{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:45:49+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "headline": "Major-coin options diverge as Ether rises while Bitcoin and Solana cheapen", "standfirst": "Major-coin one-week ATM IV changes split sharply at the cutoff: Ether rose 1.60 volatility points, Bitcoin fell 2.65 points and Solana fell 2.80 points. That produced a 4.40-point range between Ether and Solana. The divergence widened the difference in short-dated volatility levels, with Ether at 51.60% and Bitcoin at 36.34%.", "marketSummary": "The major-coin complex separated at the one-week tenor, with a 4.40-volatility-point ATM IV change range between Ether and Solana.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-11", "artifactId": "sha256:ccd49d74e93dd7a85a3983a4fa5e938820abf31b75c19b0318275adccbe8d2a9", "contentSha256": "59431857e66669ad1c7b52e044ba8a251f0a6dd349ea7dabf0dcd1563b5c8121", "currentSnapshotId": 336262, "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotId": 326182, "previousSnapshotAt": "2026-09-10T16:29:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-11", "artifactId": "sha256:e033f453fb21c3ba2251178dfdaca0cb919e05e94f5095d0493b0c9f43e6eab0", "contentSha256": "a66d4a67be63ae002e4c54f6be926181c1972209b2780e6052d111a53bf7454b", "currentSnapshotId": 336261, "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotId": 326179, "previousSnapshotAt": "2026-09-10T16:29:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-11", "artifactId": "sha256:e0644fa25e105e1f4f72a89ece9946e9a67eab1daa71e6ea45fd600d85c8f20a", "contentSha256": "d9568765a2a2220489061bedefd5a6b1a61a8155a6cf801823c24e36df7e8a8b", "currentSnapshotId": 336263, "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotId": 326181, "previousSnapshotAt": "2026-09-10T16:29:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:39:06+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336262, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326182, "timestamp": "2026-09-10T16:29:00+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": "2026-09-11T16:29:00+00:00", "spotWindowStart": "2026-09-10T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.0, "rv24hPercent": 47.59, "rv7dPercent": 31.16, "rv30dPercent": 39.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.34, "oneWeekIvMinus7dRvPoints": 5.18, "oneWeekIvMinus24hRvPoints": -11.25, "oneWeekIvMinus30dRvPoints": -3.08 }, "fitQuality": { "currentObjective": 0.03728441, "previousObjective": 0.07175173, "currentLiveError": 48.68627795, "previousLiveError": 101.69744676 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin front-end volatility falls as spot rises", "executiveSummary": "Bitcoin’s one-week ATM IV declined 2.65 volatility points to 36.34%, the principal surface move at the cutoff.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "rr25" ], "newsSummary": "No qualifying Bitcoin news item was retained for this window.", "marketContextSummary": "No retained news evidence supports a direct explanation for Bitcoin’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 36.34%, 5.18 volatility points above seven-day realised volatility of 31.16%; 24-hour realised volatility was 47.59% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.23 volatility points to 35.99% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.40 volatility points to 39.67% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.48 volatility points to -0.65% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.65 volatility points at 1W, to 36.34%.", "tenor": "1W", "value": -2.65 } ] }, "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": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 4, "hasMore": false, "nextCursor": null, "resultSha256": "cb837a5f6c41070e05aedb5ec7d0a462aa695db79e7b3d88ea03836b0fc57471" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 6, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 6, "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 2.65 volatility points to 36.34%, a notable move at the 71st percentile among 140 comparable historical observations. At the cutoff, realised volatility measured 47.59% over 24 hours, 31.16% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 35.99%, -2.23 points from the prior snapshot, while the long end averaged 39.67%, -0.40 points. 1W RR25 moved 0.68 volatility points toward puts to 0.11%, leaving calls richer than puts. 6M BF25 fell 0.17 volatility points to 2.49%. The nearest eligible forward, 14SEP26, rose $783.68 (+1.02%) to $77,738.67. 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 16:29 UTC cutoff, 1W ATM IV was 36.34%, 5.18 volatility points above seven-day realised volatility of 31.16%; 24-hour realised volatility was 47.59% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -2.23 volatility points to 35.99% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.40 volatility points to 39.67% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.48 volatility points to -0.65% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.65 volatility points at 1W, to 36.34%.", "tenor": "1W", "value": -2.65 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.51, "rr25Change": -0.48, "bf25Change": -0.13, "largestAtmMove": { "tenor": "1W", "current": 36.34, "previous": 38.99, "change": -2.65, "historicalSignificance": { "absoluteMove": 2.65, "movePercentile30d": 53.3, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 61.