{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:42+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "headline": "Bitcoin, Ether and Solana options volatility falls together as skew converges", "standfirst": "Across the 24 hours ending 16:30 UTC on 10 September 2026, Ether’s one-week at-the-money implied volatility fell 2.31 volatility points to 50.00%, the largest move among the three markets. At-the-money implied volatility is an options-based measure of expected variability. Bitcoin’s one-week ATM IV fell 1.48 volatility points to 38.99%, while Solana’s one-week ATM IV fell 1.70 volatility points to 52.96%, according to Derivasys data.\n\nThe range between Solana’s one-week ATM IV and Bitcoin’s one-week ATM IV narrowed 0.22 volatility points to 13.97 volatility points. Bitcoin’s 24-hour spot-index return was -2.30%, Ether’s 24-hour spot-index return was -2.23%, and Solana’s 24-hour spot-index return was unavailable.", "marketSummary": "Ether’s one-week ATM IV declined 2.31 volatility points, compared with a 1.70-volatility-point decline in Solana’s one-week ATM IV and a 1.48-volatility-point decline in Bitcoin’s one-week ATM IV. The cross-asset range for one-week ATM IV changes was 0.83 volatility points.\n\nEther’s one-week ATM IV was 7.71 volatility points above Ether’s seven-day realised volatility, versus a 6.81-volatility-point gap between Bitcoin’s one-week ATM IV and Bitcoin’s seven-day realised volatility. Solana’s corresponding implied-versus-realised comparison was unavailable.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-10", "artifactId": "sha256:6f670e02afff9c1ab89d3dd8a979a24d9df51a9f365aab0359ce5529f30bbc22", "contentSha256": "14af17bc8c0fd950690ae5fb536088ecf2727d1cf690b6ebdcf9a60ca2ca6029", "currentSnapshotId": 326190, "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotId": 316109, "previousSnapshotAt": "2026-09-09T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-10", "artifactId": "sha256:a5f050ba07dd8229ed2038ed5dbb928427246e5f66f0626a298045e94acf47fe", "contentSha256": "bc2c259407f9b94478498d69ec91afdc1c792ed2fbb822a52d9179563468d81e", "currentSnapshotId": 326185, "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotId": 316108, "previousSnapshotAt": "2026-09-09T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-10", "artifactId": "sha256:e0372e5b4c4333cb6c50ad87440f4c9d33af440e62eb1521910c9f13e53aa47c", "contentSha256": "f75e143a90b1d0a401488687c3df4922614caa59e9e7f52f5b1beebdadef00d6", "currentSnapshotId": 326186, "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotId": 316110, "previousSnapshotAt": "2026-09-09T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:20+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326190, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316109, "timestamp": "2026-09-09T16:30:00+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": "2026-09-10T16:30:00+00:00", "spotWindowStart": "2026-09-09T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -2.3, "rv24hPercent": 32.58, "rv7dPercent": 32.18, "rv30dPercent": 38.7, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 38.99, "oneWeekIvMinus7dRvPoints": 6.81, "oneWeekIvMinus24hRvPoints": 6.41, "oneWeekIvMinus30dRvPoints": 0.29 }, "fitQuality": { "currentObjective": 0.07127466, "previousObjective": 0.05157602, "currentLiveError": 104.98304503, "previousLiveError": 73.31170107 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "14SEP26", "2OCT26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s lower front-end volatility came with a defensive skew shift", "executiveSummary": "The key change was the one-month RR25 reversal from 0.59% to minus 0.38%, making put-side volatility richer than call-side volatility. One-week implied volatility remained 6.81 points above seven-day realised volatility at the cutoff.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 38.99%, 6.81 volatility points above seven-day realised volatility of 32.18%; 24-hour realised volatility was 32.58% and 30-day realised volatility was 38.70%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 38.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.26 volatility points to 40.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.18% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 volatility points to 2.28% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.48 volatility points at 1W, to 38.99%.", "tenor": "1W", "value": -1.48 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "MACRO" ], "completedScopes": [ "BTC", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "59f33147f8638cb631f5efad2265b473ded7321de3a09ebdcb14dad511e0b7e1" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 4, "publishersRepresented": 3, "discoveryEventsScanned": 4, "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": 4, "articlesPassingTimeFilter": 4, "articlesPassingSourceRelevanceRules": 4, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV fell 1.48 volatility points to 38.99%, a routine move at the 47th percentile among 30 comparable historical observations. At the cutoff, realised volatility measured 32.58% over 24 hours, 32.18% over seven days and 38.70% over 30 days. Front-end ATM IV averaged 38.22%, -1.14 points from the prior snapshot, while the long end averaged 40.07%, -0.26 points. 