{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:32:47+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "One-week ATM IV dispersion across Bitcoin, Ether and Solana narrowed 1.59 volatility points to 14.19 points, with Solana at 54.66% and Bitcoin at 40.47%. The convergence in levels obscured a divergent daily repricing: Ether’s one-week ATM IV rose 2.12 points while Solana’s fell 0.69 points. DerivaSys data therefore show less separation in prevailing volatility levels but a clear leader in the day’s volatility adjustment.", "marketSummary": "The one-week ATM IV gap between Solana and Bitcoin narrowed to 14.19 volatility points from 15.78 points. Ether nevertheless led daily repricing, with a 2.12-point increase versus a 0.69-point decline for Solana.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-09", "artifactId": "sha256:58f6d496cffc0cf906862a29d83c5ae4982d5c31ca311bd71c0a782eca284530", "contentSha256": "d505083a57f92250d4ced55fa51d85da71dae449308c8c25e3e1e53ba7e2d12b", "currentSnapshotId": 316109, "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotId": 306029, "previousSnapshotAt": "2026-09-08T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-09", "artifactId": "sha256:6c291476b1ae15f7e5f481b57f2a68bf6c6cc8fdff3d53a9ffef460eebd8c0ae", "contentSha256": "128277f36d13b31a3f313d152713bc7059bdef113b9a6b308b8d013d3fb346ca", "currentSnapshotId": 316108, "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotId": 306032, "previousSnapshotAt": "2026-09-08T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-09", "artifactId": "sha256:e1095831d3996e5d988248f922164c18b5a76ef250e1ffc70ee72c52b3432d0f", "contentSha256": "e5ef74be496b5d4c7b8be5efb6a356e27cff6faccd2de4704b80d1153f4ec213", "currentSnapshotId": 316110, "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotId": 306026, "previousSnapshotAt": "2026-09-08T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:31:29+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316109, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306029, "timestamp": "2026-09-08T16:30:00+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": "2026-09-09T16:30:00+00:00", "spotWindowStart": "2026-09-08T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.02, "rv24hPercent": 37.01, "rv7dPercent": 33.07, "rv30dPercent": 38.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 40.47, "oneWeekIvMinus7dRvPoints": 7.4, "oneWeekIvMinus24hRvPoints": 3.46, "oneWeekIvMinus30dRvPoints": 2.05 }, "fitQuality": { "currentObjective": 0.05157602, "previousObjective": 0.05668325, "currentLiveError": 73.31170107, "previousLiveError": 92.76118905 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s one-week convexity increase accompanies a firmer front end", "executiveSummary": "Bitcoin’s one-week BF25 reached 2.12% after a 0.25-volatility-point increase, while front-end ATM IV moved higher across the short dated curve. The one-week ATM IV level remained above realised volatility at the cutoff.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Bitcoin’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 40.47%, 7.40 volatility points above seven-day realised volatility of 33.07%; 24-hour realised volatility was 37.01% and 30-day realised volatility was 38.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.69 volatility points to 39.36% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points to 40.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.08 volatility points to 0.34% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.90 volatility points at 1W, to 40.47%.", "tenor": "1W", "value": 0.9 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "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": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "1W ATM IV rose 0.90 volatility points to 40.47%, a routine move at the 31st percentile among 138 comparable historical observations. At the cutoff, realised volatility measured 37.01% over 24 hours, 33.07% over seven days and 38.42% over 30 days. Front-end ATM IV averaged 39.36%, +0.69 points from the prior snapshot, while the long end averaged 40.33%, +0.21 points. 1W RR25 moved 0.53 volatility points toward puts to 0.78%, leaving calls richer than puts. 1W BF25 rose 0.25 volatility points to 2.12%. The nearest eligible forward, 12SEP26, fell $20.22 (-0.03%) to $78,631.38. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 103, "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 40.47%, 7.40 volatility points above seven-day realised volatility of 33.07%; 24-hour realised volatility was 37.01% and 30-day realised volatility was 38.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.69 volatility points to 39.36% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.21 volatility points to 40.33% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.08 volatility points to 0.34% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.14 volatility points to 2.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.90 volatility points at 1W, to 40.47%.", "tenor": "1W", "value": 0.9 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.5, "rr25Change": -0.08, "bf25Change": 0.14, "largestAtmMove": { "tenor": "1W", "current": 40.47, "previous": 39.57, "change": 0.9, "historicalSignificance": { "absoluteMove": 0.9, "movePercentile30d": 26.7, "movePercentileFullHistory": 31.2, "currentLevelPercentileFullHistory": 82.7, "classificationPercentile": 31.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } }, "frontEndAverageAtm": { "current": 39.36, "previous": 38.67, "change": 0.69 }, "longEndAverageAtm": { "current": 40.33, "previous": 40.12, "change": 0.21 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.78, "previous": 1.31, "change": -0.53, "historicalSignificance": { "absoluteMove": 0.53, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.7, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 37.