{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:40:31+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "headline": "Major-coin options compress as Ether drives the volatility reset", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana, but the adjustment was uneven: Ether fell 3.12 volatility points, Bitcoin declined 1.58 points and Solana eased 0.45 points. That left a 2.67-point cross-asset dispersion in daily one-week ATM IV changes at the cutoff.", "marketSummary": "The major-coin complex compressed in one-week ATM IV, with Ether’s 3.12-point decline exceeding Bitcoin’s 1.58-point fall and Solana’s 0.45-point easing. Solana nevertheless held the highest one-week RR25 at 4.50%, versus Ether’s -1.16%.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-12", "artifactId": "sha256:f711f7b15342b1fbbc12e72c1437e45665f0aef2ae64ce6e542aed12aad225bd", "contentSha256": "1d0b3b9143f3e436893cbcc385b4de56a22110d1fb64596cde0493116acd0b43", "currentSnapshotId": 346338, "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotId": 336262, "previousSnapshotAt": "2026-09-11T16:29:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-12", "artifactId": "sha256:f5ab1d51365c0aa3fc5f3854b4a456facfccebb9535c8de763bb6dc36d5c84b3", "contentSha256": "d92797fb78c12a2e19f2151084fb5c4c87c2c93ce2bd2a109aad0e8e9ed3f1e0", "currentSnapshotId": 346340, "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotId": 336261, "previousSnapshotAt": "2026-09-11T16:29:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-12", "artifactId": "sha256:091822d2afe00e7ae6d648da3619c4a72729f54ea7aa25d8ab00501000599716", "contentSha256": "81d5cd9fd0d2879be474dccb1040128b58e0d28a5a1ecd418fb3074ad4140415", "currentSnapshotId": 346342, "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotId": 336263, "previousSnapshotAt": "2026-09-11T16:29:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:34:29+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346338, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 336262, "timestamp": "2026-09-11T16:29:00+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": "2026-09-12T16:29:00+00:00", "spotWindowStart": "2026-09-11T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.37, "rv24hPercent": 20.73, "rv7dPercent": 31.42, "rv30dPercent": 39.42, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 34.76, "oneWeekIvMinus7dRvPoints": 3.34, "oneWeekIvMinus24hRvPoints": 14.03, "oneWeekIvMinus30dRvPoints": -4.66 }, "fitQuality": { "currentObjective": 0.03395337, "previousObjective": 0.03728441, "currentLiveError": 59.71846127, "previousLiveError": 48.68627795 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week skew moves into put-rich territory", "executiveSummary": "Bitcoin options ended the 24-hour window with one-week RR25 at -0.37%, after a 0.48-point move toward puts. The shift occurred alongside a 1.11-point decline in average front-end ATM IV.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item provides a direct explanation for the options move; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 34.76%, 3.34 volatility points above seven-day realised volatility of 31.42%; 24-hour realised volatility was 20.73% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.11 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.48 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.08 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.03 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.58 volatility points at 1W, to 34.76%.", "tenor": "1W", "value": -1.58 } ] }, "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": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 3, "hasMore": false, "nextCursor": null, "resultSha256": "128d2a4d5a28dfcb2810bf9b1cdba4d50d47548640e3c588765ec36ae57b038c" } ] }, { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 21, "hasMore": false, "nextCursor": null, "resultSha256": "f8daf1ef8eab2044d552a73e1ca34f9550e33100d676725559a61f313e0e908f" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "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 1.58 volatility points to 34.76%, a routine move at the 48th percentile among 141 comparable historical observations. At the cutoff, realised volatility measured 20.73% over 24 hours, 31.42% over seven days and 39.42% over 30 days. Front-end ATM IV averaged 34.87%, -1.11 points from the prior snapshot, while the long end averaged 39.19%, -0.48 points. 1W RR25 moved 0.48 volatility points toward puts to -0.37%, leaving puts richer than calls. 1W BF25 fell 0.12 volatility points to 1.77%. The nearest eligible forward, 15SEP26, fell $372.23 (-0.48%) to $77,378.15. 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 34.76%, 3.34 volatility points above seven-day realised volatility of 31.42%; 24-hour realised volatility was 20.73% and 30-day realised volatility was 39.42%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.11 volatility points to 34.87% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.48 volatility points to 39.19% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging +0.08 volatility points to -0.