1M RR25 moved 0.97 volatility points toward puts to -0.38%, leaving puts richer than calls. 1M BF25 fell 0.19 volatility points to 2.24%. The nearest eligible forward, 13SEP26, fell $1,712.29 (-2.18%) to $76,924.56. 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 38.99%, 6.81 volatility points above seven-day realised volatility of 32.18%; 24-hour realised volatility was 32.58% and 30-day realised volatility was 38.70%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 38.22% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.26 volatility points to 40.07% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.52 volatility points to -0.18% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 volatility points to 2.28% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.48 volatility points at 1W, to 38.99%.", "tenor": "1W", "value": -1.48 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.83, "rr25Change": -0.52, "bf25Change": -0.1, "largestAtmMove": { "tenor": "1W", "current": 38.99, "previous": 40.47, "change": -1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } }, "frontEndAverageAtm": { "current": 38.22, "previous": 39.36, "change": -1.14 }, "longEndAverageAtm": { "current": 40.07, "previous": 40.33, "change": -0.26 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": -0.38, "previous": 0.59, "change": -0.97, "historicalSignificance": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 81.3, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 81.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.24, "previous": 2.43, "change": -0.19, "historicalSignificance": { "absoluteMove": 0.19, "movePercentile30d": 80.0, "movePercentileFullHistory": 77.0, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } }, "nearestEligibleForwardMove": { "label": "13SEP26", "daysToExpiry": 2.646, "current": 76924.56, "previous": 78636.85, "change": -1712.29, "percentChange": -2.18 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789662600492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.99, "previous": 40.47, "change": -1.48, "percentChange": -3.66 }, "rr25": { "current": 0.79, "previous": 0.78, "change": 0.01, "percentChange": 1.28 }, "bf25": { "current": 2.05, "previous": 2.12, "change": -0.07, "percentChange": -3.3 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.48, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 90.0, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 26.7, "movePercentileFullHistory": 27.3, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 27.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "2W", "targetExpiry": 1790267400492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.18, "previous": 39.22, "change": -1.04, "percentChange": -2.65 }, "rr25": { "current": 0.04, "previous": 0.86, "change": -0.82, "percentChange": -95.35 }, "bf25": { "current": 2.06, "previous": 2.08, "change": -0.02, "percentChange": -0.96 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.04, "movePercentile30d": 46.7, "movePercentileFullHistory": 45.3, "currentLevelPercentileFullHistory": 76.4, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.82, "movePercentile30d": 63.3, "movePercentileFullHistory": 60.4, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 7.2, "currentLevelPercentileFullHistory": 59.3, "classificationPercentile": 7.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "1M", "targetExpiry": 1791649800492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.49, "previous": 38.4, "change": -0.91, "percentChange": -2.37 }, "rr25": { "current": -0.38, "previous": 0.59, "change": -0.97, "percentChange": -164.41 }, "bf25": { "current": 2.24, "previous": 2.43, "change": -0.19, "percentChange": -7.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.91, "movePercentile30d": 56.7, "movePercentileFullHistory": 61.9, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 61.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.97, "movePercentile30d": 76.7, "movePercentileFullHistory": 81.3, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 81.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.19, "movePercentile30d": 80.0, "movePercentileFullHistory": 77.0, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "3M", "targetExpiry": 1796920200492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.09, "previous": 39.56, "change": -0.47, "percentChange": -1.19 }, "rr25": { "current": -0.66, "previous": -0.14, "change": -0.52, "percentChange": -371.43 }, "bf25": { "current": 2.4, "previous": 2.58, "change": -0.18, "percentChange": -6.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 60.0, "movePercentileFullHistory": 66.2, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 66.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 66.7, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 90.7, "classificationPercentile": 70.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.7, "currentLevelPercentileFullHistory": 45.7, "classificationPercentile": 82.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "6M", "targetExpiry": 1804782600492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.07, "previous": 40.33, "change": -0.26, "percentChange": -0.64 }, "rr25": { "current": -0.68, "previous": -0.37, "change": -0.31, "percentChange": -83.78 }, "bf25": { "current": 2.66, "previous": 2.71, "change": -0.05, "percentChange": -1.