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } }, "frontEndAverageAtm": { "current": 35.99, "previous": 38.22, "change": -2.23 }, "longEndAverageAtm": { "current": 39.67, "previous": 40.07, "change": -0.4 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.11, "previous": 0.79, "change": -0.68, "historicalSignificance": { "absoluteMove": 0.68, "movePercentile30d": 40.0, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 46.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "6M", "current": 2.49, "previous": 2.66, "change": -0.17, "historicalSignificance": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 92.9, "label": "large", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } }, "nearestEligibleForwardMove": { "label": "14SEP26", "daysToExpiry": 2.647, "current": 77738.67, "previous": 76954.99, "change": 783.68, "percentChange": 1.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.34, "previous": 38.99, "change": -2.65, "percentChange": -6.8 }, "rr25": { "current": 0.11, "previous": 0.79, "change": -0.68, "percentChange": -86.08 }, "bf25": { "current": 1.89, "previous": 2.05, "change": -0.16, "percentChange": -7.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 53.3, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 61.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.68, "movePercentile30d": 40.0, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 46.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 50.0, "movePercentileFullHistory": 51.4, "currentLevelPercentileFullHistory": 54.6, "classificationPercentile": 51.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "2W", "targetExpiry": 1790353740874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.54, "previous": 38.18, "change": -2.64, "percentChange": -6.91 }, "rr25": { "current": -0.61, "previous": 0.04, "change": -0.65, "percentChange": -1625.0 }, "bf25": { "current": 1.95, "previous": 2.06, "change": -0.11, "percentChange": -5.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.64, "movePercentile30d": 76.7, "movePercentileFullHistory": 86.4, "currentLevelPercentileFullHistory": 47.5, "classificationPercentile": 86.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 49.3, "currentLevelPercentileFullHistory": 86.5, "classificationPercentile": 49.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 40.0, "movePercentileFullHistory": 42.1, "currentLevelPercentileFullHistory": 51.8, "classificationPercentile": 42.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "1M", "targetExpiry": 1791736140874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.08, "previous": 37.49, "change": -1.41, "percentChange": -3.76 }, "rr25": { "current": -0.9, "previous": -0.38, "change": -0.52, "percentChange": -136.84 }, "bf25": { "current": 2.08, "previous": 2.24, "change": -0.16, "percentChange": -7.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.41, "movePercentile30d": 76.7, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 44.7, "classificationPercentile": 78.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 36.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 73.3, "movePercentileFullHistory": 72.9, "currentLevelPercentileFullHistory": 35.5, "classificationPercentile": 73.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "3M", "targetExpiry": 1797006540874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.66, "previous": 39.09, "change": -0.43, "percentChange": -1.1 }, "rr25": { "current": -0.98, "previous": -0.66, "change": -0.32, "percentChange": -48.48 }, "bf25": { "current": 2.34, "previous": 2.4, "change": -0.06, "percentChange": -2.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": 53.3, "movePercentileFullHistory": 63.6, "currentLevelPercentileFullHistory": 46.1, "classificationPercentile": 63.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.32, "movePercentile30d": 50.0, "movePercentileFullHistory": 50.7, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 50.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 26.7, "movePercentileFullHistory": 35.7, "currentLevelPercentileFullHistory": 42.6, "classificationPercentile": 35.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "6M", "targetExpiry": 1804868940874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.67, "previous": 40.07, "change": -0.4, "percentChange": -1.0 }, "rr25": { "current": -0.89, "previous": -0.68, "change": -0.21, "percentChange": -30.88 }, "bf25": { "current": 2.49, "previous": 2.66, "change": -0.17, "percentChange": -6.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.4, "movePercentile30d": 66.7, "movePercentileFullHistory": 73.6, "currentLevelPercentileFullHistory": 3.5, "classificationPercentile": 73.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.21, "movePercentile30d": 40.0, "movePercentileFullHistory": 51.4, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 51.