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.12, "previous": 1.87, "change": 0.25, "historicalSignificance": { "absoluteMove": 0.25, "movePercentile30d": 70.0, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 70.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } }, "nearestEligibleForwardMove": { "label": "12SEP26", "daysToExpiry": 2.646, "current": 78631.38, "previous": 78651.6, "change": -20.22, "percentChange": -0.03 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.47, "previous": 39.57, "change": 0.9, "percentChange": 2.27 }, "rr25": { "current": 0.78, "previous": 1.31, "change": -0.53, "percentChange": -40.46 }, "bf25": { "current": 2.12, "previous": 1.87, "change": 0.25, "percentChange": 13.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.9, "movePercentile30d": 26.7, "movePercentileFullHistory": 31.2, "currentLevelPercentileFullHistory": 82.7, "classificationPercentile": 31.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.53, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.7, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 37.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": 70.0, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 70.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "2W", "targetExpiry": 1790181000718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.22, "previous": 38.5, "change": 0.72, "percentChange": 1.87 }, "rr25": { "current": 0.86, "previous": 0.87, "change": -0.01, "percentChange": -1.15 }, "bf25": { "current": 2.08, "previous": 1.91, "change": 0.17, "percentChange": 8.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.72, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 82.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 0.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 66.7, "movePercentileFullHistory": 56.5, "currentLevelPercentileFullHistory": 61.9, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "1M", "targetExpiry": 1791563400718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.4, "previous": 37.95, "change": 0.45, "percentChange": 1.19 }, "rr25": { "current": 0.59, "previous": 0.59, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 2.43, "previous": 2.37, "change": 0.06, "percentChange": 2.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": 36.7, "movePercentileFullHistory": 31.9, "currentLevelPercentileFullHistory": 74.8, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 0.7, "currentLevelPercentileFullHistory": 93.5, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 43.3, "movePercentileFullHistory": 34.8, "currentLevelPercentileFullHistory": 74.8, "classificationPercentile": 43.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "3M", "targetExpiry": 1796833800718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.56, "previous": 39.36, "change": 0.2, "percentChange": 0.51 }, "rr25": { "current": -0.14, "previous": -0.3, "change": 0.16, "percentChange": 53.33 }, "bf25": { "current": 2.58, "previous": 2.38, "change": 0.2, "percentChange": 8.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.2, "movePercentile30d": 33.3, "movePercentileFullHistory": 28.3, "currentLevelPercentileFullHistory": 69.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 33.3, "movePercentileFullHistory": 29.0, "currentLevelPercentileFullHistory": 95.7, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": 83.3, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 66.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "6M", "targetExpiry": 1804696200718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.33, "previous": 40.12, "change": 0.21, "percentChange": 0.52 }, "rr25": { "current": -0.37, "previous": -0.37, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 2.71, "previous": 2.71, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 47.1, "currentLevelPercentileFullHistory": 23.7, "classificationPercentile": 47.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 0.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 3.3, "movePercentileFullHistory": 4.3, "currentLevelPercentileFullHistory": 66.9, "classificationPercentile": 4.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "9M", "targetExpiry": 1812558600718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.34, "previous": 41.29, "change": 0.05, "percentChange": 0.12 }, "rr25": { "current": -0.3, "previous": -0.29, "change": -0.01, "percentChange": -3.45 }, "bf25": { "current": 2.84, "previous": 2.85, "change": -0.01, "percentChange": -0.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 13.3, "movePercentileFullHistory": 16.7, "currentLevelPercentileFullHistory": 13.7, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.6, "currentLevelPercentileFullHistory": 92.8, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.4, "currentLevelPercentileFullHistory": 82.0, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } }, { "tenor": "1Y", "targetExpiry": 1820507400718, "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": 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0.1391, 0.149, 0.1614, 0.1765, 0.1942, 0.2145, 0.2374, 0.2626, 0.2901, 0.3201, 0.3521, 0.3863, 0.4223, 0.4603, 0.4999, 0.5413, 0.584, 0.6281, 0.6735, 0.7201 ] }, { "label": "25DEC26", "values": [ 0.4576, 0.4312, 0.4058, 0.3814, 0.3581, 0.3362, 0.3157, 0.2969, 0.2799, 0.2645, 0.2513, 0.24, 0.2309, 0.2238, 0.2188, 0.2162, 0.2157, 0.2172, 0.221, 0.2267, 0.2344, 0.2441, 0.2554, 0.2684, 0.283, 0.2989, 0.3161, 0.3345, 0.3537, 