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.03 volatility points to 2.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.58 volatility points at 1W, to 34.76%.", "tenor": "1W", "value": -1.58 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.9, "rr25Change": 0.08, "bf25Change": -0.03, "largestAtmMove": { "tenor": "1W", "current": 34.76, "previous": 36.34, "change": -1.58, "historicalSignificance": { "absoluteMove": 1.58, "movePercentile30d": 46.7, "movePercentileFullHistory": 48.2, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 48.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } }, "frontEndAverageAtm": { "current": 34.87, "previous": 35.99, "change": -1.11 }, "longEndAverageAtm": { "current": 39.19, "previous": 39.67, "change": -0.48 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.37, "previous": 0.11, "change": -0.48, "historicalSignificance": { "absoluteMove": 0.48, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.2, "currentLevelPercentileFullHistory": 84.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 1.77, "previous": 1.89, "change": -0.12, "historicalSignificance": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 44.7, "currentLevelPercentileFullHistory": 37.3, "classificationPercentile": 44.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } }, "nearestEligibleForwardMove": { "label": "15SEP26", "daysToExpiry": 2.647, "current": 77378.15, "previous": 77750.38, "change": -372.23, "percentChange": -0.48 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.76, "previous": 36.34, "change": -1.58, "percentChange": -4.35 }, "rr25": { "current": -0.37, "previous": 0.11, "change": -0.48, "percentChange": -436.36 }, "bf25": { "current": 1.77, "previous": 1.89, "change": -0.12, "percentChange": -6.35 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.58, "movePercentile30d": 46.7, "movePercentileFullHistory": 48.2, "currentLevelPercentileFullHistory": 43.7, "classificationPercentile": 48.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.2, "currentLevelPercentileFullHistory": 84.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 43.3, "movePercentileFullHistory": 44.7, "currentLevelPercentileFullHistory": 37.3, "classificationPercentile": 44.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "2W", "targetExpiry": 1790440140455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.46, "previous": 35.54, "change": -1.08, "percentChange": -3.04 }, "rr25": { "current": -0.5, "previous": -0.61, "change": 0.11, "percentChange": 18.03 }, "bf25": { "current": 1.88, "previous": 1.95, "change": -0.07, "percentChange": -3.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.08, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.8, "currentLevelPercentileFullHistory": 33.1, "classificationPercentile": 46.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 86.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 23.3, "movePercentileFullHistory": 27.7, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 27.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "1M", "targetExpiry": 1791822540455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.4, "previous": 36.08, "change": -0.68, "percentChange": -1.88 }, "rr25": { "current": -0.75, "previous": -0.9, "change": 0.15, "percentChange": 16.67 }, "bf25": { "current": 2.11, "previous": 2.08, "change": 0.03, "percentChange": 1.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.68, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.8, "currentLevelPercentileFullHistory": 38.0, "classificationPercentile": 46.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.4, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 26.7, "movePercentileFullHistory": 19.9, "currentLevelPercentileFullHistory": 41.5, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "3M", "targetExpiry": 1797092940455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.96, "previous": 38.66, "change": -0.7, "percentChange": -1.81 }, "rr25": { "current": -0.51, "previous": -0.98, "change": 0.47, "percentChange": 47.96 }, "bf25": { "current": 2.27, "previous": 2.34, "change": -0.07, "percentChange": -2.99 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.7, "movePercentile30d": 66.7, "movePercentileFullHistory": 75.2, "currentLevelPercentileFullHistory": 31.0, "classificationPercentile": 75.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.47, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 91.5, "classificationPercentile": 64.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 36.7, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 32.4, "classificationPercentile": 51.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "6M", "targetExpiry": 1804955340455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.19, "previous": 39.67, "change": -0.48, "percentChange": -1.21 }, "rr25": { "current": -0.72, "previous": -0.89, "change": 0.17, "percentChange": 19.1 }, "bf25": { "current": 2.58, "previous": 2.49, "change": 0.09, "percentChange": 3.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.4, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 79.