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 90.0, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 39.7, "classificationPercentile": 92.9, "label": "large", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "9M", "targetExpiry": 1812731340874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.65, "previous": 41.04, "change": -0.39, "percentChange": -0.95 }, "rr25": { "current": -0.84, "previous": -0.64, "change": -0.2, "percentChange": -31.25 }, "bf25": { "current": 2.66, "previous": 2.78, "change": -0.12, "percentChange": -4.32 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.39, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.6, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 78.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 40.0, "movePercentileFullHistory": 55.0, "currentLevelPercentileFullHistory": 87.2, "classificationPercentile": 55.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.7, "currentLevelPercentileFullHistory": 57.4, "classificationPercentile": 80.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } }, { "tenor": "1Y", "targetExpiry": 1820680140874, "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": 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-0.3444, -0.3513, -0.3581, -0.3649, -0.3717, -0.3787, -0.3859, -0.3932, -0.4009, -0.409, -0.4176, -0.4266, -0.4362, -0.4465, -0.4574, -0.4689, -0.4813, -0.4944, -0.5083, -0.523, -0.5387, -0.5552, -0.5726, -0.5909, -0.61 ] }, { "label": "26MAR27", "values": [ -0.3848, -0.3804, -0.3765, -0.3729, -0.3699, -0.3672, -0.3651, -0.3634, -0.3623, -0.3618, -0.3618, -0.3623, -0.3634, -0.3651, -0.3674, -0.3702, -0.3736, -0.3777, -0.3822, -0.3873, -0.393, -0.3993, -0.4061, -0.4134, -0.4211, -0.4295, -0.4382, -0.4474, -0.457, -0.4671, -0.4774, -0.4882, -0.4993, -0.5107, -0.5223, -0.5342, -0.5464, -0.5588, -0.5713, -0.584, -0.5968 ] }, { "label": "25JUN27", "values": [ -0.3107, -0.3145, -0.3182, -0.3217, -0.3251, -0.3284, -0.3316, -0.3347, -0.3378, -0.3407, -0.3436, -0.3464, -0.3492, -0.352, -0.3548, -0.3575, -0.3603, -0.3631, -0.366, -0.369, -0.372, -0.3752, -0.3785, -0.382, -0.3857, -0.3895, -0.3935, -0.3979, -0.4024, -0.4072, -0.4122, -0.4176, -0.4233, -0.4293, -0.4358, -0.4425, -0.4496, -0.457, -0.4649, -0.4732, -0.4819 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "headline": "Bitcoin options see one-week implied volatility fall", "standfirst": "Bitcoin one-week ATM IV fell 2.65 volatility points to 36.34% over the observation window, even as the 24-hour spot-index return was positive 1.00%. Derivasys data show the move was notable against comparable history. One-week implied volatility nevertheless remained 5.18 points above seven-day realised volatility, while 24-hour realised volatility was higher.", "days": [ { "reportDate": "2026-09-11", "headline": "Bitcoin front-end volatility eases", "summary": "Bitcoin short-dated implied volatility fell while the spot index posted a positive return.", "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 see one-week implied volatility fall", "standfirst": "Bitcoin one-week ATM IV fell 2.65 volatility points to 36.34% over the observation window, even as the 24-hour spot-index return was positive 1.00%. Derivasys data show the move was notable against comparable history. One-week implied volatility nevertheless remained 5.18 points above seven-day realised volatility, while 24-hour realised volatility was higher.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and BTC context. The crypto-to-SPX realised-volatility ratio was 3.83, at the 67.1 percentile across 231 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 3.83, at the 67.1 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.31 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 37.49, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 19.64999984741211, "ivRatio": 2.101457381129095, "cryptoRealisedVol20d": 33.42207414645543, "spxRealisedVol20": 8.729045135983702, "rvSpread": 24.693029010471726, "rvRatio": 3.8288350702506704, "rvSpreadPercentile": 38.96103896103896, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 67.0995670995671, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.20262175096134796, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.30711948613451234, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789748940874, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.34, "previous": 38.99, "change": -2.65, "percentChange": -6.8 }, "rr25": { "current": 0.11, "previous": 0.79, "change": -0.68, "percentChange": -86.08 }, "bf25": { "current": 1.89, "previous": 2.05, "change": -0.16, "percentChange": -7.8 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 53.3, "movePercentileFullHistory": 71.4, "currentLevelPercentileFullHistory": 61.0, "classificationPercentile": 71.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "rr25": { "absoluteMove": 0.68, "movePercentile30d": 40.0, "movePercentileFullHistory": 46.4, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 46.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 50.0, "movePercentileFullHistory": 51.4, "currentLevelPercentileFullHistory": 54.6, "classificationPercentile": 51.