummary": "Bitcoin options repriced most clearly through skew: one-week RR25 shifted from put-rich to call-rich territory. The accompanying rise in one-week ATM IV left implied volatility above both seven-day and 24-hour realised volatility.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "News Check: CoinDesk reported Bitcoin recovering from session lows as oil prices pulled back. The report appeared during the observation window, but the recorded reaction does not establish that it drove the options move.", "marketContextSummary": "The retained Bitcoin market report coincided with later options changes, but available evidence does not support a direct explanation.", "marketContext": [ { "title": "Bitcoin market update", "explanation": "Bitcoin’s recovery from session lows was reported within the window. Subsequent spot and options observations are associative only, leaving no clear link to the call-rich skew rotation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "6c229768-8418-4898-be46-c32514acb779" ] } ], "newsEvidenceIds": [ "6c229768-8418-4898-be46-c32514acb779" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 39.57%, 6.10 volatility points above seven-day realised volatility of 33.47%; 24-hour realised volatility was 27.74% and 30-day realised volatility was 38.06%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.87 volatility points to 38.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.17 volatility points to 40.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.25% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.86 volatility points at 1W, to 39.57%.", "tenor": "1W", "value": 2.86 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+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": 9, "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": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" } ], "events": [ { "event_cluster_id": "market-event-048f45c94b94", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "primary_article": { "id": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" }, "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-048f45c94b94", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "primary_article": { "id": "6c229768-8418-4898-be46-c32514acb779", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00", "summary": "Live reporting on Bitcoin recovering from session lows as oil prices pulled back.", "matchedTerms": [ "BTC" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 64, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "canonicalEventId": "6c229768-8418-4898-be46-c32514acb779", "reactionHorizon": "4h", "marketReaction": { "event_id": "6c229768-8418-4898-be46-c32514acb779", "asset": "BTC", "calculated_at": "2026-09-08T12:31:37.556939Z", "complete_through": "2026-09-08T12:30:30Z", "spot_return_5m": 0.093015, "spot_return_1h": 0.025039, "spot_return_4h": -0.122516, "spot_return_24h": null, "atm_iv_change_5m": 0.04, "atm_iv_change_1h": 0.12, "atm_iv_change_4h": 0.1, "atm_iv_change_24h": null, "rr25_change_5m": 0.15, "rr25_change_1h": 0.24, "rr25_change_4h": 0.16, "rr25_change_24h": null, "bf25_change_5m": 0.01, "bf25_change_1h": -0.02, "bf25_change_4h": 0.0, "bf25_change_24h": null, "realised_vol_pre": 23.564121446384885, "realised_vol_post_5m": 23.605408125313485, "realised_vol_post_1h": 23.95646822522229, "realised_vol_post_4h": 24.9432879636745, "realised_vol_post_24h": null }, "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD", "ATM IV 1W: up 2.86 points to 39.57%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 11SEP26: -185.98 USD (-0.24%) to 78643.03 USD; the surface data does not establish a causal relationship. MCP-measured 4h post-publication reaction: BTC spot -0.12%, ATM IV +0.10 points and RR25 +0.16 points; this is a timed association, not proof of causation.", "event_cluster_id": "market-event-048f45c94b94" }, "additional_coverage": [] } ] }, "marketRead": { "text": "1W ATM IV rose 2.86 volatility points to 39.57%, a notable move at the 77th percentile among 137 comparable historical observations. At the cutoff, realised volatility measured 27.74% over 24 hours, 33.47% over seven days and 38.06% over 30 days. Front-end ATM IV averaged 38.67%, +1.87 points from the prior snapshot, while the long end averaged 40.12%, +0.17 points. 1W RR25 moved 1.52 volatility points toward calls to 1.31%, leaving calls richer than puts. 1M BF25 rose 0.22 volatility points to 2.37%. The nearest eligible forward, 11SEP26, fell $185.98 (-0.24%) to $78,643.03. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "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 16:30 UTC cutoff, 1W ATM IV was 39.57%, 6.10 volatility points above seven-day realised volatility of 33.47%; 24-hour realised volatility was 27.74% and 30-day realised volatility was 38.06%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.87 volatility points to 38.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.17 volatility points to 40.