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": 26.7, "movePercentileFullHistory": 44.0, "currentLevelPercentileFullHistory": 90.1, "classificationPercentile": 44.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 66.7, "movePercentileFullHistory": 68.1, "currentLevelPercentileFullHistory": 47.9, "classificationPercentile": 68.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 } } }, { "tenor": "9M", "targetExpiry": 1812817740455, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.39, "previous": 40.65, "change": -0.26, "percentChange": -0.64 }, "rr25": { "current": -0.62, "previous": -0.84, "change": 0.22, "percentChange": 26.19 }, "bf25": { "current": 2.72, "previous": 2.66, "change": 0.06, "percentChange": 2.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.26, "movePercentile30d": 50.0, "movePercentileFullHistory": 64.5, "currentLevelPercentileFullHistory": 1.4, "classificationPercentile": 64.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 40.0, "movePercentileFullHistory": 58.9, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 58.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 141, "levelObservationsFullHistory": 142 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 56.7, "movePercentileFullHistory": 51.8, "currentLevelPercentileFullHistory": 67.6, 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Bitcoin’s 24-hour spot-index return was -0.37%, while one-week ATM IV of 34.76% remained 3.34 points above seven-day realised volatility, according to DerivaSys data.", "days": [ { "reportDate": "2026-09-12", "headline": "Bitcoin skew tilts toward puts", "summary": "One-week relative put-side volatility increased, with no qualifying market-moving news retained. 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": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options turn more defensive as one-week skew shifts", "standfirst": "Bitcoin one-week RR25 fell 0.48 volatility points to -0.37%, shifting relative volatility toward puts and leaving puts richer than calls at the cutoff. Bitcoin’s 24-hour spot-index return was -0.37%, while one-week ATM IV of 34.76% remained 3.34 points above seven-day realised volatility, according to DerivaSys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned BTC volatility context. The crypto-minus-SPX realised-volatility spread was 24.32 points, at the 36.6 percentile across 232 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 24.32 points, at the 36.6 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 35.17, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 19.32999984741211, "ivRatio": 2.220328261439697, "cryptoRealisedVol20d": 33.31220374566346, "spxRealisedVol20": 8.992020679301438, "rvSpread": 24.32018306636202, "rvRatio": 3.704640473341458, "rvSpreadPercentile": 36.63793103448276, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 62.06896551724138, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.16726767880446927, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.296114552075957, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. 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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": "2026-09-12T16:29:00+00:00", "spotWindowStart": "2026-09-11T16:29:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.26, "rv24hPercent": 37.2, "rv7dPercent": 45.57, "rv30dPercent": 54.07, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.48, "oneWeekIvMinus7dRvPoints": 2.91, "oneWeekIvMinus24hRvPoints": 11.28, "oneWeekIvMinus30dRvPoints": -5.59 }, "fitQuality": { "currentObjective": 0.42699563, "previousObjective": 0.03879196, "currentLiveError": 227.96922003, "previousLiveError": 16.45329124 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s one-week options skew swings toward puts", "executiveSummary": "Ether’s clearest surface change was the one-week RR25 decline to -1.16%, placing put volatility above call volatility on that measure. Front-end ATM IV also fell by 1.91 points on average.", "evidenceIds": [ "rr25", "realised-vol", "front-atm" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item supports a causal link to Ether’s options repricing; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:29 UTC cutoff, 1W ATM IV was 48.48%, 2.91 volatility points above seven-day realised volatility of 45.57%; 24-hour realised volatility was 37.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.91 volatility points to 49.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.01 volatility points to 54.28% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -3.12 volatility points at 1W, to 48.48%.", "tenor": "1W", "value": -3.12 } ] }, "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": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 5, "hasMore": false, "nextCursor": null, "resultSha256": "498fd1abae5bc2fe9cc33bac748debc03af822fb970b0aa34f765e2aa83a43c9" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "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 3.76 volatility points toward puts to -1.16%, leaving puts richer than calls; this was a notable move at the 88th percentile among 25 comparable historical observations. At the cutoff, realised volatility measured 37.20% over 24 hours, 45.57% over seven days and 54.07% over 30 days. Front-end ATM IV averaged 49.29%, -1.91 points from the prior snapshot, while the long end averaged 54.28%, +0.01 points. 