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 140, "levelObservationsFullHistory": 141 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:42:22+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336261, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326179, "timestamp": "2026-09-10T16:29:00+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": "2026-09-11T16:29:00+00:00", "spotWindowStart": "2026-09-10T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 5.17, "rv24hPercent": 75.6, "rv7dPercent": 44.02, "rv30dPercent": 53.88, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 51.6, "oneWeekIvMinus7dRvPoints": 7.58, "oneWeekIvMinus24hRvPoints": -24.0, "oneWeekIvMinus30dRvPoints": -2.28 }, "fitQuality": { "currentObjective": 0.03879196, "previousObjective": 0.03171064, "currentLiveError": 16.45329124, "previousLiveError": 7.71163716 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether call-side volatility becomes richer", "executiveSummary": "Ether’s one-week RR25 advanced 2.90 volatility points to 2.60%, making the front-end call-rich.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No qualifying Ether news item was retained for this window.", "marketContextSummary": "No retained news evidence supports a direct explanation for Ether’s skew repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 51.60%, 7.58 volatility points above seven-day realised volatility of 44.02%; 24-hour realised volatility was 75.60% and 30-day realised volatility was 53.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.56 volatility points to 51.20% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.15 volatility points to 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.76 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.60 volatility points at 1W, to 51.60%.", "tenor": "1W", "value": 1.6 } ] }, "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": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "4a8080657f4a4fac369c78a6b10dbf4cde6ca330eece164dc96bcf47cbdde527" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 5, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 5, "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 2.90 volatility points toward calls to 2.60%, leaving calls richer than puts; this was a notable move at the 88th percentile among 24 comparable historical observations. At the cutoff, realised volatility measured 75.60% over 24 hours, 44.02% over seven days and 53.88% over 30 days. Front-end ATM IV averaged 51.20%, +0.56 points from the prior snapshot, while the long end averaged 54.27%, -0.15 points. 1W ATM IV rose 1.60 volatility points to 51.60%. 1M BF25 rose 0.43 volatility points to 2.96%. The nearest eligible forward, 14SEP26, rose $128.21 (+5.26%) to $2,567.93. 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 16:29 UTC cutoff, 1W ATM IV was 51.60%, 7.58 volatility points above seven-day realised volatility of 44.02%; 24-hour realised volatility was 75.60% and 30-day realised volatility was 53.88%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.56 volatility points to 51.20% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.15 volatility points to 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.76 volatility points to 0.80% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.60 volatility points at 1W, to 51.60%.", "tenor": "1W", "value": 1.6 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.3, "rr25Change": 0.76, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 51.6, "previous": 50.0, "change": 1.6, "historicalSignificance": { "absoluteMove": 1.6, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } }, "frontEndAverageAtm": { "current": 51.2, "previous": 50.64, "change": 0.56 }, "longEndAverageAtm": { "current": 54.27, "previous": 54.42, "change": -0.15 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 2.6, "previous": -0.3, "change": 2.9, "historicalSignificance": { "absoluteMove": 2.9, "movePercentile30d": 85.0, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 2.96, "previous": 2.53, "change": 0.43, "historicalSignificance": { "absoluteMove": 0.43, "movePercentile30d": 85.0, "movePercentileFullHistory": 79.2, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 85.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } }, "nearestEligibleForwardMove": { "label": "14SEP26", "daysToExpiry": 2.647, "current": 2567.93, "previous": 2439.72, "change": 128.21, "percentChange": 5.26 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.6, "previous": 50.0, "change": 1.6, "percentChange": 3.2 }, "rr25": { "current": 2.6, "previous": -0.3, "change": 2.9, "percentChange": 966.67 }, "bf25": { "current": 3.12, "previous": 3.04, "change": 0.08, "percentChange": 2.63 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.6, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 2.9, "movePercentile30d": 85.0, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "2W", "targetExpiry": 1790353740743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.99, "previous": 50.64, "change": 0.35, "percentChange": 0.69 }, "rr25": { "current": 0.41, "previous": -0.48, "change": 0.89, "percentChange": 185.42 }, "bf25": { "current": 2.51, "previous": 2.68, "change": -0.17, "percentChange": -6.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.35, "movePercentile30d": 20.0, "movePercentileFullHistory": 25.0, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 25.