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.63 volatility points to 0.42% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.13 volatility points to 2.25% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.86 volatility points at 1W, to 39.57%.", "tenor": "1W", "value": 2.86 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.27, "rr25Change": 0.63, "bf25Change": 0.13, "largestAtmMove": { "tenor": "1W", "current": 39.57, "previous": 36.71, "change": 2.86, "historicalSignificance": { "absoluteMove": 2.86, "movePercentile30d": 60.0, 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0.4648, 0.4587, 0.4551, 0.4543, 0.456, 0.4602, 0.4664, 0.4747, 0.4848, 0.4966, 0.5098, 0.5242, 0.5395, 0.5557, 0.5722, 0.5891, 0.6061, 0.6231, 0.6398, 0.656, 0.6716, 0.6865, 0.7005, 0.7138, 0.7259, 0.737, 0.747, 0.7557, 0.7634, 0.7699, 0.7751, 0.7791, 0.782, 0.7838, 0.7844, 0.7839 ] }, { "label": "25DEC26", "values": [ 0.1528, 0.166, 0.1798, 0.1944, 0.2097, 0.2254, 0.2416, 0.2581, 0.2749, 0.2919, 0.3089, 0.3258, 0.3426, 0.3592, 0.3755, 0.3912, 0.4064, 0.4212, 0.4351, 0.4483, 0.4607, 0.4722, 0.4828, 0.4924, 0.501, 0.5086, 0.5151, 0.5205, 0.525, 0.5284, 0.5309, 0.5322, 0.5327, 0.5322, 0.5308, 0.5285, 0.5254, 0.5216, 0.5171, 0.5118, 0.506 ] }, { "label": "26MAR27", "values": [ 0.2906, 0.2707, 0.2519, 0.2341, 0.2175, 0.2019, 0.1875, 0.1744, 0.1624, 0.1515, 0.1418, 0.1334, 0.1261, 0.12, 0.1151, 0.1114, 0.1088, 0.1073, 0.1069, 0.1076, 0.1094, 0.1122, 0.116, 0.1207, 0.1264, 0.1329, 0.1402, 0.1485, 0.1573, 0.167, 0.1772, 0.1882, 0.1996, 0.2116, 0.2241, 0.237, 0.2504, 0.2641, 0.2781, 0.2923, 0.307 ] }, { "label": "25JUN27", "values": [ 0.3412, 0.3268, 0.3127, 0.299, 0.2857, 0.2729, 0.2605, 0.2484, 0.2369, 0.2258, 0.2151, 0.2049, 0.1952, 0.1858, 0.1771, 0.1688, 0.1609, 0.1536, 0.1468, 0.1404, 0.1346, 0.1292, 0.1243, 0.1199, 0.1159, 0.1124, 0.1094, 0.1068, 0.1047, 0.1029, 0.1016, 0.1007, 0.1003, 0.1002, 0.1005, 0.1012, 0.1022, 0.1035, 0.1052, 0.1071, 0.1095 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn call-rich as front-end skew jumps", "standfirst": "Bitcoin one-week RR25 rose 1.52 volatility points to 1.31%, leaving call-side volatility richer than put-side volatility after the 16:30 UTC cutoff. One-week ATM IV simultaneously rose 2.86 points to 39.57%, while Bitcoin spot fell 0.24% over 24 hours. DerivaSys data put one-week implied volatility 6.10 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-08", "headline": "Bitcoin skew moves decisively toward calls", "summary": "One-week skew and implied volatility rose as Bitcoin’s nearest forward edged lower.", "macro": { "summary": "No qualifying macro event was retained.", "events": [] }, "crypto": { "summary": "Bitcoin recovered from session lows as oil prices pulled back; timing alone does not establish a link.", "events": [ { "eventId": "6c229768-8418-4898-be46-c32514acb779", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00" } ] } } ] }, "headline": "Bitcoin options turn call-rich as front-end skew jumps", "standfirst": "Bitcoin one-week RR25 rose 1.52 volatility points to 1.31%, leaving call-side volatility richer than put-side volatility after the 16:30 UTC cutoff. One-week ATM IV simultaneously rose 2.86 points to 39.57%, while Bitcoin spot fell 0.24% over 24 hours. DerivaSys data put one-week implied volatility 6.10 points above seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-04", "asOfTimestamp": "2026-09-04T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "ivSpread": 21.67000026702881, "ivRatio": 2.4913971552150596, "cryptoRealisedVol20d": 50.316183545862955, "spxRealisedVol20": 8.300077397171014, "rvSpread": 42.01610614869194, "rvRatio": 6.062134259496501, "rvSpreadPercentile": 87.71929824561404, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 96.05263157894737, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": 0.15826627536982374, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3517323049645112, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789489800414, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.57, "previous": 36.71, "change": 2.86, "percentChange": 7.79 }, "rr25": { "current": 1.31, "previous": -0.21, "change": 1.52, "percentChange": 723.81 }, "bf25": { "current": 1.87, "previous": 1.67, "change": 0.2, "percentChange": 11.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.86, "movePercentile30d": 60.0, "movePercentileFullHistory": 76.6, "currentLevelPercentileFullHistory": 81.9, "classificationPercentile": 76.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 }, "rr25": { "absoluteMove": 1.52, "movePercentile30d": 66.7, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 94.9, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.6, "currentLevelPercentileFullHistory": 51.4, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 137, "levelObservationsFullHistory": 138 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:01:04+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306032, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295955, "timestamp": "2026-09-07T16:30:00+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": "2026-09-08T16:30:00+00:00", "spotMove24hPercent": 0.79, "rv24hPercent": 36.33, "rv7dPercent": 43.92, "rv30dPercent": 51.88, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 50.19, "oneWeekIvMinus7dRvPoints": 6.27, "oneWeekIvMinus24hRvPoints": 13.86, "oneWeekIvMinus30dRvPoints": -1.69 }, "fitQuality": { "currentObjective": 0.07310928, "previousObjective": 0.01718816, "currentLiveError": 32.84685306, "previousLiveError": 15.91106793 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options pair front-end IV strength with softer BF25", "executiveSummary": "Derivasys data show Ether’s one-week ATM IV at 50.19%, up 2.35 volatility points during the observation window. Ether’s one-week ATM IV exceeded Ether’s seven-day realised volatility by 6.27 volatility points.