0.3737, 0.3944, 0.4157, 0.4372, 0.4591, 0.4809, 0.5029, 0.5247, 0.5461, 0.5672, 0.5879, 0.608 ] }, { "label": "26MAR27", "values": [ 0.1575, 0.1647, 0.1713, 0.1773, 0.1827, 0.1875, 0.1917, 0.1954, 0.1986, 0.2013, 0.2035, 0.2053, 0.2068, 0.2078, 0.2084, 0.2087, 0.2088, 0.2085, 0.208, 0.2073, 0.2063, 0.2051, 0.2037, 0.2022, 0.2005, 0.1986, 0.1966, 0.1944, 0.1922, 0.1898, 0.1873, 0.1846, 0.1819, 0.179, 0.1761, 0.173, 0.1698, 0.1665, 0.163, 0.1595, 0.1557 ] }, { "label": "25JUN27", "values": [ -0.0123, -0.006, -0.0003, 0.0047, 0.009, 0.0128, 0.0159, 0.0185, 0.0205, 0.022, 0.0231, 0.0237, 0.024, 0.0239, 0.0234, 0.0226, 0.0216, 0.0204, 0.019, 0.0175, 0.0158, 0.0142, 0.0124, 0.0107, 0.0091, 0.0075, 0.0061, 0.0049, 0.0037, 0.0028, 0.0022, 0.0019, 0.0017, 0.0019, 0.0025, 0.0033, 0.0045, 0.0061, 0.0081, 0.0105, 0.0132 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options add convexity as front-end volatility firms", "standfirst": "Bitcoin one-week BF25 increased 0.25 volatility points to 2.12%, the day’s notable surface adjustment, while one-week ATM IV rose 0.90 points to 40.47%. The BF25 measure captures the relative richness of options away from the centre of the distribution. DerivaSys data showed front-end ATM IV averaging 39.36%, up 0.69 points; Bitcoin’s 24-hour spot-index return was 0.02%, and one-week implied volatility remained 7.40 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-09", "headline": "Bitcoin convexity rises with volatility", "summary": "One-week BF25 increased while front-end ATM IV strengthened and call-side richness narrowed.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Bitcoin options add convexity as front-end volatility firms", "standfirst": "Bitcoin one-week BF25 increased 0.25 volatility points to 2.12%, the day’s notable surface adjustment, while one-week ATM IV rose 0.90 points to 40.47%. The BF25 measure captures the relative richness of options away from the centre of the distribution. DerivaSys data showed front-end ATM IV averaging 39.36%, up 0.69 points; Bitcoin’s 24-hour spot-index return was 0.02%, and one-week implied volatility remained 7.40 points above seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 5.53, at the 89.5 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 5.53, at the 89.5 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.34 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 38.47, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 22.74999973297119, "ivRatio": 2.4472009762421654, "cryptoRealisedVol20d": 47.167727263541934, "spxRealisedVol20": 8.535776328313373, "rvSpread": 38.63195093522856, "rvRatio": 5.525886041212849, "rvSpreadPercentile": 81.22270742358079, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 89.51965065502183, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": 0.18608566531643414, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.34148166011864517, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789576200718, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.47, "previous": 39.57, "change": 0.9, "percentChange": 2.27 }, "rr25": { "current": 0.78, "previous": 1.31, "change": -0.53, "percentChange": -40.46 }, "bf25": { "current": 2.12, "previous": 1.87, "change": 0.25, "percentChange": 13.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.9, "movePercentile30d": 26.7, "movePercentileFullHistory": 31.2, "currentLevelPercentileFullHistory": 82.7, "classificationPercentile": 31.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "rr25": { "absoluteMove": 0.53, "movePercentile30d": 33.3, "movePercentileFullHistory": 37.7, "currentLevelPercentileFullHistory": 89.9, "classificationPercentile": 37.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 }, "bf25": { "absoluteMove": 0.25, "movePercentile30d": 70.0, "movePercentileFullHistory": 65.2, "currentLevelPercentileFullHistory": 70.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 138, "levelObservationsFullHistory": 139 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:32:12+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316108, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306032, "timestamp": "2026-09-08T16:30:00+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": "2026-09-09T16:30:00+00:00", "spotWindowStart": "2026-09-08T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.13, "rv24hPercent": 45.53, "rv7dPercent": 43.08, "rv30dPercent": 52.16, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 52.31, "oneWeekIvMinus7dRvPoints": 9.23, "oneWeekIvMinus24hRvPoints": 6.78, "oneWeekIvMinus30dRvPoints": 0.15 }, "fitQuality": { "currentObjective": 0.03213263, "previousObjective": 0.07310928, "currentLiveError": 12.26679159, "previousLiveError": 32.84685306 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-month convexity reprices alongside a firmer front end", "executiveSummary": "Ether’s one-month BF25 rose to 3.22%, a notable move in the available history, while front-end ATM IV increased by 1.74 volatility points on average. One-week implied volatility also remained above seven-day realised volatility.