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.89, "movePercentile30d": 45.0, "movePercentileFullHistory": 54.2, "currentLevelPercentileFullHistory": 48.1, "classificationPercentile": 54.2, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 30.0, "movePercentileFullHistory": 29.2, "currentLevelPercentileFullHistory": 25.9, "classificationPercentile": 30.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "1M", "targetExpiry": 1791736140743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.0, "previous": 51.27, "change": -0.27, "percentChange": -0.53 }, "rr25": { "current": 0.92, "previous": 0.59, "change": 0.33, "percentChange": 55.93 }, "bf25": { "current": 2.96, "previous": 2.53, "change": 0.43, "percentChange": 17.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.27, "movePercentile30d": 15.0, "movePercentileFullHistory": 20.8, "currentLevelPercentileFullHistory": 40.7, "classificationPercentile": 20.8, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 59.3, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.43, "movePercentile30d": 85.0, "movePercentileFullHistory": 79.2, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 85.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } }, { "tenor": "3M", "targetExpiry": 1797006540743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.91, "previous": 52.92, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -0.06, "previous": 0.35, "change": -0.41, "percentChange": -117.14 }, "bf25": { "current": 3.26, "previous": 3.19, "change": 0.07, "percentChange": 2.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 48.1, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 50.0, 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calls richer than puts at the cutoff. The move was notable against the available history. Ether’s 24-hour spot-index return was 5.17%, while one-week ATM IV of 51.60% stood 7.58 points above seven-day realised volatility.", "days": [ { "reportDate": "2026-09-11", "headline": "Ether skew swings toward calls", "summary": "Ether short-dated skew repriced toward calls as one-week implied volatility also increased.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options turn call-rich as short-dated skew reprices sharply", "standfirst": "Ether one-week RR25 rose 2.90 volatility points to 2.60%, shifting relative volatility toward calls and leaving calls richer than puts at the cutoff. The move was notable against the available history. Ether’s 24-hour spot-index return was 5.17%, while one-week ATM IV of 51.60% stood 7.58 points above seven-day realised volatility.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and ETH context. The crypto-minus-SPX realised-volatility spread was 23.47 points, at the 7.0 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.25 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 23.47 points, at the 7.0 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.25 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.09, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 33.24999984741211, "ivRatio": 2.863789213173792, "cryptoRealisedVol20d": 32.202661737380225, "spxRealisedVol20": 8.729045135983702, "rvSpread": 23.47361660139652, "rvRatio": 3.689139102355118, "rvSpreadPercentile": 7.017543859649122, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 21.05263157894737, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": -0.005654580703899749, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2518355495700392, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789748940743, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.6, "previous": 50.0, "change": 1.6, "percentChange": 3.2 }, "rr25": { "current": 2.6, "previous": -0.3, "change": 2.9, "percentChange": 966.67 }, "bf25": { "current": 3.12, "previous": 3.04, "change": 0.08, "percentChange": 2.63 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.6, "movePercentile30d": 30.0, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 33.3, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "rr25": { "absoluteMove": 2.9, "movePercentile30d": 85.0, "movePercentileFullHistory": 87.5, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 87.5, "label": "notable", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 10.0, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 70.4, "classificationPercentile": 12.5, "label": "routine", "observations30d": 20, "observationsFullHistory": 24, "levelObservationsFullHistory": 27 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-11", "generatedAt": "2026-09-11T16:45:49+00:00", "currentSnapshotAt": "2026-09-11T16:29:00+00:00", "previousSnapshotAt": "2026-09-10T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 336263, "timestamp": "2026-09-11T16:29:00+00:00" }, "previous": { "id": 326181, "timestamp": "2026-09-10T16:29:00+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": 0.05786273, "previousObjective": 0.02185573, "currentLiveError": 25.08470804, "previousLiveError": 13.17405207 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "13SEP26" ], "removedExpiries": [ "11SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana skew reprices toward calls despite softer ATM volatility", "executiveSummary": "Solana’s two-week RR25 rose 5.52 volatility points to 5.41%, while front-end ATM IV moved lower.