1W ATM IV fell 3.12 volatility points to 48.48%. 1M BF25 rose 0.40 volatility points to 3.36%. The nearest eligible forward, 15SEP26, fell $34.60 (-1.35%) to $2,533.69. 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 48.48%, 2.91 volatility points above seven-day realised volatility of 45.57%; 24-hour realised volatility was 37.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.91 volatility points to 49.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.01 volatility points to 54.28% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -0.52% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.10 volatility points to 3.13% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -3.12 volatility points at 1W, to 48.48%.", "tenor": "1W", "value": -3.12 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.18, "rr25Change": -1.33, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 48.48, "previous": 51.6, "change": -3.12, "historicalSignificance": { "absoluteMove": 3.12, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 64.3, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } }, "frontEndAverageAtm": { "current": 49.29, "previous": 51.2, "change": -1.91 }, "longEndAverageAtm": { "current": 54.28, "previous": 54.27, "change": 0.01 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.16, "previous": 2.6, "change": -3.76, "historicalSignificance": { "absoluteMove": 3.76, "movePercentile30d": 85.7, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 88.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1M", "current": 3.36, "previous": 2.96, "change": 0.4, "historicalSignificance": { "absoluteMove": 0.4, "movePercentile30d": 85.7, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } }, "nearestEligibleForwardMove": { "label": "15SEP26", "daysToExpiry": 2.647, "current": 2533.69, "previous": 2568.29, "change": -34.6, "percentChange": -1.35 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789835340702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.48, "previous": 51.6, "change": -3.12, "percentChange": -6.05 }, "rr25": { "current": -1.16, "previous": 2.6, "change": -3.76, "percentChange": -144.62 }, "bf25": { "current": 3.14, "previous": 3.12, "change": 0.02, "percentChange": 0.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.12, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 64.3, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 85.7, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 88.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 4.8, "movePercentileFullHistory": 8.0, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 8.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "2W", "targetExpiry": 1790440140702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.41, "previous": 50.99, "change": -1.58, "percentChange": -3.1 }, "rr25": { "current": -0.94, "previous": 0.41, "change": -1.35, "percentChange": -329.27 }, "bf25": { "current": 2.84, "previous": 2.51, "change": 0.33, "percentChange": 13.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.58, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 57.1, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 1.35, "movePercentile30d": 61.9, "movePercentileFullHistory": 68.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 68.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.33, "movePercentile30d": 85.7, "movePercentileFullHistory": 76.0, "currentLevelPercentileFullHistory": 60.7, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "1M", "targetExpiry": 1791822540702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 49.97, "previous": 51.0, "change": -1.03, "percentChange": -2.02 }, "rr25": { "current": -0.3, "previous": 0.92, "change": -1.22, "percentChange": -132.61 }, "bf25": { "current": 3.36, "previous": 2.96, "change": 0.4, "percentChange": 13.51 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.03, "movePercentile30d": 47.6, "movePercentileFullHistory": 48.0, "currentLevelPercentileFullHistory": 35.7, "classificationPercentile": 48.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 1.22, "movePercentile30d": 81.0, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 42.9, "classificationPercentile": 84.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.4, "movePercentile30d": 85.7, "movePercentileFullHistory": 80.0, "currentLevelPercentileFullHistory": 89.3, "classificationPercentile": 85.7, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "3M", "targetExpiry": 1797092940702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.75, "previous": 52.91, "change": -0.16, "percentChange": -0.3 }, "rr25": { "current": -0.07, "previous": -0.06, "change": -0.01, "percentChange": -16.67 }, "bf25": { "current": 3.31, "previous": 3.26, "change": 0.05, "percentChange": 1.53 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.16, "movePercentile30d": 23.8, "movePercentileFullHistory": 28.0, "currentLevelPercentileFullHistory": 46.4, "classificationPercentile": 28.