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.26, "movePercentile30d": 46.7, "movePercentileFullHistory": 56.1, "currentLevelPercentileFullHistory": 13.6, "classificationPercentile": 56.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 53.3, "movePercentileFullHistory": 67.6, "currentLevelPercentileFullHistory": 90.7, "classificationPercentile": 67.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 45.3, "currentLevelPercentileFullHistory": 57.1, "classificationPercentile": 45.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } }, { "tenor": "9M", "targetExpiry": 1812645000492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 41.04, "previous": 41.34, "change": -0.3, "percentChange": -0.73 }, "rr25": { "current": -0.64, "previous": -0.3, "change": -0.34, "percentChange": -113.33 }, "bf25": { "current": 2.78, "previous": 2.84, "change": -0.06, "percentChange": -2.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 56.7, "movePercentileFullHistory": 69.1, "currentLevelPercentileFullHistory": 3.6, "classificationPercentile": 69.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.9, "currentLevelPercentileFullHistory": 87.9, "classificationPercentile": 79.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 60.0, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 78.6, 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16.1602, 14.4434, 12.6696, 10.8393, 8.9561, 7.0286, 5.0747, 3.1264, 1.2367, -0.5135, -2.0154, -3.1446, -3.7923, -3.9041, -3.5003, -2.6628, -1.5004, -0.117, 1.4038, 3.0011, 4.6339, 6.2747, 7.9063, 9.5175, 11.1014, 12.6538, 14.1721, 15.6549, 17.1015, 18.5115, 19.8851, 21.2227, 22.5246 ] }, { "label": "18SEP26", "values": [ 0.9121, 0.8132, 0.7053, 0.5885, 0.463, 0.3293, 0.1876, 0.0387, -0.1162, -0.2758, -0.4383, -0.6011, -0.7613, -0.915, -1.0578, -1.1846, -1.2901, -1.369, -1.4164, -1.4287, -1.404, -1.342, -1.2446, -1.1151, -0.9578, -0.7777, -0.5797, -0.3683, -0.1477, 0.0788, 0.3083, 0.5388, 0.7686, 0.9965, 1.2213, 1.4427, 1.6599, 1.8726, 2.0809, 2.2842, 2.4829 ] }, { "label": "25SEP26", "values": [ 2.2154, 2.1248, 2.0247, 1.915, 1.7958, 1.6669, 1.5287, 1.381, 1.2248, 1.0603, 0.8886, 0.711, 0.5288, 0.3441, 0.159, -0.024, -0.2019, -0.3718, -0.5307, -0.6757, -0.8044, -0.915, -1.0058, -1.0765, -1.127, -1.1577, -1.1699, -1.1651, -1.1449, -1.1112, -1.0659, -1.0106, -0.947, -0.8768, -0.8013, -0.7217, -0.6391, -0.5544, -0.4685, -0.382, -0.2954 ] }, { "label": "30OCT26", "values": [ 0.144, 0.1275, 0.1085, 0.0867, 0.062, 0.0343, 0.0031, -0.0315, -0.0698, -0.1117, -0.1576, -0.2073, -0.2608, -0.3181, -0.379, -0.4434, -0.511, -0.5814, -0.6545, -0.7296, -0.8066, -0.8849, -0.9642, -1.0438, -1.1237, -1.2032, -1.2822, -1.3602, -1.437, -1.5123, -1.5861, -1.6581, -1.7283, -1.7965, -1.8628, -1.927, -1.9892, -2.0495, -2.1079, -2.1643, -2.2188 ] }, { "label": "27NOV26", "values": [ -0.2826, -0.283, -0.2834, -0.2839, -0.285, -0.2866, -0.2891, -0.2924, -0.297, -0.3029, -0.3103, -0.3194, -0.3303, -0.3432, -0.358, -0.3749, -0.3941, -0.4154, -0.4389, -0.4646, -0.4924, -0.5223, -0.5544, -0.5883, -0.6241, -0.6615, -0.7006, -0.7413, -0.7832, -0.8263, -0.8706, -0.9159, -0.962, -1.0089, -1.0564, -1.1043, -1.1528, -1.2014, -1.2504, -1.2995, -1.3486 ] }, { "label": "25DEC26", "values": [ -0.2065, -0.2022, -0.1993, -0.1978, -0.1978, -0.1994, -0.2025, -0.2073, -0.214, -0.2222, -0.2323, -0.244, -0.2575, -0.2725, -0.289, -0.3071, -0.3265, -0.347, -0.3686, -0.3911, -0.4144, -0.4383, -0.4626, -0.487, -0.5116, -0.536, -0.5601, -0.5837, -0.6066, -0.6286, -0.6497, -0.6698, -0.6885, -0.7059, -0.7218, -0.7362, -0.7491, -0.7601, -0.7694, -0.7769, -0.7826 ] }, { "label": "26MAR27", "values": [ -0.0002, -0.0143, -0.028, -0.0411, -0.054, -0.0663, -0.0783, -0.0901, -0.1015, -0.1126, -0.1234, -0.1341, -0.1445, -0.1549, -0.1649, -0.1749, -0.1849, -0.1947, -0.2044, -0.2142, -0.2238, -0.2334, -0.2431, -0.2527, -0.2622, -0.2718, -0.2812, -0.2907, -0.3002, -0.3097, -0.319, -0.3283, -0.3376, -0.3468, -0.3559, -0.3649, -0.3738, -0.3827, -0.3913, -0.3998, -0.4081 ] }, { "label": "25JUN27", "values": [ -0.088, -0.0992, -0.1102, -0.1209, -0.1314, -0.1417, -0.1519, -0.1617, -0.1715, -0.1811, -0.1906, -0.1999, -0.2093, -0.2185, -0.2276, -0.2366, -0.2456, -0.2546, -0.2636, -0.2725, -0.2814, -0.2903, -0.2991, -0.308, -0.3169, -0.3258, -0.3346, -0.3436, -0.3524, -0.3613, -0.3701, -0.379, -0.3877, -0.3965, -0.4052, -0.4139, -0.4224, -0.4309, -0.4394, -0.4477, -0.4558 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn more defensive as one-month put volatility rises", "standfirst": "Bitcoin one-month RR25 fell 0.97 volatility points to minus 0.38% over the observation window, shifting the relative price of puts above calls. The move was notable at the 81.3 percentile of comparable full-history observations. At the same cutoff, one-week ATM IV was 38.99%, down 1.48 points, while the Bitcoin spot-index return over 24 hours was minus 2.30%. DerivaSys data show a lower volatility level alongside a more defensive skew.", "days": [ { "reportDate": "2026-09-10", "headline": "Bitcoin skew turns toward puts", "summary": "One-month relative put-side volatility increased even as the front-end volatility level declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options turn more defensive as one-month put volatility rises", "standfirst": "Bitcoin one-month RR25 fell 0.97 volatility points to minus 0.38% over the observation window, shifting the relative price of puts above calls. The move was notable at the 81.3 percentile of comparable full-history observations. At the same cutoff, one-week ATM IV was 38.99%, down 1.48 points, while the Bitcoin spot-index return over 24 hours was minus 2.30%. DerivaSys data show a lower volatility level alongside a more defensive skew.