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "No qualifying Solana news item was retained for this window.", "marketContextSummary": "No retained news evidence 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 -1.46 volatility points to 51.15% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.34 volatility points to 3.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 4.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.80 volatility points at 1W, to 50.46%.", "tenor": "1W", "value": -2.8 } ] }, "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": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-11T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-10T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 6, "hasMore": false, "nextCursor": null, "resultSha256": "f25fd3cfc58a4009d380278dec3bd4b995e93b05073f2bd1b4d29cd498f6bcff" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 5, "publishersRepresented": 4, "discoveryEventsScanned": 12, "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": 4, "feedEntriesScanned": 6, "articlesPassingTimeFilter": 6, "articlesPassingSourceRelevanceRules": 5, "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 5.52 volatility points toward calls to 5.41%, leaving calls richer than puts. Front-end ATM IV averaged 51.15%, -1.46 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 2.80 volatility points to 50.46%. 3M BF25 rose 0.43 volatility points to 4.54%. The nearest eligible forward, 18SEP26, rose $2.63 (+2.65%) to $101.87. 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 -1.46 volatility points to 51.15% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +3.34 volatility points to 3.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.03 volatility points to 4.01% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.80 volatility points at 1W, to 50.46%.", "tenor": "1W", "value": -2.8 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.02, "rr25Change": 3.34, "bf25Change": 0.03, "largestAtmMove": { "tenor": "1W", "current": 50.46, "previous": 53.26, "change": -2.8, "historicalSignificance": { "absoluteMove": 2.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } }, "frontEndAverageAtm": { "current": 51.15, "previous": 52.62, "change": -1.46 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": 5.41, "previous": -0.11, "change": 5.52, "historicalSignificance": { "absoluteMove": 5.52, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 4.54, "previous": 4.11, "change": 0.43, "historicalSignificance": { "absoluteMove": 0.43, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 6.647, "current": 101.87, "previous": 99.24, "change": 2.63, "percentChange": 2.65 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789748940975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.46, "previous": 53.26, "change": -2.8, "percentChange": -5.26 }, "rr25": { "current": 4.05, "previous": -0.46, "change": 4.51, "percentChange": 980.43 }, "bf25": { "current": 3.99, "previous": 4.16, "change": -0.17, "percentChange": -4.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 4.51, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "2W", "targetExpiry": 1790353740975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.74, "previous": 52.54, "change": -1.8, "percentChange": -3.43 }, "rr25": { "current": 5.41, "previous": -0.11, "change": 5.52, "percentChange": 5018.18 }, "bf25": { "current": 3.69, "previous": 3.89, "change": -0.2, "percentChange": -5.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 5.52, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "1M", "targetExpiry": 1791736140975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.26, "previous": 52.05, "change": 0.21, "percentChange": 0.4 }, "rr25": { "current": 3.07, "previous": 0.54, "change": 2.53, "percentChange": 468.52 }, "bf25": { "current": 3.83, "previous": 3.76, "change": 0.07, "percentChange": 1.86 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 2.53, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "3M", "targetExpiry": 1797006540975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.8, "previous": 51.5, "change": 0.3, "percentChange": 0.58 }, "rr25": { "current": 2.96, "previous": 2.15, "change": 0.81, "percentChange": 37.67 }, "bf25": { "current": 4.54, "previous": 4.11, "change": 0.43, "percentChange": 10.46 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 0.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.43, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } }, { "tenor": "6M", "targetExpiry": 1804868940975, "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": 1812731340975, "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": 1820680140975, "availability": 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-1.3776, -1.9782, -2.5475, -3.0791, -3.5657, -3.9988, -4.3695, -4.6672, -4.8816, -5.0014, -5.0165, -4.9186, -4.7025, -4.3675, -3.9191, -3.3687, -2.7342, -2.0374, -1.3027, -0.5546, 0.1852, 0.8981, 1.5703, 2.1919, 2.7573, 3.2636, 3.7106, 4.0997, 4.4338, 4.7158, 4.9497, 5.139, 5.2879, 5.3999, 5.4786, 5.5271, 5.5486 ] }, { "label": "25SEP26", "values": [ -5.8836, -6.1456, -6.3753, -6.569, -6.7232, -6.8339, -6.8972, -6.9094, -6.8669, -6.7668, -6.6064, -6.3844, -6.1001, -5.7545, -5.3501, -4.8911, -4.3836, -3.8349, -3.2542, -2.6516, -2.0374, -1.4223, -0.8164, -0.2289, 