\n\nThe Ether one-month BF25 reading was 2.72% after a 0.19-volatility-point decline. That BF25 move was routine against the available historical sample.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm" ], "newsSummary": "News Check: no qualifying event was retained for Ether’s options repricing.", "marketContextSummary": "No retained news item supports an assessment of the Ether options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.19%, 6.27 volatility points above seven-day realised volatility of 43.92%; 24-hour realised volatility was 36.33% and 30-day realised volatility was 51.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.48 volatility points to 50.79% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 54.39% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to 1.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.04 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.35 volatility points at 1W, to 50.19%.", "tenor": "1W", "value": 2.35 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+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": 9, "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": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W ATM IV rose 2.35 volatility points to 50.19%, a routine move at the 43rd percentile among 21 comparable historical observations. At the cutoff, realised volatility measured 36.33% over 24 hours, 43.92% over seven days and 51.88% over 30 days. Front-end ATM IV averaged 50.79%, +1.48 points from the prior snapshot, while the long end averaged 54.39%, +0.11 points. 1W RR25 moved 0.83 volatility points toward calls to 1.66%, leaving calls richer than puts. 1M BF25 fell 0.19 volatility points to 2.72%. The nearest eligible forward, 11SEP26, rose $18.83 (+0.76%) to $2,490.39. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.19%, 6.27 volatility points above seven-day realised volatility of 43.92%; 24-hour realised volatility was 36.33% and 30-day realised volatility was 51.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.48 volatility points to 50.79% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 54.39% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.01 volatility points to 1.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.04 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.35 volatility points at 1W, to 50.19%.", "tenor": "1W", "value": 2.35 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.96, "rr25Change": -0.01, "bf25Change": -0.04, "largestAtmMove": { "tenor": "1W", "current": 50.19, "previous": 47.84, "change": 2.35, "historicalSignificance": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 42.9, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } }, "frontEndAverageAtm": { "current": 50.79, "previous": 49.31, "change": 1.48 }, "longEndAverageAtm": { "current": 54.39, "previous": 54.28, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.66, "previous": 0.83, "change": 0.83, "historicalSignificance": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.72, "previous": 2.91, "change": -0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 66.7, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 2.646, "current": 2490.39, "previous": 2471.56, "change": 18.83, "percentChange": 0.76 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789489800759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.19, "previous": 47.84, "change": 2.35, "percentChange": 4.91 }, "rr25": { "current": 1.66, "previous": 0.83, "change": 0.83, "percentChange": 100.0 }, "bf25": { "current": 3.04, "previous": 2.87, "change": 0.17, "percentChange": 5.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 42.9, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 19.0, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "2W", "targetExpiry": 1790094600759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.77, "previous": 49.46, "change": 1.31, "percentChange": 2.65 }, "rr25": { "current": 1.22, "previous": 1.36, "change": -0.14, "percentChange": -10.29 }, "bf25": { "current": 2.54, "previous": 2.64, "change": -0.1, "percentChange": -3.79 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.31, "movePercentile30d": null, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 19.0, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 29.2, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "1M", "targetExpiry": 1791477000759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.4, "previous": 50.63, "change": 0.77, "percentChange": 1.52 }, "rr25": { "current": 1.38, "previous": 1.77, "change": -0.39, "percentChange": -22.03 }, "bf25": { "current": 2.72, "previous": 2.91, "change": -0.19, "percentChange": -6.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.77, "movePercentile30d": null, "movePercentileFullHistory": 38.1, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 38.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": null, "movePercentileFullHistory": 57.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 57.