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Ether’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.31%, 9.23 volatility points above seven-day realised volatility of 43.08%; 24-hour realised volatility was 45.53% and 30-day realised volatility was 52.16%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.74 volatility points to 52.53% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.36 volatility points to 54.75% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 3.14% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.12 volatility points at 1W, to 52.31%.", "tenor": "1W", "value": 2.12 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 2, "publishersRepresented": 2, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 2, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 2, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "1W ATM IV rose 2.12 volatility points to 52.31%, a routine move at the 36th percentile among 22 comparable historical observations. At the cutoff, realised volatility measured 45.53% over 24 hours, 43.08% over seven days and 52.16% over 30 days. Front-end ATM IV averaged 52.53%, +1.74 points from the prior snapshot, while the long end averaged 54.75%, +0.36 points. 2W RR25 moved 1.08 volatility points toward calls to 2.30%, leaving calls richer than puts. 1M BF25 rose 0.50 volatility points to 3.22%. The nearest eligible forward, 12SEP26, fell $0.14 (-0.01%) to $2,490.46. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 103, "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 52.31%, 9.23 volatility points above seven-day realised volatility of 43.08%; 24-hour realised volatility was 45.53% and 30-day realised volatility was 52.16%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.74 volatility points to 52.53% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.36 volatility points to 54.75% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 3.14% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.12 volatility points at 1W, to 52.31%.", "tenor": "1W", "value": 2.12 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.28, "rr25Change": 0.41, "bf25Change": 0.25, "largestAtmMove": { "tenor": "1W", "current": 52.31, "previous": 50.19, "change": 2.12, "historicalSignificance": { "absoluteMove": 2.12, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } }, "frontEndAverageAtm": { "current": 52.53, "previous": 50.79, "change": 1.74 }, "longEndAverageAtm": { "current": 54.75, "previous": 54.39, "change": 0.36 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 2.3, "previous": 1.22, "change": 1.08, "historicalSignificance": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": 54.5, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 54.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 3.22, "previous": 2.72, "change": 0.5, "historicalSignificance": { "absoluteMove": 0.5, "movePercentile30d": null, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 86.4, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } }, "nearestEligibleForwardMove": { "label": "12SEP26", "daysToExpiry": 2.646, "current": 2490.46, "previous": 2490.6, "change": -0.14, "percentChange": -0.01 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.31, "previous": 50.19, "change": 2.12, "percentChange": 4.22 }, "rr25": { "current": 2.66, "previous": 1.66, "change": 1.0, "percentChange": 60.24 }, "bf25": { "current": 3.14, "previous": 3.04, "change": 0.1, "percentChange": 3.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.12, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.0, "movePercentile30d": null, "movePercentileFullHistory": 22.7, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 22.7, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 13.6, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 13.6, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "2W", "targetExpiry": 1790181000546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.85, "previous": 50.77, "change": 2.08, "percentChange": 4.1 }, "rr25": { "current": 2.3, "previous": 1.22, "change": 1.08, "percentChange": 88.52 }, "bf25": { "current": 2.9, "previous": 2.54, "change": 0.36, "percentChange": 14.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": null, "movePercentileFullHistory": 68.2, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 68.2, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": 54.5, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 54.5, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.36, "movePercentile30d": null, "movePercentileFullHistory": 72.7, "currentLevelPercentileFullHistory": 64.0, "classificationPercentile": 72.7, "label": "notable", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } }, { "tenor": "1M", "targetExpiry": 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"25JUN27", "expiry": 1813910400000, "value": -0.97295104, "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": "10SEP26", "values": [ 43.592, 41.1628, 38.7206, 36.2651, 33.7954, 31.3108, 28.8108, 26.2949, 23.7629, 21.2155, 18.6546, 16.0849, 13.5157, 10.9649, 8.4651, 6.0741, 3.8905, 2.0683, 0.8171, 0.3569, 0.8181, 2.1571, 4.1792, 6.6455, 9.3612, 12.1985, 15.0853, 17.9847, 20.8799, 23.7644, 26.6369, 29.4984, 32.3508, 35.1962, 38.0365, 40.8733, 43.7082, 46.542, 49.3758, 52.2101, 55.0452 ] }, { "label": "11SEP26", "values": [ 20.9602, 19.8699, 18.7677, 17.6533, 16.5265, 15.3871, 14.2354, 13.0715, 11.8964, 10.7117, 9.5202, 8.3267, 7.1388, 5.9683, 4.8339, 3.7631, 2.795, 1.981, 1.3819, 1.0577, 1.0512, 1.3732, 1.9982, 2.8746, 3.9408, 5.1405, 6.4287, 7.7732, 9.1523, 10.5517, 11.9625, 13.3792, 14.7985, 16.2183, 17.6373, 19.0546, 20.4698, 21.8824, 23.2922, 24.6987, 26.1019 ] }, { "label": "12SEP26", "values": [ 9.9532, 9.4774, 9.0061, 8.54, 8.0797, 7.6263, 7.1809, 6.7451, 6.3208, 5.9106, 5.5175, 5.1453, 4.7991, 4.4847, 4.2091, 3.9803, 3.8066, 3.6962, 3.6558, 3.6895, 3.7986, 3.9802, 4.2287, 4.5365, 4.8953, 5.2969, 5.734, 6.2006, 6.6916, 7.203, 7.7316, 8.2749, 8.831, 9.3983, 9.9755, 10.5616, 11.1556, 11.7567, 12.3642, 12.9776, 13.5964 ] }, { "label": "18SEP26", "values": [ 1.6273, 1.5879, 1.5526, 1.5218, 1.4963, 1.4767, 1.464, 1.459, 1.4627, 1.4757, 1.4993, 1.5342, 1.5813, 1.641, 1.7138, 1.7998, 1.8987, 2.0099, 2.1325, 2.2653, 2.4071, 2.5562, 2.7114, 