0.3321, 0.86, 1.3499, 1.798, 2.2022, 2.5615, 2.8757, 3.1461, 3.3737, 3.5608, 3.7096, 3.8224, 3.9019, 3.9508, 3.9712, 3.966, 3.9373 ] }, { "label": "30OCT26", "values": [ -0.1743, -0.1748, -0.1701, -0.1601, -0.1446, -0.1235, -0.0968, -0.0645, -0.0265, 0.017, 0.066, 0.1201, 0.1791, 0.2428, 0.3108, 0.3826, 0.4578, 0.5359, 0.6163, 0.6986, 0.7822, 0.8663, 0.9506, 1.0345, 1.1176, 1.1992, 1.2791, 1.3568, 1.432, 1.5044, 1.5739, 1.6402, 1.7032, 1.7627, 1.8188, 1.8716, 1.9208, 1.9668, 2.0096, 2.049, 2.0855 ] }, { "label": "25DEC26", "values": [ 0.0572, 0.0767, 0.0926, 0.1052, 0.1146, 0.1212, 0.1255, 0.1276, 0.1281, 0.1275, 0.1261, 0.1243, 0.1227, 0.1216, 0.1213, 0.1225, 0.1253, 0.13, 0.1371, 0.1468, 0.1592, 0.1744, 0.1926, 0.2139, 0.2382, 0.2654, 0.2955, 0.3284, 0.3638, 0.4016, 0.4417, 0.4835, 0.5271, 0.5721, 0.6182, 0.6652, 0.7128, 0.7607, 0.8088, 0.8567, 0.9043 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "headline": "Solana options turn call-rich as two-week skew jumps despite lower volatility", "standfirst": "Solana two-week RR25 rose 5.52 volatility points to 5.41%, a sharp shift in relative volatility toward calls. At the same cutoff, front-end ATM IV averaged 51.15%, down 1.46 points, and one-week ATM IV fell 2.80 points to 50.46%. Realised-volatility comparisons were unavailable because the minute series did not meet completeness requirements.", "days": [ { "reportDate": "2026-09-11", "headline": "Solana skew turns strongly call-rich", "summary": "Solana two-week skew moved sharply toward calls as front-end implied volatility declined.", "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 turn call-rich as two-week skew jumps despite lower volatility", "standfirst": "Solana two-week RR25 rose 5.52 volatility points to 5.41%, a sharp shift in relative volatility toward calls. At the same cutoff, front-end ATM IV averaged 51.15%, down 1.46 points, and one-week ATM IV fell 2.80 points to 50.46%. Realised-volatility comparisons were unavailable because the minute series did not meet completeness requirements.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-10", "asOfTimestamp": "2026-09-10T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and SOL context. The crypto-to-SPX realised-volatility ratio was 8.17, at the 83.6 percentile across 225 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.17, at the 83.6 percentile across 225 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.82, "vix": 17.84000015258789, "vix9d": 17.700000762939453, "vix3m": 19.729999542236328, "ivSpread": 33.97999984741211, "ivRatio": 2.9047084953350146, "cryptoRealisedVol20d": 71.3338379905346, "spxRealisedVol20": 8.729045135983702, "rvSpread": 62.6047928545509, "rvRatio": 8.172009295320912, "rvSpreadPercentile": 47.55555555555556, "rvSpreadPercentileSampleCount": 225, "rvRatioPercentile": 83.55555555555556, "rvRatioPercentileSampleCount": 225, "returnCorrelation30": 0.24799188938605587, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2960465515334656, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys market-context-v1; crypto RV annualised sqrt(365), SPX RV sqrt(252); aligned completed US session." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789748940975, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.46, "previous": 53.26, "change": -2.8, "percentChange": -5.26 }, "rr25": { "current": 4.05, "previous": -0.46, "change": 4.51, "percentChange": 980.43 }, "bf25": { "current": 3.99, "previous": 4.16, "change": -0.17, "percentChange": -4.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "rr25": { "absoluteMove": 4.51, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 14, "observationsFullHistory": 14, "levelObservationsFullHistory": 15 } } } } ], "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": "ETH", "laggard": "BTC", "highest": 51.6, "lowest": 36.34, "spread": 15.26, "highestToLowestRatio": 1.4199, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 51.6, "values": [ { "asset": "BTC", "value": 36.34 }, { "asset": "ETH", "value": 51.6 }, { "asset": "SOL", "value": 50.46 } ], "previousSpread": 14.27, "spreadChange": 0.99, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": 1.6, "lowest": -2.8, "spread": 4.4, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -2.8, "values": [ { "asset": "BTC", "value": -2.65 }, { "asset": "ETH", "value": 1.6 }, { "asset": "SOL", "value": -2.8 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 4.05, "lowest": 0.11, "spread": 3.94, "highestToLowestRatio": 36.8182, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.05, "values": [ { "asset": "BTC", "value": 0.11 }, { "asset": "ETH", "value": 2.6 }, { "asset": "SOL", "value": 4.05 } ], "previousSpread": 1.25, "spreadChange": 2.69, "dispersionDirection": "widening" }, "rr25Change": { "leader": "SOL", "laggard": "BTC", "highest": 4.51, "lowest": -0.68, "spread": 5.19, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.51, "values": [ { "asset": "BTC", "value": -0.68 }, { "asset": "ETH", "value": 2.9 }, { "asset": "SOL", "value": 4.51 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": -2.8 }, "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": 7.58, "lowest": 5.18, "spread": 2.4, "highestToLowestRatio": 1.4633, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.58, "values": [ { "asset": "BTC", "value": 5.18 }, { "asset": "ETH", "value": 7.58 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 5.17, "lowest": 1.0, "spread": 4.17, "highestToLowestRatio": 5.17, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 5.17, "values": [ { "asset": "BTC", "value": 1.0 }, { "asset": "ETH", "value": 5.17 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "ETH", "value": 51.6, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "SOL", "value": 50.46, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": 36.34, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "ETH", "value": 1.6, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.65, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -2.8, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": -2.8, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.65, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 1.6, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 7.58, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 5.18, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 4.05, "previousRank": 3, "rankChange": 2 }, { "rank": 2, "asset": "ETH", "value": 2.6, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 0.11, "previousRank": 1, "rankChange": -2 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": 0.11, "previousRank": 3, "rankChange": 2 }, { "rank": 2, "asset": "ETH", "value": 2.6, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 4.05, "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": 5.17, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 1.0, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": 1.6, "groupMedian": -2.65, "distanceFromMedian": 4.25 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 36.34, "groupMedian": 50.46, "distanceFromMedian": -14.12 }, { "metric": "1W RR25 level", "asset": "BTC", "value": 0.11, "groupMedian": 2.6, "distanceFromMedian": -2.49 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 2.4, "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 2.40-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 13, "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": 0.8155, "observations": 14 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "SOL", "highest": 1.6, "lowest": -2.8, "spread": 4.4, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -2.8, "values": [ { "asset": "BTC", "value": -2.65 }, { "asset": "ETH", "value": 1.6 }, { "asset": "SOL", "value": -2.8 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 51.6, "lowest": 36.34, "spread": 15.26, "highestToLowestRatio": 1.4199, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 51.6, "values": [ { "asset": "BTC", "value": 36.34 }, { "asset": "ETH", "value": 51.6 }, { "asset": "SOL", "value": 50.46 } ], "previousSpread": 14.27, "spreadChange": 0.99, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 4.05, "lowest": 0.11, "spread": 3.94, "highestToLowestRatio": 36.8182, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.05, "values": [ { "asset": "BTC", "value": 0.11 }, { "asset": "ETH", "value": 2.6 }, { "asset": "SOL", "value": 4.05 } ], "previousSpread": 1.25, "spreadChange": 2.69, "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": 7.58, "lowest": 5.18, "spread": 2.4, "highestToLowestRatio": 1.4633, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.58, "values": [ { "asset": "BTC", "value": 5.18 }, { "asset": "ETH", "value": 7.58 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 5.17, "lowest": 1.0, "spread": 4.17, "highestToLowestRatio": 5.17, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 5.17, "values": [ { "asset": "BTC", "value": 1.0 }, { "asset": "ETH", "value": 5.17 }, { "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": "2026-09-11T16:29:00+00:00", "window": { "startAt": "2026-09-10T16:29:00+00:00", "endAt": "2026-09-11T16:29:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Ether rises while Bitcoin and Solana cheapen", "standfirst": "Major-coin one-week ATM IV changes split sharply at the cutoff: Ether rose 1.60 volatility points, Bitcoin fell 2.65 points and Solana fell 2.80 points. That produced a 4.40-point range between Ether and Solana. The divergence widened the difference in short-dated volatility levels, with Ether at 51.60% and Bitcoin at 36.34%.", "days": [ { "reportDate": "2026-09-11", "headline": "Major-coin volatility paths diverge", "summary": "Ether’s one-week implied volatility increased while Bitcoin and Solana short-dated volatility declined.", "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": -0.7433333333333333, "rr25Change": 1.2066666666666668, "bf25Change": 0.0 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether breaks from falling major-coin volatility", "executiveSummary": "The major-coin complex separated at the one-week tenor, with a 4.40-volatility-point ATM IV change range between Ether and Solana.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-rr25-dispersion", "btc-daily", "eth-daily", "sol-daily" ], "newsSummary": "No qualifying cross-asset news context was retained for the divergence.", "marketContextSummary": "No retained news item provides a direct explanation for the major-coin volatility split.", "marketContext": [], "newsEvidenceIds": [] } }