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 4.0, "currentLevelPercentileFullHistory": 39.3, "classificationPercentile": 4.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 28.6, "movePercentileFullHistory": 32.0, "currentLevelPercentileFullHistory": 92.9, "classificationPercentile": 32.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } }, { "tenor": "6M", "targetExpiry": 1804955340702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.28, "previous": 54.27, "change": 0.01, "percentChange": 0.02 }, "rr25": { "current": -0.15, "previous": 0.15, "change": -0.3, "percentChange": -200.0 }, "bf25": { "current": 2.99, "previous": 3.27, "change": -0.28, "percentChange": -8.56 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, 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25, "levelObservationsFullHistory": 28 } } }, { "tenor": "1Y", "targetExpiry": 1820766540702, "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": "13SEP26", "expiry": 1789286400000, "tauYears": 0.00177132, "daysToExpiry": 0.647, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2532.66, "previous": 2567.49, "change": -34.83, "percentChange": -1.36 }, "atmIv": { "current": 24.61, "previous": 39.71, "change": -15.1, "percentChange": -38.03 }, "rr25": { "current": 0.59, "previous": 1.48, "change": -0.89, "percentChange": -60.14 }, "bf25": { "current": 0.49, "previous": 1.84, "change": -1.35, "percentChange": -73.37 }, "svi": { "a": { "current": -0.0413, "previous": -0.0906, "change": 0.0493, "percentChange": 54.4 }, "b": { "current": 0.0596, "previous": 0.1337, "change": -0.0741, "percentChange": -55.42 }, "rho": { "current": 0.0368, "previous": 0.0592, "change": -0.0223, "percentChange": -37.74 }, "m": { "current": 0.0215, "previous": 0.0337, "change": -0.0123, "percentChange": -36.35 }, "sigma": { "current": 0.6955, "previous": 0.6842, "change": 0.0112, "percentChange": 1.64 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 143.4189, 136.6674, 129.886, 123.0781, 116.2471, 109.3977, 102.5354, 95.6668, 88.8005, 81.9476, 75.1225, 68.3447, 61.6418, 55.0533, 48.6384, 42.4891, 36.7525, 31.6675, 27.6099, 25.0948, 24.6092, 26.2712, 29.7253, 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-3.2534, -5.1663, -6.7885, -7.8981, -8.3004, -7.9402, -6.9351, -5.493, -3.8087, -2.019, -0.2042, 1.5939, 3.3568, 5.0781, 6.7575, 8.398, 10.003, 11.5766, 13.1228, 14.6448, 16.1455, 17.6277, 19.0935, 20.5448, 21.9832 ] }, { "label": "15SEP26", "values": [ 19.1436, 18.0717, 16.9806, 15.8684, 14.7326, 13.5704, 12.3785, 11.1533, 9.8909, 8.5869, 7.237, 5.838, 4.3884, 2.8902, 1.3522, -0.2057, -1.7486, -3.2211, -4.548, -5.6428, -6.4268, -6.852, -6.9158, -6.658, -6.1419, -5.436, -4.5999, -3.6806, -2.7117, -1.7166, -0.7106, 0.2965, 1.2981, 2.2908, 3.2722, 4.2412, 5.1973, 6.1405, 7.0708, 7.9886, 8.8943 ] }, { "label": "18SEP26", "values": [ 16.9584, 16.0615, 15.1417, 14.198, 13.2293, 12.2344, 11.2125, 10.163, 9.0855, 7.9809, 6.8509, 5.6987, 4.5299, 3.3528, 2.1793, 1.0252, -0.0899, -1.1428, -2.1083, -2.9616, -3.6808, -4.2502, -4.6617, -4.9156, -5.0203, -4.9893, -4.8401, -4.5912, -4.2608, -3.8654, -3.4197, -2.9361, -2.4249, -1.8942, -1.3508, -0.8, -0.246, 0.3081, 0.8595, 1.4066, 1.9478 ] }, { "label": "25SEP26", "values": [ 4.2221, 3.9096, 3.5951, 3.2791, 2.962, 2.6442, 2.3264, 2.0092, 1.6937, 1.3811, 1.0723, 0.7691, 0.4732, 0.1862, -0.0896, -0.3524, -0.5998, -0.8299, -1.0405, -1.2298, -1.3964, -1.5392, -1.6573, -1.7507, -1.8195, -1.8643, -1.8862, -1.8866, -1.867, -1.8292, -1.775, -1.7063, -1.6248, -1.5323, -1.4305, -1.3207, -1.2044, -1.0829, -0.957, -0.8279, -0.6963 ] }, { "label": "2OCT26", "values": [ 6.5238, 6.0417, 5.5547, 5.0639, 4.5705, 4.0764, 3.5831, 3.0929, 2.6079, 2.1307, 1.6642, 1.2113, 0.7752, 0.3591, -0.0335, -0.3993, -0.7353, -1.0384, -1.3061, -1.5362, -1.7274, -1.8786, -1.9896, -2.061, -2.0935, -2.089, -2.0496, -1.9776, -1.8759, -1.7475, -1.5953, -1.4226, -1.232, -1.0266, -0.8089, -0.5813, -0.346, -0.1052, 0.1394, 0.3863, 0.6342 ] }, { "label": "30OCT26", "values": [ 0.9039, 0.8253, 0.7465, 0.6677, 0.589, 0.5105, 0.4326, 0.3553, 0.2789, 0.2036, 0.1297, 0.0573, -0.0133, -0.0819, -0.1483, -0.2122, -0.2733, -0.3317, -0.3871, -0.4393, -0.4883, -0.5338, -0.5759, -0.6144, -0.6495, -0.6812, -0.7094, -0.7342, -0.7557, -0.774, -0.7893, -0.8016, -0.8112, -0.8182, -0.8227, -0.8247, -0.8248, -0.8227, -0.819, -0.8135, -0.8065 ] }, { "label": "27NOV26", "values": [ 0.5163, 0.4645, 0.4148, 0.367, 0.3214, 0.278, 0.2368, 0.1982, 0.1618, 0.1279, 0.0966, 0.0677, 0.0414, 0.0177, -0.0036, -0.0224, -0.0387, -0.0527, -0.0644, -0.0737, -0.081, -0.0861, -0.0892, -0.0905, -0.0901, -0.088, -0.0844, -0.0794, -0.0731, -0.0656, -0.0571, -0.0477, -0.0374, -0.0263, -0.0148, -0.0027, 0.0099, 0.0228, 0.036, 0.0494, 0.0629 ] }, { "label": "25DEC26", "values": [ -0.1979, -0.2142, -0.2287, -0.2413, -0.2522, -0.2613, -0.2689, -0.2748, -0.2792, -0.282, -0.2836, -0.2838, -0.2828, -0.2807, -0.2778, -0.2739, -0.2692, -0.2638, -0.258, -0.2518, -0.2452, -0.2384, -0.2316, -0.2247, -0.2179, -0.2113, -0.205, -0.1989, -0.1933, -0.188, -0.1832, -0.1789, -0.1752, -0.1719, -0.1693, -0.1672, -0.1658, -0.1649, -0.1645, -0.1646, -0.1653 ] }, { "label": "26MAR27", "values": [ -0.0655, -0.0451, -0.0262, -0.0087, 0.0072, 0.0216, 0.0344, 0.0458, 0.0557, 0.0641, 0.071, 0.0765, 0.0805, 0.0832, 0.0845, 0.0844, 0.0831, 0.0806, 0.0769, 0.0721, 0.0662, 0.0593, 0.0515, 0.0427, 0.0331, 0.0227, 0.0114, -0.0004, -0.0129, -0.0259, -0.0395, -0.0535, -0.068, -0.0827, -0.0979, -0.1133, -0.129, -0.1449, -0.1609, -0.1771, -0.1933 ] }, { "label": "25JUN27", "values": [ -0.078, -0.0718, -0.0661, -0.0609, -0.0561, -0.0517, -0.048, -0.0447, -0.042, -0.0397, -0.0381, -0.0368, -0.0362, -0.0361, -0.0365, -0.0374, -0.0389, -0.0408, -0.0433, -0.0462, -0.0496, -0.0535, -0.0578, -0.0626, -0.0679, -0.0734, -0.0794, -0.0858, -0.0925, -0.0996, -0.107, -0.1146, -0.1226, -0.1309, -0.1393, -0.148, -0.1569, -0.1661, -0.1754, -0.1849, -0.1945 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "headline": "Ether options turn defensive as one-week skew swings toward puts", "standfirst": "Ether one-week RR25 dropped 3.76 volatility points to -1.16%, a notable shift toward relative put-side volatility at the 16:29 UTC cutoff. Ether’s 24-hour spot-index return was -1.26%, while one-week ATM IV of 48.48% sat 2.91 points above seven-day realised volatility, according to DerivaSys data.", "days": [ { "reportDate": "2026-09-12", "headline": "Ether skew makes a defensive turn", "summary": "The one-week skew change was notable, while no qualifying news catalyst was retained.", "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 defensive as one-week skew swings toward puts", "standfirst": "Ether one-week RR25 dropped 3.76 volatility points to -1.16%, a notable shift toward relative put-side volatility at the 16:29 UTC cutoff. Ether’s 24-hour spot-index return was -1.26%, while one-week ATM IV of 48.48% sat 2.91 points above seven-day realised volatility, according to DerivaSys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned ETH volatility context. The crypto-minus-SPX realised-volatility spread was 25.34 points, at the 7.4 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 25.34 points, at the 7.4 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.25, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 34.40999984741211, "ivRatio": 3.172348454289018, "cryptoRealisedVol20d": 34.32767262539102, "spxRealisedVol20": 8.992020679301438, "rvSpread": 25.335651946089577, "rvRatio": 3.8175704716081484, "rvSpreadPercentile": 7.423580786026201, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 24.017467248908297, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": -0.003322401294194273, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2572700402440163, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789835340702, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.48, "previous": 51.6, "change": -3.12, "percentChange": -6.05 }, "rr25": { "current": -1.16, "previous": 2.6, "change": -3.76, "percentChange": -144.62 }, "bf25": { "current": 3.14, "previous": 3.12, "change": 0.02, "percentChange": 0.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.12, "movePercentile30d": 57.1, "movePercentileFullHistory": 64.0, "currentLevelPercentileFullHistory": 64.3, "classificationPercentile": 64.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "rr25": { "absoluteMove": 3.76, "movePercentile30d": 85.7, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 21.4, "classificationPercentile": 88.0, "label": "notable", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 4.8, "movePercentileFullHistory": 8.0, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 8.0, "label": "routine", "observations30d": 21, "observationsFullHistory": 25, "levelObservationsFullHistory": 28 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-12", "generatedAt": "2026-09-12T16:40:31+00:00", "currentSnapshotAt": "2026-09-12T16:29:00+00:00", "previousSnapshotAt": "2026-09-11T16:29:00+00:00", "sourceSnapshots": { "current": { "id": 346342, "timestamp": "2026-09-12T16:29:00+00:00" }, "previous": { "id": 336263, "timestamp": "2026-09-11T16:29:00+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 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.01498056, "previousObjective": 0.05786273, "currentLiveError": 7.93271287, "previousLiveError": 25.08470804 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "14SEP26" ], "removedExpiries": [ "12SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s options surface rotates lower with limited ATM change", "executiveSummary": "Solana’s surface rotation was lower, yet the front-end ATM IV average rose modestly to 51.32%. Two-week RR25 declined 0.92 points toward puts but remained call-rich at 4.49%.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "No report-relevant news context qualified for retention.", "marketContextSummary": "No retained news item provides a supported explanation for Solana’s surface repricing; causal confidence is low.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.17 volatility points to 51.