2.8711, 3.0344, 3.2001, 3.3675, 3.5358, 3.7049, 3.8741, 4.0434, 4.2126, 4.3817, 4.5505, 4.7192, 4.8876, 5.0557, 5.2237, 5.3914, 5.5588, 5.7259 ] }, { "label": "25SEP26", "values": [ 3.2126, 3.0494, 2.8896, 2.7343, 2.5846, 2.4418, 2.3072, 2.182, 2.0675, 1.9654, 1.8766, 1.8029, 1.7451, 1.7044, 1.6817, 1.6777, 1.693, 1.7276, 1.7816, 1.8543, 1.9455, 2.0541, 2.1791, 2.3193, 2.4732, 2.6393, 2.8164, 3.0027, 3.197, 3.3977, 3.6036, 3.8135, 4.0262, 4.2409, 4.4565, 4.6725, 4.8879, 5.1023, 5.3152, 5.5261, 5.7347 ] }, { "label": "30OCT26", "values": [ 1.7966, 1.7265, 1.6542, 1.5806, 1.5058, 1.4305, 1.3552, 1.2803, 1.2066, 1.1344, 1.0644, 0.997, 0.9328, 0.8722, 0.8157, 0.7637, 0.7165, 0.6744, 0.6377, 0.6065, 0.581, 0.5612, 0.5471, 0.5387, 0.5358, 0.5383, 0.5461, 0.559, 0.5765, 0.5987, 0.6251, 0.6555, 0.6894, 0.7269, 0.7672, 0.8104, 0.856, 0.9038, 0.9535, 1.0049, 1.0577 ] }, { "label": "27NOV26", "values": [ 0.9677, 0.9686, 0.969, 0.9686, 0.9679, 0.9667, 0.9653, 0.9637, 0.962, 0.9604, 0.9588, 0.9575, 0.9564, 0.9557, 0.9554, 0.9556, 0.9564, 0.9576, 0.9596, 0.9621, 0.9654, 0.9693, 0.9739, 0.9791, 0.9849, 0.9914, 0.9985, 1.0061, 1.0143, 1.0229, 1.0322, 1.0418, 1.0517, 1.062, 1.0726, 1.0836, 1.0947, 1.1061, 1.1176, 1.1293, 1.141 ] }, { "label": "25DEC26", "values": [ 0.9779, 0.9577, 0.9373, 0.9167, 0.896, 0.8755, 0.8549, 0.8348, 0.8151, 0.7959, 0.7772, 0.7593, 0.7424, 0.7261, 0.711, 0.6968, 0.6838, 0.6718, 0.661, 0.6514, 0.6431, 0.6359, 0.6299, 0.6251, 0.6216, 0.6191, 0.6178, 0.6176, 0.6184, 0.6202, 0.6229, 0.6266, 0.631, 0.6363, 0.6423, 0.6489, 0.6563, 0.6642, 0.6725, 0.6814, 0.6906 ] }, { "label": "26MAR27", "values": [ 0.4964, 0.4917, 0.4868, 0.4813, 0.4757, 0.4696, 0.4633, 0.4567, 0.4498, 0.4427, 0.4353, 0.4278, 0.4201, 0.4122, 0.4042, 0.396, 0.3879, 0.3797, 0.3715, 0.3632, 0.355, 0.3469, 0.3388, 0.3308, 0.323, 0.3153, 0.3077, 0.3004, 0.2932, 0.2863, 0.2795, 0.2731, 0.2668, 0.2608, 0.2551, 0.2497, 0.2445, 0.2396, 0.235, 0.2306, 0.2266 ] }, { "label": "25JUN27", "values": [ 0.2833, 0.2766, 0.2696, 0.2622, 0.2545, 0.2464, 0.2381, 0.2296, 0.2209, 0.2121, 0.2032, 0.1943, 0.1854, 0.1764, 0.1676, 0.1589, 0.1503, 0.1418, 0.1336, 0.1255, 0.1177, 0.1101, 0.1028, 0.0957, 0.0891, 0.0827, 0.0767, 0.0709, 0.0656, 0.0606, 0.056, 0.0517, 0.0478, 0.0444, 0.0413, 0.0385, 0.0361, 0.0341, 0.0325, 0.0313, 0.0303 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options gain convexity as short-dated volatility strengthens", "standfirst": "Ether one-month BF25 rose 0.50 volatility points to 3.22%, the material surface move, while one-week ATM IV climbed 2.12 points to 52.31%. BF25 measures the relative pricing of options away from the centre of the distribution. DerivaSys data put front-end ATM IV at 52.53%, up 1.74 points; Ether’s 24-hour spot-index return was 0.13%, and one-week implied volatility exceeded seven-day realised volatility by 9.23 points.", "days": [ { "reportDate": "2026-09-09", "headline": "Ether convexity and front-end volatility rise", "summary": "One-month BF25 posted a notable increase as shorter-dated Ether implied volatility advanced.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Ether options gain convexity as short-dated volatility strengthens", "standfirst": "Ether one-month BF25 rose 0.50 volatility points to 3.22%, the material surface move, while one-week ATM IV climbed 2.12 points to 52.31%. BF25 measures the relative pricing of options away from the centre of the distribution. DerivaSys data put front-end ATM IV at 52.53%, up 1.74 points; Ether’s 24-hour spot-index return was 0.13%, and one-week implied volatility exceeded seven-day realised volatility by 9.23 points.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 6.37, at the 73.5 percentile across 226 prior observations. The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.37, at the 73.5 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.82, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 36.09999973297119, "ivRatio": 3.296437603037926, "cryptoRealisedVol20d": 54.36608239986415, "spxRealisedVol20": 8.535776328313373, "rvSpread": 45.83030607155077, "rvRatio": 6.369201852153806, "rvSpreadPercentile": 39.38053097345133, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 73.45132743362832, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.03279786013393464, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3113951791988672, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789576200546, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.31, "previous": 50.19, "change": 2.12, "percentChange": 4.22 }, "rr25": { "current": 2.66, "previous": 1.66, "change": 1.0, "percentChange": 60.24 }, "bf25": { "current": 3.14, "previous": 3.04, "change": 0.1, "percentChange": 3.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.12, "movePercentile30d": null, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 80.0, "classificationPercentile": 36.4, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.0, "movePercentile30d": null, "movePercentileFullHistory": 22.7, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 22.7, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 13.6, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 13.6, "label": "routine", "observations30d": 18, "observationsFullHistory": 22, "levelObservationsFullHistory": 25 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-09", "generatedAt": "2026-09-09T16:32:47+00:00", "currentSnapshotAt": "2026-09-09T16:30:00+00:00", "previousSnapshotAt": "2026-09-08T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 316110, "timestamp": "2026-09-09T16:30:00+00:00" }, "previous": { "id": 306026, "timestamp": "2026-09-08T16:30:00+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": 0.01413423, "previousObjective": 0.036068, "currentLiveError": 9.34084434, "previousLiveError": 28.07846762 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 7, "comparedListedExpiries": 6, "addedExpiries": [], "removedExpiries": [ "9SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s option smile rotates lower as front-end volatility declines", "executiveSummary": "Solana’s largest measured surface movement was a 1.19-volatility-point lower rotation in the 18SEP26 smile. Front-end ATM IV declined by 0.59 points on average, while the two-week ATM IV fell to 52.93%.