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-to-SPX realised-volatility ratio was 4.72, at the 84.3 percentile across 230 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 4.72, at the 84.3 percentile across 230 prior observations.", "The 60-session crypto-SPX return correlation was 0.35 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 37.95, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 21.490000915527347, "ivRatio": 2.305589435651894, "cryptoRealisedVol20d": 40.703591835523206, "spxRealisedVol20": 8.623791287785536, "rvSpread": 32.07980054773767, "rvRatio": 4.719918476363694, "rvSpreadPercentile": 65.65217391304348, "rvSpreadPercentileSampleCount": 230, "rvRatioPercentile": 84.34782608695652, "rvRatioPercentileSampleCount": 230, "returnCorrelation30": 0.2015972278096168, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3451552505117131, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789662600492, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.99, "previous": 40.47, "change": -1.48, "percentChange": -3.66 }, "rr25": { "current": 0.79, "previous": 0.78, "change": 0.01, "percentChange": 1.28 }, "bf25": { "current": 2.05, "previous": 2.12, "change": -0.07, "percentChange": -3.3 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.48, "movePercentile30d": 46.7, "movePercentileFullHistory": 43.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.2, "currentLevelPercentileFullHistory": 90.0, "classificationPercentile": 2.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 26.7, "movePercentileFullHistory": 27.3, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 27.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 139, "levelObservationsFullHistory": 140 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:31+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326185, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316108, "timestamp": "2026-09-09T16:30:00+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": "2026-09-10T16:30:00+00:00", "spotWindowStart": "2026-09-09T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -2.23, "rv24hPercent": 41.08, "rv7dPercent": 42.29, "rv30dPercent": 52.43, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 50.0, "oneWeekIvMinus7dRvPoints": 7.71, "oneWeekIvMinus24hRvPoints": 8.92, "oneWeekIvMinus30dRvPoints": -2.43 }, "fitQuality": { "currentObjective": 0.03103974, "previousObjective": 0.03213263, "currentLiveError": 15.05049504, "previousLiveError": 12.26679159 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "14SEP26", "2OCT26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-month convexity adjustment accompanied a sharp skew reversal", "executiveSummary": "The one-month BF25 decline to 2.53% was the largest surface adjustment selected for the report. Separately, the one-week RR25 shift to minus 0.30% made puts relatively richer than calls, while front-end ATM IV moved lower.", "evidenceIds": [ "bf25", "rr25" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.00%, 7.71 volatility points above seven-day realised volatility of 42.29%; 24-hour realised volatility was 41.08% and 30-day realised volatility was 52.43%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.89 volatility points to 50.63% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.32 volatility points to 54.43% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.92% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.31 volatility points at 1W, to 50.00%.", "tenor": "1W", "value": -2.31 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "ETH", "MACRO" ], "completedScopes": [ "ETH", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+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": 2, "discoveryEventsScanned": 4, "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": 4, "articlesPassingTimeFilter": 4, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W RR25 moved 2.96 volatility points toward puts to -0.30%, leaving puts richer than calls; this was a notable move at the 87th percentile among 23 comparable historical observations. At the cutoff, realised volatility measured 41.08% over 24 hours, 42.29% over seven days and 52.43% over 30 days. Front-end ATM IV averaged 50.63%, -1.89 points from the prior snapshot, while the long end averaged 54.43%, -0.32 points. 1W ATM IV fell 2.31 volatility points to 50.00%. 1M BF25 fell 0.69 volatility points to 2.53%. The nearest eligible forward, 13SEP26, fell $51.92 (-2.08%) to $2,438.87. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 107, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 50.00%, 7.71 volatility points above seven-day realised volatility of 42.29%; 24-hour realised volatility was 41.08% and 30-day realised volatility was 52.43%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.89 volatility points to 50.63% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.32 volatility points to 54.43% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.53 volatility points to 0.04% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.22 volatility points to 2.92% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.31 volatility points at 1W, to 50.00%.", "tenor": "1W", "value": -2.31 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.28, "rr25Change": -1.53, "bf25Change": -0.22, "largestAtmMove": { "tenor": "1W", "current": 50.0, "previous": 52.31, "change": -2.31, "historicalSignificance": { "absoluteMove": 2.31, "movePercentile30d": null, "movePercentileFullHistory": 39.1, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 39.1, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } }, "frontEndAverageAtm": { "current": 50.63, "previous": 52.53, "change": -1.89 }, "longEndAverageAtm": { "current": 54.43, "previous": 54.75, "change": -0.32 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.3, "previous": 2.66, "change": -2.96, "historicalSignificance": { "absoluteMove": 2.96, "movePercentile30d": null, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 87.0, "label": "notable", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.53, "previous": 3.22, "change": 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Meanwhile, one-week RR25 dropped 2.96 points to minus 0.30%, placing relative put-side volatility above call-side volatility. One-week ATM IV finished at 50.00%, down 2.31 points, and Ether’s 24-hour spot-index return was minus 2.23%. DerivaSys data show convexity easing alongside a marked skew reversal.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-minus-SPX realised-volatility spread was 27.01 points, at the 8.4 percentile across 227 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 27.01 points, at the 8.4 percentile across 227 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.17, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 35.710000915527345, "ivRatio": 3.1695019988922084, "cryptoRealisedVol20d": 35.633870749503586, "spxRealisedVol20": 8.623791287785536, "rvSpread": 27.01007946171805, "rvRatio": 4.1320423419771615, "rvSpreadPercentile": 8.370044052863436, "rvSpreadPercentileSampleCount": 227, "rvRatioPercentile": 26.87224669603524, "rvRatioPercentileSampleCount": 227, "returnCorrelation30": 0.050053186294946615, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.320910966495544, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789662600070, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.0, "previous": 52.31, "change": -2.31, "percentChange": -4.42 }, "rr25": { "current": -0.3, "previous": 2.66, "change": -2.96, "percentChange": -111.28 }, "bf25": { "current": 3.04, "previous": 3.14, "change": -0.1, "percentChange": -3.18 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.31, "movePercentile30d": null, "movePercentileFullHistory": 39.1, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 39.1, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 2.96, "movePercentile30d": null, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 46.2, "classificationPercentile": 87.0, "label": "notable", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": 8.7, "currentLevelPercentileFullHistory": 69.2, "classificationPercentile": 8.7, "label": "routine", "observations30d": 19, "observationsFullHistory": 23, "levelObservationsFullHistory": 26 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-10", "generatedAt": "2026-09-10T16:30:42+00:00", "currentSnapshotAt": "2026-09-10T16:30:00+00:00", "previousSnapshotAt": "2026-09-09T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 326186, "timestamp": "2026-09-10T16:30:00+00:00" }, "previous": { "id": 316110, "timestamp": "2026-09-09T16:30:00+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": 0.03019215, "previousObjective": 0.01413423, "currentLiveError": 11.19680912, "previousLiveError": 9.34084434 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "12SEP26" ], "removedExpiries": [ "10SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s lower volatility level arrived with stronger downside skew", "executiveSummary": "The selected surface rotation paired a 1.70-point decline in one-week ATM IV with a 1.98-point two-week RR25 move toward puts. The latter ended at minus 0.12%, meaning put-side volatility exceeded call-side volatility at that tenor.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "No report-relevant news event qualified within the observation window.", "marketContextSummary": "No retained news context is available to assess against the options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.96 volatility points to 52.41% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.51 volatility points to 0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.50 volatility points to 3.97% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.70 volatility points at 1W, to 52.96%.", "tenor": "1W", "value": -1.7 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "MACRO", "SOL" ], "completedScopes": [ "MACRO", "SOL" ], "missingScopes": [], "queries": [ { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "fe4789aa22d2580dfc67714c209c325e2f92b878891dc3e951f74bdce3377b8a" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-10T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-09T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+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": 2, "discoveryEventsScanned": 4, "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": 4, "articlesPassingTimeFilter": 4, "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": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "2W RR25 moved 1.98 volatility points toward puts to -0.12%, leaving puts richer than calls. Front-end ATM IV averaged 52.41%, -0.96 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.70 volatility points to 52.96%. 