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.04 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 3.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 2W, to 51.38%.", "tenor": "2W", "value": 0.64 } ] }, "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": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-11T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "47e432d62043f2e5100cbd83276aa24b9fe5d6ff34aecbfbb971397291e3be1c" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-12T16:29:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-05T16:29:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 20, "hasMore": false, "nextCursor": null, "resultSha256": "354c4cbfc35f5d3d42cbb831cdb40b3b0d424c5c02cf2deff05ca0d298a8f302" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 1, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 53, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 0, "feedEntriesScanned": 0, "articlesPassingTimeFilter": 0, "articlesPassingSourceRelevanceRules": 0, "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 0.92 volatility points toward puts to 4.49%, leaving calls richer than puts. Front-end ATM IV averaged 51.32%, +0.17 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 2W ATM IV rose 0.64 volatility points to 51.38%. 2W BF25 fell 0.44 volatility points to 3.25%. The nearest eligible forward, 18SEP26, rose $0.16 (+0.16%) to $102.03. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 93, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.17 volatility points to 51.32% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 was broadly unchanged, averaging -0.04 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.12 volatility points to 3.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 2W, to 51.38%.", "tenor": "2W", "value": 0.64 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.16, "rr25Change": -0.04, "bf25Change": -0.12, "largestAtmMove": { "tenor": "2W", "current": 51.38, "previous": 50.74, "change": 0.64, "historicalSignificance": { "absoluteMove": 0.64, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 } }, "frontEndAverageAtm": { "current": 51.32, "previous": 51.15, "change": 0.17 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, 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0.5867, 0.5477, 0.5101, 0.474, 0.4395, 0.4067, 0.3757, 0.3466, 0.3194, 0.2943, 0.2713, 0.2504, 0.2317, 0.2153, 0.2009, 0.1887, 0.1786, 0.1704, 0.1642, 0.1598, 0.1571, 0.156, 0.1563, 0.158, 0.1607, 0.1645, 0.1691, 0.1745, 0.1804, 0.1867, 0.1935, 0.2004, 0.2075, 0.2146, 0.2216, 0.2285, 0.2353, 0.2417, 0.2479, 0.2538 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "headline": "Solana options soften across strikes while front-end volatility edges higher", "standfirst": "Solana’s options surface rotated lower across strikes, while front-end ATM IV increased only 0.17 volatility points on average to 51.32%. The largest standard-tenor ATM IV change was a 0.64-point rise in two-week ATM IV to 51.38%; realised-volatility comparisons were unavailable at the cutoff.", "days": [ { "reportDate": "2026-09-12", "headline": "Solana volatility edges higher at the front", "summary": "A lower strike-surface rotation accompanied a small front-end ATM volatility increase without qualifying news context.", "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 soften across strikes while front-end volatility edges higher", "standfirst": "Solana’s options surface rotated lower across strikes, while front-end ATM IV increased only 0.17 volatility points on average to 51.32%. The largest standard-tenor ATM IV change was a 0.64-point rise in two-week ATM IV to 51.38%; realised-volatility comparisons were unavailable at the cutoff.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX session and aligned SOL volatility context. The crypto-to-SPX realised-volatility ratio was 7.77, at the 78.3 percentile across 226 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 7.77, at the 78.3 percentile across 226 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.38, "vix": 15.84000015258789, "vix9d": 14.470000267028809, "vix3m": 18.600000381469727, "ivSpread": 36.53999984741211, "ivRatio": 3.3068181499633584, "cryptoRealisedVol20d": 69.88084875417255, "spxRealisedVol20": 8.992020679301438, "rvSpread": 60.88882807487111, "rvRatio": 7.771428830788829, "rvSpreadPercentile": 46.46017699115044, "rvSpreadPercentileSampleCount": 226, "rvRatioPercentile": 78.31858407079646, "rvRatioPercentileSampleCount": 226, "returnCorrelation30": 0.24051425359297446, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2954398922716925, "returnCorrelation60SampleCount": 60 }, "methodology": "DerivaSys persisted market-context-v1. Crypto RV is annualised using sqrt(365); SPX RV uses sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789835340867, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.01, "previous": 50.46, "change": -0.45, "percentChange": -0.89 }, "rr25": { "current": 4.5, "previous": 4.05, "change": 0.45, "percentChange": 11.11 }, "bf25": { "current": 3.68, "previous": 3.99, "change": -0.31, "percentChange": -7.77 