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": null, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 66.7, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "3M", "targetExpiry": 1796747400759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.51, "previous": 52.26, "change": 0.25, "percentChange": 0.48 }, "rr25": { "current": 0.93, "previous": 1.27, "change": -0.34, "percentChange": -26.77 }, "bf25": { "current": 3.13, "previous": 3.27, "change": -0.14, "percentChange": -4.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.25, "movePercentile30d": null, "movePercentileFullHistory": 28.6, "currentLevelPercentileFullHistory": 41.7, "classificationPercentile": 28.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": null, "movePercentileFullHistory": 38.1, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 38.1, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": null, "movePercentileFullHistory": 47.6, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 47.6, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "6M", "targetExpiry": 1804609800759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.39, "previous": 54.28, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 0.64, "previous": 0.66, "change": -0.02, "percentChange": -3.03 }, "bf25": { "current": 3.02, "previous": 2.96, "change": 0.06, "percentChange": 2.03 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 29.2, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": 4.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 4.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 79.2, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "9M", "targetExpiry": 1812472200759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.49, "previous": 55.47, "change": 0.02, "percentChange": 0.04 }, "rr25": { "current": 0.69, "previous": 0.76, "change": -0.07, "percentChange": -9.21 }, "bf25": { "current": 2.75, "previous": 2.7, "change": 0.05, "percentChange": 1.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": null, "movePercentileFullHistory": 14.3, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 14.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": null, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 33.3, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } }, { "tenor": "1Y", "targetExpiry": 1820421000759, "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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0.0739, 0.0711, 0.0683, 0.0655, 0.0625, 0.0596, 0.0567, 0.0538, 0.0509, 0.0481, 0.0453, 0.0426, 0.0399, 0.0373, 0.0348, 0.0323, 0.03, 0.0277, 0.0255, 0.0235, 0.0215, 0.0195, 0.0177, 0.0159, 0.0143, 0.0126, 0.0111, 0.0096, 0.0083, 0.0069, 0.0056, 0.0044, 0.0032, 0.0021, 0.0009, -0.0001, -0.0013, -0.0022 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options reprice as one-month BF25 eases and one-week ATM IV rises", "standfirst": "Ether’s one-week ATM IV rose 2.35 volatility points to 50.19% over the observation window, lifting the cost of near-term options protection. Ether spot gained 0.78% over 24 hours, while Ether’s one-week ATM IV stood 6.27 volatility points above Ether’s seven-day realised volatility of 43.92%.\n\nEther’s one-month BF25 fell 0.19 volatility points to 2.72%. BF25 describes the curvature of the options smile, and the one-month Ether BF25 move was routine against the available historical sample. Derivasys data show that longer-dated Ether ATM IV changed little by comparison.", "days": [ { "reportDate": "2026-09-08", "headline": "Ether options lift at one week while the monthly smile softens", "summary": "At the cutoff, Ether’s one-week ATM IV was 50.19% after a 2.35-volatility-point increase. Ether’s one-month BF25, a measure of smile curvature, declined 0.19 volatility points to 2.72%.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Ether options reprice as one-month BF25 eases and one-week ATM IV rises", "standfirst": "Ether’s one-week ATM IV rose 2.35 volatility points to 50.19% over the observation window, lifting the cost of near-term options protection. Ether spot gained 0.78% over 24 hours, while Ether’s one-week ATM IV stood 6.27 volatility points above Ether’s seven-day realised volatility of 43.92%.\n\nEther’s one-month BF25 fell 0.19 volatility points to 2.72%. BF25 describes the curvature of the options smile, and the one-month Ether BF25 move was routine against the available historical sample. Derivasys data show that longer-dated Ether ATM IV changed little by comparison.", "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): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "ivSpread": 34.75000026702881, "ivRatio": 3.391603641132545, "cryptoRealisedVol20d": 65.32496046150138, "spxRealisedVol20": 8.300077397171014, "rvSpread": 57.02488306433036, "rvRatio": 7.870403772833087, "rvSpreadPercentile": 60.44444444444444, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 93.77777777777777, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.02891644151562212, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3292850648186534, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789489800759, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.19, "previous": 47.84, "change": 2.35, "percentChange": 4.91 }, "rr25": { "current": 1.66, "previous": 0.83, "change": 0.83, "percentChange": 100.0 }, "bf25": { "current": 3.04, "previous": 2.87, "change": 0.17, "percentChange": 5.