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for Solana’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.59 volatility points to 53.37% 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 was broadly unchanged, averaging +0.07 volatility points to 2.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.16 volatility points to 4.47% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.79 volatility points at 2W, to 52.93%.", "tenor": "2W", "value": -0.79 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+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": 3, "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": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "News context unavailable", "highest_causal_confidence": "low", "section_heading": "News context unavailable", "events": [], "coverage_status": "incomplete", "summary": "News context unavailable because source coverage was incomplete." }, "marketRead": { "text": "2W ATM IV fell 0.79 volatility points to 52.93%. Front-end ATM IV averaged 53.37%, -0.59 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.38 volatility points toward puts to 0.90%, leaving calls richer than puts. 3M BF25 rose 0.38 volatility points to 5.14%. The nearest eligible forward, 18SEP26, fell $0.77 (-0.74%) to $103.02. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. News context unavailable; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.59 volatility points to 53.37% 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 was broadly unchanged, averaging +0.07 volatility points to 2.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.16 volatility points to 4.47% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.79 volatility points at 2W, to 52.93%.", "tenor": "2W", "value": -0.79 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.46, "rr25Change": 0.07, "bf25Change": 0.16, "largestAtmMove": { "tenor": "2W", "current": 52.93, "previous": 53.72, "change": -0.79, "historicalSignificance": { "absoluteMove": 0.79, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } }, "frontEndAverageAtm": { "current": 53.37, "previous": 53.96, "change": -0.59 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.9, "previous": 1.28, "change": -0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.14, "previous": 4.76, "change": 0.38, "historicalSignificance": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 8.646, "current": 103.02, "previous": 103.79, "change": -0.77, "percentChange": -0.74 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789576200811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.66, "previous": 55.35, "change": -0.69, "percentChange": -1.25 }, "rr25": { "current": 0.9, "previous": 1.28, "change": -0.38, "percentChange": -29.69 }, "bf25": { "current": 4.48, "previous": 4.26, "change": 0.22, "percentChange": 5.16 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, 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"value": -1.189, "score": 1.189, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": -0.79, "score": 0.79, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -0.38, "score": 0.38, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": 0.38, "score": 0.38, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "18SEP26", "value": -0.0752, "score": 0.0752, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": 0.0616, "score": 0.0616, "unit": "parameter units" } ], "expiryEffects": [ { "label": "11SEP26", "daysToExpiry": 1.646, "metric": "Smile rotation", "value": 3.778, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "10SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": 2.806, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22099138, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "10SEP26", "expiry": 1789027200000, "value": 0.159045500136, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "10SEP26", "expiry": 1789027200000, "value": -0.77460461, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.0010678, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00832299, "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": "10SEP26", "values": [ 71.299, 68.246, 65.0883, 61.8216, 58.4417, 54.9447, 51.327, 47.5857, 43.7188, 39.7255, 35.6075, 31.3697, 27.0236, 22.5911, 18.1138, 13.6664, 9.382, 5.4838, 2.3125, 0.3015, -0.1637, 1.0388, 3.6788, 7.325, 11.5567, 16.0678, 20.6681, 25.2489, 29.7513, 34.1445, 38.4134, 42.5513, 46.556, 50.4283, 54.1703, 57.7851, 61.2764, 64.6485, 67.9057, 71.0525, 74.0936 ] }, { "label": "11SEP26", "values": [ 40.6393, 38.9522, 37.1964, 35.3687, 33.4659, 31.4849, 29.4234, 27.2796, 25.0525, 22.7435, 20.3558, 17.8971, 15.3808, 12.8305, 10.284, 7.8024, 5.4781, 3.4433, 1.8679, 0.9348, 0.7871, 1.4688, 2.9031, 4.9284, 7.361, 10.041, 12.8492, 15.705, 18.5568, 21.3728, 24.1339, 26.8287, 29.4511, 31.9981, 34.4685, 36.8628, 39.182, 41.4279, 43.6028, 45.7087, 47.7487 ] }, { "label": "18SEP26", "values": [ 5.1754, 4.9062, 4.623, 4.3258, 4.0155, 3.6927, 3.3587, 3.0148, 2.6635, 2.307, 1.9487, 1.5922, 1.2424, 0.9045, 0.5843, 0.2881, 