3M BF25 fell 1.03 volatility points to 4.11%. The nearest eligible forward, 18SEP26, fell $3.79 (-3.68%) to $99.23. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.96 volatility points to 52.41% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.51 volatility points to 0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.50 volatility points to 3.97% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.70 volatility points at 1W, to 52.96%.", "tenor": "1W", "value": -1.7 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.77, "rr25Change": -1.51, "bf25Change": -0.5, "largestAtmMove": { "tenor": "1W", "current": 52.96, "previous": 54.66, "change": -1.7, "historicalSignificance": { "absoluteMove": 1.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } }, "frontEndAverageAtm": { "current": 52.41, "previous": 53.37, "change": -0.96 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.12, "previous": 1.86, "change": -1.98, "historicalSignificance": { "absoluteMove": 1.98, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.11, "previous": 5.14, "change": -1.03, "historicalSignificance": { "absoluteMove": 1.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 7.646, "current": 99.23, "previous": 103.02, "change": -3.79, "percentChange": -3.68 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789662600172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 54.66, "change": -1.7, "percentChange": -3.11 }, "rr25": { "current": -0.49, "previous": 0.9, "change": -1.39, "percentChange": -154.44 }, "bf25": { "current": 4.13, "previous": 4.48, "change": -0.35, "percentChange": -7.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "2W", "targetExpiry": 1790267400172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.33, "previous": 52.93, "change": -0.6, "percentChange": -1.13 }, "rr25": { "current": -0.12, "previous": 1.86, "change": -1.98, "percentChange": -106.45 }, "bf25": { "current": 3.88, "previous": 4.1, "change": -0.22, "percentChange": -5.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.6, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.98, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "1M", "targetExpiry": 1791649800172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.94, "previous": 52.53, "change": -0.59, "percentChange": -1.12 }, "rr25": { "current": 0.55, "previous": 2.16, "change": -1.61, "percentChange": -74.54 }, "bf25": { "current": 3.77, "previous": 4.16, "change": -0.39, "percentChange": -9.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.61, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "3M", "targetExpiry": 1796920200172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.49, "previous": 51.7, "change": -0.21, "percentChange": -0.41 }, "rr25": { "current": 2.15, "previous": 3.22, "change": -1.07, "percentChange": -33.23 }, "bf25": { "current": 4.11, "previous": 5.14, "change": -1.03, "percentChange": -20.04 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.07, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 1.03, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } }, { "tenor": "6M", "targetExpiry": 1804782600172, "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": 1812645000172, "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": 1820593800172, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "11SEP26", "expiry": 1789113600000, "tauYears": 0.00176945, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 99.16, "previous": 103.02, "change": -3.86, "percentChange": -3.75 }, "atmIv": { "current": 55.58, "previous": 57.33, "change": -1.75, "percentChange": -3.05 }, "rr25": { "current": 0.54, "previous": 1.32, "change": -0.78, "percentChange": -59.09 }, "bf25": { "current": 5.02, "previous": 5.98, "change": -0.96, "percentChange": -16.05 }, "svi": { "a": { "current": -0.0225, "previous": -0.0446, "change": 0.0221, "percentChange": 49.51 }, "b": { "current": 0.0927, 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-1.2077, -1.2863, -1.3631, -1.4378, -1.5101, -1.5798, -1.6467, -1.7109, -1.7719, -1.83, -1.8852, -1.9373, -1.9866 ] }, { "label": "25DEC26", "values": [ -0.65, -0.6, -0.5485, -0.4963, -0.4438, -0.3918, -0.3407, -0.2911, -0.2437, -0.1992, -0.1581, -0.1211, -0.0886, -0.0613, -0.0395, -0.0235, -0.0138, -0.0106, -0.0141, -0.0243, -0.0411, -0.0644, -0.0943, -0.1303, -0.1721, -0.2195, -0.272, -0.3291, -0.3904, -0.4555, -0.5235, -0.5944, -0.6672, -0.7419, -0.8176, -0.8941, -0.9709, -1.0476, -1.1238, -1.1992, -1.2735 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options tilt defensive as front-end volatility moves lower", "standfirst": "Solana’s options surface rotated lower during the observation window as downside skew strengthened alongside softer front-end implied volatility. One-week ATM IV fell 1.70 volatility points to 52.96%, while two-week RR25 declined 1.98 points to minus 0.12%, leaving put-side volatility relatively richer than call-side volatility. Three-month BF25 also dropped 1.03 points to 4.11%. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "days": [ { "reportDate": "2026-09-10", "headline": "Solana downside skew strengthens", "summary": "Two-week put-side relative volatility rose as one-week implied volatility and three-month convexity fell.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options tilt defensive as front-end volatility moves lower", "standfirst": "Solana’s options surface rotated lower during the observation window as downside skew strengthened alongside softer front-end implied volatility. One-week ATM IV fell 1.70 volatility points to 52.96%, while two-week RR25 declined 1.98 points to minus 0.12%, leaving put-side volatility relatively richer than call-side volatility. Three-month BF25 also dropped 1.03 points to 4.11%. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-09", "asOfTimestamp": "2026-09-09T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark and cross-asset volatility context. The crypto-to-SPX realised-volatility ratio was 8.28, at the 87.1 percentile across 224 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 8.28, at the 87.1 percentile across 224 prior observations.", "The 60-session crypto-SPX return correlation was 0.36 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.54, "vix": 16.459999084472656, "vix9d": 15.59000015258789, "vix3m": 18.8700008392334, "ivSpread": 36.08000091552734, "ivRatio": 3.191980736473004, "cryptoRealisedVol20d": 71.39387312235922, "spxRealisedVol20": 8.623791287785536, "rvSpread": 62.77008183457369, "rvRatio": 8.278710689981475, "rvSpreadPercentile": 47.767857142857146, "rvSpreadPercentileSampleCount": 224, "rvRatioPercentile": 87.05357142857143, "rvRatioPercentileSampleCount": 224, "returnCorrelation30": 0.2673414149219735, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3616276163373304, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; MCP response retains provenance, units, timestamps, quality, freshness, windows and annualisation bases." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789662600172, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 54.66, "change": -1.7, "percentChange": -3.11 }, "rr25": { "current": -0.49, "previous": 0.9, "change": -1.39, "percentChange": -154.44 }, "bf25": { "current": 4.13, "previous": 4.48, "change": -0.35, "percentChange": -7.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.7, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "rr25": { "absoluteMove": 1.39, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 13, "observationsFullHistory": 13, "levelObservationsFullHistory": 14 } } } } ], "crossAssetAnalysis": { "schemaVersion": 1, "purpose": "Explain what is happening between BTC, ETH and SOL, not recap the component reports.", "returnMetric": { "key": "spotPerformance24h", "source": "spotMove24hPercent", "label": "24h spot-index return", "unit": "percent" }, "assets": [ "BTC", "ETH", "SOL" ], "comparableAssets": [ "BTC", "ETH", "SOL" ], "oneWeek": { "atmIvLevel": { "leader": "SOL", "laggard": "BTC", "highest": 52.96, "lowest": 38.99, "spread": 13.97, "highestToLowestRatio": 1.3583, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 52.96, "values": [ { "asset": "BTC", "value": 38.99 }, { "asset": "ETH", "value": 50.0 }, { "asset": "SOL", "value": 52.96 } ], "previousSpread": 14.19, "spreadChange": -0.22, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "ETH", "highest": -1.48, "lowest": -2.31, "spread": 0.83, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.31, "values": [ { "asset": "BTC", "value": -1.48 }, { "asset": "ETH", "value": -2.31 }, { "asset": "SOL", "value": -1.7 } ] }, "rr25Level": { "leader": "BTC", "laggard": "SOL", "highest": 0.79, "lowest": -0.49, "spread": 1.28, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 0.79, "values": [ { "asset": "BTC", "value": 0.79 }, { "asset": "ETH", "value": -0.3 }, { "asset": "SOL", "value": -0.49 } ], "previousSpread": 1.88, "spreadChange": -0.6, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "BTC", "laggard": "ETH", "highest": 0.01, "lowest": -2.96, "spread": 2.97, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.96, "values": [ { "asset": "BTC", "value": 0.01 }, { "asset": "ETH", "value": -2.96 }, { "asset": "SOL", "value": -1.39 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": -2.31 }, "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": 7.71, "lowest": 6.81, "spread": 0.9, "highestToLowestRatio": 1.1322, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.71, "values": [ { "asset": "BTC", "value": 6.81 }, { "asset": "ETH", "value": 7.71 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": -2.23, "lowest": -2.3, "spread": 0.07, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -2.3, "values": [ { "asset": "BTC", "value": -2.3 }, { "asset": "ETH", "value": -2.23 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 52.96, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 50.0, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 