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.35, "movePercentile30d": null, "movePercentileFullHistory": 42.9, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 42.9, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.83, "movePercentile30d": null, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 23.8, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": 19.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 19.0, "label": "routine", "observations30d": 17, "observationsFullHistory": 21, "levelObservationsFullHistory": 24 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-08", "generatedAt": "2026-09-08T17:01:35+00:00", "currentSnapshotAt": "2026-09-08T16:30:00+00:00", "previousSnapshotAt": "2026-09-07T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 306026, "timestamp": "2026-09-08T16:30:00+00:00" }, "previous": { "id": 295956, "timestamp": "2026-09-07T16:30:00+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 one-minute returns, found 10044 (99.6429% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.036068, "previousObjective": 0.01475596, "currentLiveError": 28.07846762, "previousLiveError": 10.89993467 }, "coverage": { "currentListedExpiries": 7, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [ "10SEP26" ], "removedExpiries": [ "8SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s call-side skew rotation leads a limited-data session", "executiveSummary": "Solana’s clearest options signal was a short-dated shift toward call-rich skew alongside a 2.45-point increase in one-week ATM IV. The available record is too limited for historical significance, and realised-volatility comparisons are unavailable.", "evidenceIds": [ "rr25", "largest-standard-tenor" ], "newsSummary": "News Check: no qualifying event was retained for Solana’s options repricing.", "marketContextSummary": "No retained news item supports an assessment of the Solana options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.22 volatility points to 53.96% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.51 volatility points to 1.97% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.09 volatility points to 4.31% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.45 volatility points at 1W, to 55.35%.", "tenor": "1W", "value": 2.45 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "collectorWindow": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+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": 9, "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": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [] }, "marketRead": { "text": "1W ATM IV rose 2.45 volatility points to 55.35%. Front-end ATM IV averaged 53.96%, +1.22 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.16 volatility points toward calls to 1.28%, leaving calls richer than puts. 1W BF25 rose 0.30 volatility points to 4.26%. The nearest eligible forward, 11SEP26, rose $0.28 (+0.27%) to $103.79. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.22 volatility points to 53.96% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.51 volatility points to 1.97% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.09 volatility points to 4.31% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.45 volatility points at 1W, to 55.35%.", "tenor": "1W", "value": 2.45 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.91, "rr25Change": 0.51, "bf25Change": 0.09, "largestAtmMove": { "tenor": "1W", "current": 55.35, "previous": 52.9, "change": 2.45, "historicalSignificance": { "absoluteMove": 2.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } }, "frontEndAverageAtm": { "current": 53.96, "previous": 52.74, "change": 1.22 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.28, "previous": 0.12, "change": 1.16, "historicalSignificance": { "absoluteMove": 1.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 4.26, "previous": 3.96, "change": 0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } }, "nearestEligibleForwardMove": { "label": "11SEP26", "daysToExpiry": 2.646, "current": 103.79, "previous": 103.51, "change": 0.28, "percentChange": 0.27 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789489800150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.35, "previous": 52.9, "change": 2.45, "percentChange": 4.63 }, "rr25": { "current": 1.28, "previous": 0.12, "change": 1.16, "percentChange": 966.67 }, "bf25": { "current": 4.26, "previous": 3.96, "change": 0.3, "percentChange": 7.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 1.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "2W", "targetExpiry": 1790094600150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.72, "previous": 52.93, "change": 0.79, "percentChange": 1.49 }, "rr25": { "current": 1.64, "previous": 1.18, "change": 0.46, "percentChange": 38.98 }, "bf25": { "current": 4.04, "previous": 3.92, "change": 0.12, "percentChange": 3.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.46, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "1M", "targetExpiry": 1791477000150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.81, "previous": 52.38, "change": 0.43, "percentChange": 0.82 }, "rr25": { "current": 2.11, "previous": 1.78, "change": 0.33, "percentChange": 18.54 }, "bf25": { "current": 4.19, "previous": 4.1, "change": 0.09, "percentChange": 2.2 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "3M", "targetExpiry": 1796747400150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.79, "previous": 51.83, "change": -0.04, "percentChange": -0.08 }, "rr25": { "current": 2.84, "previous": 2.74, "change": 0.1, "percentChange": 3.65 }, "bf25": { "current": 4.76, "previous": 4.92, "change": -0.16, "percentChange": -3.