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, "observationsFullHistory": 15, "levelObservationsFullHistory": 16 }, "rr25": { "absoluteMove": 0.45, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 15, 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"rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": 34.76, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": -0.45, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -1.58, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -3.12, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -3.12, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -1.58, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -0.45, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": 3.34, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 2.91, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 4.5, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": -0.37, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "ETH", "value": -1.16, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": -1.16, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "BTC", "value": -0.37, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 4.5, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "BTC", "value": -0.37, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -1.26, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": -3.12, "groupMedian": -1.58, "distanceFromMedian": -1.54 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 34.76, "groupMedian": 48.48, "distanceFromMedian": -13.72 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 4.5, "groupMedian": -0.37, "distanceFromMedian": 4.87 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 0.43, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "BTC screens richest and ETH cheapest on one-week implied volatility versus seven-day realised volatility, with a 0.43-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 14, "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": 0.8095, "observations": 15 }, { "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": "SOL", "laggard": "ETH", "highest": -0.45, "lowest": -3.12, "spread": 2.67, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.12, "values": [ { "asset": "BTC", "value": -1.58 }, { "asset": "ETH", "value": -3.12 }, { "asset": "SOL", "value": -0.45 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 50.01, "lowest": 34.76, "spread": 15.25, "highestToLowestRatio": 1.4387, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.01, "values": [ { "asset": "BTC", "value": 34.76 }, { "asset": "ETH", "value": 48.48 }, { "asset": "SOL", "value": 50.01 } ], "previousSpread": 15.26, "spreadChange": -0.01, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 4.5, "lowest": -1.16, "spread": 5.66, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.5, "values": [ { "asset": "BTC", "value": -0.37 }, { "asset": "ETH", "value": -1.16 }, { "asset": "SOL", "value": 4.5 } ], "previousSpread": 3.94, "spreadChange": 1.72, "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": "BTC", "laggard": "ETH", "highest": 3.34, "lowest": 2.91, "spread": 0.43, "highestToLowestRatio": 1.1478, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 3.34, "values": [ { "asset": "BTC", "value": 3.34 }, { "asset": "ETH", "value": 2.91 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": -0.37, "lowest": -1.26, "spread": 0.89, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.26, "values": [ { "asset": "BTC", "value": -0.37 }, { "asset": "ETH", "value": -1.26 }, { "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": "2026-09-12T16:29:00+00:00", "window": { "startAt": "2026-09-11T16:29:00+00:00", "endAt": "2026-09-12T16:29:00+00:00", "endExclusive": true }, "headline": "Major-coin options compress as Ether drives the volatility reset", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana, but the adjustment was uneven: Ether fell 3.12 volatility points, Bitcoin declined 1.58 points and Solana eased 0.45 points. That left a 2.67-point cross-asset dispersion in daily one-week ATM IV changes at the cutoff.", "days": [ { "reportDate": "2026-09-12", "headline": "Major-coin volatility reset led by Ether", "summary": "Ether led one-week implied-volatility compression while Solana preserved the highest call-rich skew.", "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": -0.64, "rr25Change": -0.43, "bf25Change": -0.016666666666666663 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether leads a differentiated major-coin volatility decline", "executiveSummary": "The major-coin complex compressed in one-week ATM IV, with Ether’s 3.12-point decline exceeding Bitcoin’s 1.58-point fall and Solana’s 0.45-point easing. Solana nevertheless held the highest one-week RR25 at 4.50%, versus Ether’s -1.16%.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-rr25-dispersion", "eth-daily", "sol-daily" ], "newsSummary": "No comparative news context qualified for retention.", "marketContextSummary": "No retained news item specifically explains the relative options moves across major coins.", "marketContext": [], "newsEvidenceIds": [] } }