38.99, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": -1.48, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": -1.7, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -2.31, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -2.31, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": -1.7, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": -1.48, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 7.71, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 6.81, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "BTC", "value": 0.79, "previousRank": 3, "rankChange": 2 }, { "rank": 2, "asset": "ETH", "value": -0.3, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": -0.49, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "SOL", "value": -0.49, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": -0.3, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": 0.79, "previousRank": 1, "rankChange": -2 } ], "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": -2.23, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.3, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": -2.31, "groupMedian": -1.7, "distanceFromMedian": -0.61 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 38.99, "groupMedian": 50.0, "distanceFromMedian": -11.01 }, { "metric": "1W RR25 level", "asset": "BTC", "value": 0.79, "groupMedian": -0.3, "distanceFromMedian": 1.09 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 0.9, "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 0.90-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 12, "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": 0.9162, "observations": 13 }, { "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": -1.48, "lowest": -2.31, "spread": 0.83, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.31, "values": [ { "asset": "BTC", "value": -1.48 }, { "asset": "ETH", "value": -2.31 }, { "asset": "SOL", "value": -1.7 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 52.96, "lowest": 38.99, "spread": 13.97, "highestToLowestRatio": 1.3583, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 52.96, "values": [ { "asset": "BTC", "value": 38.99 }, { "asset": "ETH", "value": 50.0 }, { "asset": "SOL", "value": 52.96 } ], "previousSpread": 14.19, "spreadChange": -0.22, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "SOL", "highest": 0.79, "lowest": -0.49, "spread": 1.28, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 0.79, "values": [ { "asset": "BTC", "value": 0.79 }, { "asset": "ETH", "value": -0.3 }, { "asset": "SOL", "value": -0.49 } ], "previousSpread": 1.88, "spreadChange": -0.6, "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": 7.71, "lowest": 6.81, "spread": 0.9, "highestToLowestRatio": 1.1322, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.71, "values": [ { "asset": "BTC", "value": 6.81 }, { "asset": "ETH", "value": 7.71 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": -2.23, "lowest": -2.3, "spread": 0.07, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -2.3, "values": [ { "asset": "BTC", "value": -2.3 }, { "asset": "ETH", "value": -2.23 }, { "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": "2026-09-10T16:30:00+00:00", "window": { "startAt": "2026-09-09T16:30:00+00:00", "endAt": "2026-09-10T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin, Ether and Solana options volatility falls together as skew converges", "standfirst": "Across the 24 hours ending 16:30 UTC on 10 September 2026, Ether’s one-week at-the-money implied volatility fell 2.31 volatility points to 50.00%, the largest move among the three markets. At-the-money implied volatility is an options-based measure of expected variability. Bitcoin’s one-week ATM IV fell 1.48 volatility points to 38.99%, while Solana’s one-week ATM IV fell 1.70 volatility points to 52.96%, according to Derivasys data.\n\nThe range between Solana’s one-week ATM IV and Bitcoin’s one-week ATM IV narrowed 0.22 volatility points to 13.97 volatility points. Bitcoin’s 24-hour spot-index return was -2.30%, Ether’s 24-hour spot-index return was -2.23%, and Solana’s 24-hour spot-index return was unavailable.", "days": [ { "reportDate": "2026-09-10", "headline": "Major-coin volatility moves broadly lower", "summary": "All three covered major-coin one-week implied-volatility readings declined, led by Ether. No additional qualifying evidence was identified for that session.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -0.96, "rr25Change": -1.1866666666666668, "bf25Change": -0.2733333333333334 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether led a broad retreat in major-coin one-week implied volatility", "executiveSummary": "Ether’s one-week ATM IV declined 2.31 volatility points, compared with a 1.70-volatility-point decline in Solana’s one-week ATM IV and a 1.48-volatility-point decline in Bitcoin’s one-week ATM IV. The cross-asset range for one-week ATM IV changes was 0.83 volatility points.\n\nEther’s one-week ATM IV was 7.71 volatility points above Ether’s seven-day realised volatility, versus a 6.81-volatility-point gap between Bitcoin’s one-week ATM IV and Bitcoin’s seven-day realised volatility. Solana’s corresponding implied-versus-realised comparison was unavailable.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "No cross-asset news event qualified as context for this comparative options move.", "marketContextSummary": "No retained news context is available to assess against the cross-asset options repricing.", "marketContext": [], "newsEvidenceIds": [] } }