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } }, { "tenor": "6M", "targetExpiry": 1804609800150, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "9M", "targetExpiry": 1812472200150, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "1Y", "targetExpiry": 1820421000150, "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 }, 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"ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22350067, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "9SEP26", "expiry": 1788940800000, "value": 0.155233448992, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "9SEP26", "expiry": 1788940800000, "value": -0.79362253, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00107267, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00850796, "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": "9SEP26", "values": [ 87.7399, 83.8508, 79.8808, 75.8288, 71.6941, 67.4759, 63.1735, 58.7866, 54.3148, 49.7587, 45.1195, 40.3998, 35.6065, 30.7523, 25.8626, 20.9852, 16.2058, 11.6718, 7.6154, 4.3569, 2.2493, 1.5477, 2.2792, 4.2349, 7.0891, 10.5274, 14.308, 18.2659, 22.2955, 26.3314, 30.3332, 34.2767, 38.147, 41.9354, 45.6368, 49.2488, 52.7705, 56.2018, 59.5435, 62.7973, 65.9645 ] }, { "label": "11SEP26", "values": [ 22.9819, 21.9755, 20.9377, 19.8687, 18.7689, 17.6393, 16.4816, 15.2982, 14.0929, 12.8707, 11.6389, 10.4074, 9.1898, 8.0045, 6.8766, 5.8383, 4.9304, 4.2007, 3.7001, 3.4743, 3.5537, 3.9436, 4.6228, 5.5483, 6.6663, 7.9232, 9.2727, 10.6778, 12.1112, 13.5533, 14.9906, 16.414, 17.8173, 19.1962, 20.5482, 21.8714, 23.1652, 24.4287, 25.6619, 26.8652, 28.0386 ] }, { "label": "18SEP26", "values": [ 4.4748, 4.2005, 3.9356, 3.6814, 3.4388, 3.2094, 2.9945, 2.7958, 2.6145, 2.4525, 2.3111, 2.1922, 2.0968, 2.0262, 1.9813, 1.9625, 1.9696, 2.002, 2.0582, 2.1364, 2.2341, 2.3483, 2.476, 2.614, 2.7591, 2.9087, 3.0603, 3.2118, 3.3615, 3.5082, 3.6509, 3.7891, 3.9221, 4.05, 4.1725, 4.2898, 4.402, 4.5091, 4.6115, 4.7093, 4.803 ] }, { "label": "25SEP26", "values": [ 2.1978, 2.0084, 1.8252, 1.649, 1.4805, 1.3202, 1.1689, 1.0271, 0.8956, 0.775, 0.6659, 0.5687, 0.4839, 0.4118, 0.3526, 0.3062, 0.2726, 0.2511, 0.2413, 0.2425, 0.2536, 0.2735, 0.3011, 0.3353, 0.3747, 0.4181, 0.4645, 0.5129, 0.5623, 0.612, 0.6614, 0.7098, 0.7569, 0.8023, 0.8459, 0.8874, 0.9267, 0.9639, 0.9988, 1.0316, 1.0622 ] }, { "label": "30OCT26", "values": [ 0.4796, 0.4605, 0.4437, 0.4293, 0.4173, 0.4079, 0.4009, 0.3966, 0.3947, 0.3955, 0.3988, 0.4045, 0.4125, 0.4228, 0.4353, 0.4498, 0.4661, 0.4841, 0.5037, 0.5246, 0.5467, 0.5698, 0.5936, 0.6182, 0.6431, 0.6684, 0.6938, 0.7193, 0.7446, 0.7699, 0.7949, 0.8195, 0.8437, 0.8676, 0.8909, 0.9138, 0.9361, 0.958, 0.9792, 1.0, 1.0204 ] }, { "label": "25DEC26", "values": [ -0.2518, -0.2593, -0.2653, -0.2696, -0.2724, -0.2736, -0.2733, -0.2715, -0.2684, -0.2639, -0.2583, -0.2517, -0.2441, -0.2357, -0.2268, -0.2174, -0.2078, -0.1981, -0.1885, -0.1791, -0.1702, -0.1619, -0.1543, -0.1476, -0.1419, -0.1373, -0.1339, -0.1318, -0.1309, -0.1315, -0.1335, -0.1369, -0.1416, -0.1478, -0.1553, -0.1642, -0.1743, -0.1856, -0.1982, -0.2119, -0.2266 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options tilt toward calls as short-dated volatility rises", "standfirst": "Solana one-week ATM IV increased 2.45 volatility points to 55.35% during the observation window, while one-week RR25 rose 1.16 points to 1.28%, making call-side volatility richer than put-side volatility. The nearest eligible forward gained 0.27%. Limited surface history and unavailable realised-volatility comparisons constrain broader interpretation.", "days": [ { "reportDate": "2026-09-08", "headline": "Solana short-dated skew shifts toward calls", "summary": "One-week implied volatility and call-side skew increased, though realised-volatility comparison was unavailable.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "headline": "Solana options tilt toward calls as short-dated volatility rises", "standfirst": "Solana one-week ATM IV increased 2.45 volatility points to 55.35% during the observation window, while one-week RR25 rose 1.16 points to 1.28%, making call-side volatility richer than put-side volatility. The nearest eligible forward gained 0.27%. Limited surface history and unavailable realised-volatility comparisons constrain broader interpretation.", "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): Persisted common SPX/VIX session; crypto RV annualised on sqrt(365), SPX RV on sqrt(252). 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": 11.97, "vix3m": 17.61, "ivSpread": 36.200000267028805, "ivRatio": 3.4913971735928166, "cryptoRealisedVol20d": 76.4827989361067, "spxRealisedVol20": 8.300077397171014, "rvSpread": 68.1827215389357, "rvRatio": 9.214709125745621, "rvSpreadPercentile": 59.45945945945946, "rvSpreadPercentileSampleCount": 222, "rvRatioPercentile": 91.89189189189189, "rvRatioPercentileSampleCount": 222, "returnCorrelation30": 0.25240915363830735, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3833016893008728, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys 30-day fixed-tenor surface and canonical crypto index; ^VIX and ^GSPC via Yahoo Finance; valid persisted market-context-v1." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789489800150, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.35, "previous": 52.9, "change": 2.45, "percentChange": 4.63 }, "rr25": { "current": 1.28, "previous": 0.12, "change": 1.16, "percentChange": 966.67 }, "bf25": { "current": 4.26, "previous": 3.96, "change": 0.3, "percentChange": 7.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "rr25": { "absoluteMove": 1.16, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 11, "observationsFullHistory": 11, "levelObservationsFullHistory": 12 } } } } ], "crossAssetAnalysis": { "schemaVersion": 1, "purpose": "Explain what is happening between BTC, ETH and SOL, not recap the component reports.", "assets": [ "BTC", "ETH", "SOL" ], "comparableAssets": [ "BTC", "ETH", "SOL" ], "oneWeek": { "atmIvLevel": { "leader": "SOL", "laggard": "BTC", "highest": 55.35, "lowest": 39.57, "spread": 15.78, "highestToLowestRatio": 1.3988, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.35, "values": [ { "asset": "BTC", "value": 39.57 }, { "asset": "ETH", "value": 50.19 }, { "asset": "SOL", "value": 55.35 } ], "previousSpread": 16.19, "spreadChange": -0.41, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "ETH", "highest": 2.86, "lowest": 2.35, "spread": 0.51, "highestToLowestRatio": 1.217, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 2.86, "values": [ { "asset": "BTC", "value": 2.86 }, { "asset": "ETH", "value": 2.35 }, { "asset": "SOL", "value": 2.45 } ] }, "rr25Level": { "leader": "ETH", "laggard": "SOL", "highest": 1.66, "lowest": 1.28, "spread": 0.38, "highestToLowestRatio": 1.2969, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.66, "values": [ { "asset": "BTC", "value": 1.31 }, { "asset": "ETH", "value": 1.66 }, { "asset": "SOL", "value": 1.28 } ], "previousSpread": 1.04, "spreadChange": -0.66, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "BTC", "laggard": "ETH", "highest": 1.52, "lowest": 0.83, "spread": 0.69, "highestToLowestRatio": 1.8313, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 1.52, "values": [ { "asset": "BTC", "value": 1.52 }, { "asset": "ETH", "value": 0.83 }, { "asset": "SOL", "value": 1.16 } ] } }, "relativeVolatilityLeader": { "asset": "BTC", "metric": "absolute 1W ATM IV change", "value": 2.86 }, "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": 6.27, "lowest": 6.1, "spread": 0.17, "highestToLowestRatio": 1.0279, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 6.27, "values": [ { "asset": "BTC", "value": 6.1 }, { "asset": "ETH", "value": 6.27 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 0.79, "lowest": -0.27, "spread": 1.06, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.79, "values": [ { "asset": "BTC", "value": -0.27 }, { "asset": "ETH", "value": 0.79 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 55.35, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 50.19, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 39.57, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": 2.86, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 2.45, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 2.35, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "BTC", "value": 2.86, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": 2.45, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 2.35, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 6.27, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 6.1, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "ETH", "value": 1.66, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 1.31, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "SOL", "value": 1.28, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "SOL", "value": 1.28, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "BTC", "value": 1.31, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "ETH", "value": 1.66, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "ETH", "value": 0.79, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -0.27, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "BTC", "value": 2.86, "groupMedian": 2.45, "distanceFromMedian": 0.41 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 39.57, "groupMedian": 50.19, "distanceFromMedian": -10.62 }, { "metric": "1W RR25 level", "asset": "ETH", "value": 1.66, "groupMedian": 1.31, "distanceFromMedian": 0.35 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 0.17, "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 0.17-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 10, "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": 0.904, "observations": 11 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "ETH", "highest": 2.86, "lowest": 2.35, "spread": 0.51, "highestToLowestRatio": 1.217, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 2.86, "values": [ { "asset": "BTC", "value": 2.86 }, { "asset": "ETH", "value": 2.35 }, { "asset": "SOL", "value": 2.45 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 55.35, "lowest": 39.57, "spread": 15.78, "highestToLowestRatio": 1.3988, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.35, "values": [ { "asset": "BTC", "value": 39.57 }, { "asset": "ETH", "value": 50.19 }, { "asset": "SOL", "value": 55.35 } ], "previousSpread": 16.19, "spreadChange": -0.41, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "SOL", "highest": 1.66, "lowest": 1.28, "spread": 0.38, "highestToLowestRatio": 