0.0224, -0.2066, -0.3932, -0.533, -0.6233, -0.6629, -0.6525, -0.5943, -0.4921, -0.3507, -0.1753, 0.0285, 0.2556, 0.5009, 0.7599, 1.0286, 1.3038, 1.5825, 1.8624, 2.1415, 2.4184, 2.6917, 2.9606, 3.2243, 3.4822 ] }, { "label": "25SEP26", "values": [ 0.0504, 0.0328, 0.0083, -0.0229, -0.0601, -0.1027, -0.15, -0.2009, -0.2544, -0.3092, -0.364, -0.417, -0.4666, -0.5112, -0.549, -0.5786, -0.5983, -0.6069, -0.6034, -0.5873, -0.5583, -0.5163, -0.462, -0.396, -0.3193, -0.233, -0.1383, -0.0367, 0.0707, 0.1824, 0.2974, 0.4146, 0.5331, 0.6519, 0.7704, 0.8879, 1.0039, 1.1179, 1.2297, 1.3389, 1.4454 ] }, { "label": "30OCT26", "values": [ -0.0446, -0.0452, -0.0464, -0.0482, -0.0507, -0.0536, -0.057, -0.0608, -0.0648, -0.0691, -0.0737, -0.0784, -0.083, -0.0877, -0.0923, -0.0968, -0.1011, -0.1051, -0.1089, -0.1123, -0.1156, -0.1185, -0.1211, -0.1234, -0.1254, -0.1272, -0.1288, -0.1302, -0.1314, -0.1326, -0.1338, -0.1348, -0.136, -0.1372, -0.1385, -0.1399, -0.1416, -0.1434, -0.1453, -0.1476, -0.1501 ] }, { "label": "25DEC26", "values": [ 0.123, 0.1051, 0.0863, 0.0669, 0.047, 0.0271, 0.0073, -0.0122, -0.031, -0.0488, -0.0652, -0.0801, -0.0932, -0.1041, -0.1126, -0.1187, -0.1219, -0.1223, -0.1196, -0.1139, -0.1052, -0.0935, -0.0787, -0.061, -0.0407, -0.0178, 0.0077, 0.0352, 0.0647, 0.096, 0.1287, 0.1628, 0.1977, 0.2337, 0.2701, 0.3069, 0.344, 0.3809, 0.4178, 0.4544, 0.4905 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options rotate as short-dated volatility eases", "standfirst": "Solana’s 18SEP26 option smile rotated lower by 1.19 volatility points, the largest surface movement, while front-end ATM IV averaged 53.37%, down 0.59 points. The two-week ATM IV fell 0.79 points to 52.93%. DerivaSys data showed one-week RR25 moving 0.38 points toward puts to 0.90%, although calls remained relatively richer than puts. Realised-volatility comparisons were unavailable because the canonical minute series did not meet completeness requirements.", "days": [ { "reportDate": "2026-09-09", "headline": "Solana short-dated volatility eases", "summary": "Front-end Solana implied volatility declined as the option smile rotated toward lower relative skew.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "newsStatus": "incomplete", "headline": "Solana options rotate as short-dated volatility eases", "standfirst": "Solana’s 18SEP26 option smile rotated lower by 1.19 volatility points, the largest surface movement, while front-end ATM IV averaged 53.37%, down 0.59 points. The two-week ATM IV fell 0.79 points to 52.93%. DerivaSys data showed one-week RR25 moving 0.38 points toward puts to 0.90%, although calls remained relatively richer than puts. Realised-volatility comparisons were unavailable because the canonical minute series did not meet completeness requirements.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-08", "asOfTimestamp": "2026-09-08T20:00:00+00:00", "summary": "Latest completed common benchmark session; persisted DerivaSys cross-asset context. The crypto-to-SPX realised-volatility ratio was 8.68, at the 90.6 percentile across 223 prior observations. The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.68, at the 90.6 percentile across 223 prior observations.", "The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.36, "vix": 15.720000267028809, "vix9d": 14.8100004196167, "vix3m": 18.389999389648438, "ivSpread": 36.63999973297119, "ivRatio": 3.3307887474925857, "cryptoRealisedVol20d": 74.09769299723365, "spxRealisedVol20": 8.535776328313373, "rvSpread": 65.56191666892028, "rvRatio": 8.680838174197447, "rvSpreadPercentile": 52.91479820627803, "rvSpreadPercentileSampleCount": 223, "rvRatioPercentile": 90.5829596412556, "rvRatioPercentileSampleCount": 223, "returnCorrelation30": 0.24846472953864404, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.35534169185244474, "returnCorrelation60SampleCount": 60 }, "methodology": "market-context-v1; crypto RV annualized sqrt(365), SPX RV annualized sqrt(252); source provenance: DerivaSys canonical crypto index and Yahoo Finance ^GSPC/^VIX/^VIX9D/^VIX3M." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789576200811, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.66, "previous": 55.35, "change": -0.69, "percentChange": -1.25 }, "rr25": { "current": 0.9, "previous": 1.28, "change": -0.38, "percentChange": -29.69 }, "bf25": { "current": 4.48, "previous": 4.26, "change": 0.22, "percentChange": 5.16 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.69, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 12, "observationsFullHistory": 12, "levelObservationsFullHistory": 13 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, 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"largestAbsoluteMoveValue": 54.66, "values": [ { "asset": "BTC", "value": 40.47 }, { "asset": "ETH", "value": 52.31 }, { "asset": "SOL", "value": 54.66 } ], "previousSpread": 15.78, "spreadChange": -1.59, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": 2.12, "lowest": -0.69, "spread": 2.81, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.12, "values": [ { "asset": "BTC", "value": 0.9 }, { "asset": "ETH", "value": 2.12 }, { "asset": "SOL", "value": -0.69 } ] }, "rr25Level": { "leader": "ETH", "laggard": "BTC", "highest": 2.66, "lowest": 0.78, "spread": 1.88, "highestToLowestRatio": 3.4103, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.66, "values": [ { "asset": "BTC", "value": 0.78 }, { "asset": "ETH", "value": 2.66 }, { "asset": "SOL", "value": 0.9 } ], "previousSpread": 0.38, "spreadChange": 1.5, "dispersionDirection": "widening" }, "rr25Change": { "leader": "ETH", "laggard": "BTC", "highest": 1.0, "lowest": -0.53, "spread": 1.53, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.0, "values": [ { "asset": "BTC", "value": -0.53 }, { "asset": "ETH", "value": 1.0 }, { "asset": "SOL", "value": -0.38 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": 2.12 }, "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": 9.23, "lowest": 7.4, "spread": 1.83, "highestToLowestRatio": 1.2473, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 9.23, "values": [ { "asset": "BTC", "value": 7.4 }, { "asset": "ETH", "value": 9.23 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 0.13, "lowest": 0.02, "spread": 0.11, "highestToLowestRatio": 6.5, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.13, "values": [ { "asset": "BTC", "value": 0.02 }, { "asset": "ETH", "value": 0.13 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 54.66, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 52.31, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 40.47, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "ETH", "value": 2.12, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 0.9, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -0.69, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": 2.12, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 0.9, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -0.69, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 9.23, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 7.4, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "ETH", "value": 2.66, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "SOL", "value": 0.9, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": 0.78, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": 0.78, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "SOL", "value": 0.9, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "ETH", "value": 2.66, "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": 0.13, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 0.02, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": -0.69, "groupMedian": 0.9, "distanceFromMedian": -1.59 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 40.47, "groupMedian": 52.31, "distanceFromMedian": -11.84 }, { "metric": "1W RR25 level", "asset": "ETH", "value": 2.66, "groupMedian": 0.9, "distanceFromMedian": 1.76 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 1.83, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and BTC cheapest on one-week implied volatility versus seven-day realised volatility, with a 1.83-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 11, "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": 0.9039, "observations": 12 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "SOL", "highest": 2.12, "lowest": -0.69, "spread": 2.81, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.12, "values": [ { "asset": "BTC", "value": 0.9 }, { "asset": "ETH", "value": 2.12 }, { "asset": "SOL", "value": -0.69 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 54.66, "lowest": 40.47, "spread": 14.19, "highestToLowestRatio": 1.3506, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 54.66, "values": [ { "asset": "BTC", "value": 40.47 }, { "asset": "ETH", "value": 52.31 }, { "asset": "SOL", "value": 54.66 } ], "previousSpread": 15.78, "spreadChange": -1.59, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 2.66, "lowest": 0.78, "spread": 1.88, "highestToLowestRatio": 3.4103, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.66, "values": [ { "asset": "BTC", "value": 0.78 }, { "asset": "ETH", "value": 2.66 }, { "asset": "SOL", "value": 0.9 } ], "previousSpread": 0.38, "spreadChange": 1.5, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 9.23, "lowest": 7.4, "spread": 1.83, "highestToLowestRatio": 1.2473, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 9.23, "values": [ { "asset": "BTC", "value": 7.4 }, { "asset": "ETH", "value": 9.23 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 0.13, "lowest": 0.02, "spread": 0.11, "highestToLowestRatio": 6.5, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 0.13, "values": [ { "asset": "BTC", "value": 0.02 }, { "asset": "ETH", "value": 0.13 }, { "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": "2026-09-09T16:30:00+00:00", "window": { "startAt": "2026-09-08T16:30:00+00:00", "endAt": "2026-09-09T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "One-week ATM IV dispersion across Bitcoin, Ether and Solana narrowed 1.59 volatility points to 14.19 points, with Solana at 54.66% and Bitcoin at 40.47%. The convergence in levels obscured a divergent daily repricing: Ether’s one-week ATM IV rose 2.12 points while Solana’s fell 0.69 points. DerivaSys data therefore show less separation in prevailing volatility levels but a clear leader in the day’s volatility adjustment.", "days": [ { "reportDate": "2026-09-09", "headline": "Major-coin volatility levels converge", "summary": "One-week volatility dispersion narrowed, even as Ether led the daily implied-volatility increase.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 0.44, "rr25Change": 0.13333333333333333, "bf25Change": 0.18333333333333335 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin one-week volatility levels converge despite divergent daily moves", "executiveSummary": "The one-week ATM IV gap between Solana and Bitcoin narrowed to 14.19 volatility points from 15.78 points. Ether nevertheless led daily repricing, with a 2.12-point increase versus a 0.69-point decline for Solana.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "No qualifying news event was retained for this report window.", "marketContextSummary": "No retained news context supports a direct explanation for the comparative major-coin options move.", "marketContext": [], "newsEvidenceIds": [] } }