1.2969, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.66, "values": [ { "asset": "BTC", "value": 1.31 }, { "asset": "ETH", "value": 1.66 }, { "asset": "SOL", "value": 1.28 } ], "previousSpread": 1.04, "spreadChange": -0.66, "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": 6.27, "lowest": 6.1, "spread": 0.17, "highestToLowestRatio": 1.0279, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 6.27, "values": [ { "asset": "BTC", "value": 6.1 }, { "asset": "ETH", "value": 6.27 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 0.79, "lowest": -0.27, "spread": 1.06, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.79, "values": [ { "asset": "BTC", "value": -0.27 }, { "asset": "ETH", "value": 0.79 }, { "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": "2026-09-08T16:30:00+00:00", "window": { "startAt": "2026-09-07T16:30:00+00:00", "endAt": "2026-09-08T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options track Ether’s 24-hour spot lead over Bitcoin", "standfirst": "Ether led Bitcoin by 1.02 percentage points in 24-hour spot performance over the observation window: Ether spot gained 0.78%, while Bitcoin spot declined 0.24%. Derivasys data show that the gap coincided with narrower one-week options-market dispersion across the major coins.\n\nSolana’s one-week ATM implied volatility was 55.35%, versus Bitcoin’s one-week ATM implied volatility of 39.57%, leaving the one-week ATM implied-volatility gap 0.41 volatility points narrower at 15.78 volatility points. Ether’s one-week RR25 level was 1.66%, while Solana’s one-week RR25 level was 1.28%, narrowing the one-week RR25 gap by 0.66 volatility points to 0.38 volatility points. Implied volatility is the market’s expectation of future price variability: Ether’s one-week ATM implied volatility exceeded Ether’s seven-day realised volatility by 6.27 volatility points, while Bitcoin’s corresponding one-week implied-versus-seven-day-realised spread was 6.10 volatility points. Solana realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-08", "headline": "Ether spot lead accompanies tighter major-coin one-week options gaps", "summary": "Ether’s 24-hour spot performance exceeded Bitcoin’s 24-hour spot performance by 1.02 percentage points, with Ether up 0.78% and Bitcoin down 0.24%. In options, Solana’s one-week ATM implied volatility stood at 55.35% and Bitcoin’s one-week ATM implied volatility stood at 39.57%, producing a one-week ATM implied-volatility dispersion of 15.78 volatility points after a 0.41-volatility-point narrowing. Ether’s one-week RR25 level of 1.66% and Solana’s one-week RR25 level of 1.28% left one-week RR25 dispersion at 0.38 volatility points.", "macro": { "summary": "No qualifying macro event was retained.", "events": [] }, "crypto": { "summary": "Bitcoin’s reported recovery from session lows offers context, not a proven explanation for cross-major repricing.", "events": [ { "eventId": "6c229768-8418-4898-be46-c32514acb779", "title": "Live updates: Bitcoin climbs from sessions lows as oil prices pull back", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/08/live-updates", "publishedAt": "2026-09-08T08:30:30+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 1.0466666666666666, "rr25Change": 0.3766666666666667, "bf25Change": 0.06 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether–Bitcoin spot separation coincides with tighter one-week options dispersion", "executiveSummary": "Over the observation window, Ether’s 24-hour spot performance rose 0.78% and Bitcoin’s 24-hour spot performance fell 0.24%, creating a 1.02-percentage-point Ether–Bitcoin spot-performance spread. Derivasys data show Solana’s one-week ATM implied volatility at 55.35% and Bitcoin’s one-week ATM implied volatility at 39.57%; the resulting one-week ATM implied-volatility dispersion narrowed 0.41 volatility points to 15.78 volatility points.\n\nEther’s one-week RR25 level of 1.66% and Solana’s one-week RR25 level of 1.28% reduced their one-week RR25 dispersion by 0.66 volatility points to 0.38 volatility points. Ether’s one-week ATM implied volatility was 6.27 volatility points above Ether’s seven-day realised volatility, compared with a 6.10-volatility-point Bitcoin one-week implied-versus-seven-day-realised spread; Solana’s realised-volatility comparison was unavailable.", "evidenceIds": [ "majors-cross-spot-performance", "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-atm-level-dispersion" ], "newsSummary": "News Check: a Bitcoin market update fell inside the window. It is retained only as limited context and does not explain the relative options pattern across Bitcoin, Ether and Solana.", "marketContextSummary": "The Bitcoin-specific report has no clear evidential link to the broad, tightly clustered major-coin volatility repricing.", "marketContext": [ { "title": "Bitcoin market update", "explanation": "The report concerned Bitcoin’s recovery from session lows, whereas the comparative thesis is a clustered one-week ATM IV rise across all three majors alongside Ether’s spot lead. The timing is insufficient to infer a direct relationship.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-spot-performance", "majors-cross-1w-atm-change-dispersion" ], "news_evidence_ids": [ "6c229768-8418-4898-be46-c32514acb779" ] } ], "newsEvidenceIds": [ "6c229768-8418-4898-be46-c32514acb779" ] } }