{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:59+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "headline": "Major-coin options raise near-term volatility with Solana leading", "standfirst": "At the 16:30 UTC cutoff, Solana's one-week at-the-money implied-volatility reading was 53.92%, up 4.05 volatility points—the largest increase across the major-coin options markets. At-the-money implied volatility is the market's estimate of expected price movement centred on the prevailing price.\n\nEther's one-week at-the-money implied-volatility reading reached 52.42%, an increase of 3.94 volatility points, while Bitcoin's one-week at-the-money implied-volatility reading reached 38.10%, an increase of 3.33 volatility points. The Solana–Bitcoin one-week at-the-money implied-volatility change range was 0.72 volatility points. The Solana–Bitcoin one-week at-the-money implied-volatility level gap was 15.82 volatility points after widening by 0.72 volatility points.\n\nSolana's one-week 25-delta risk reversal, which compares call and put implied volatility, fell 2.59 volatility points toward puts to 1.89%, while remaining call-rich. The Solana–Ether one-week 25-delta risk-reversal level gap narrowed by 2.28 volatility points to 3.37 volatility points. Derivasys data underpin these options-market observations.", "marketSummary": "SOL, Ether and Bitcoin each registered a higher one-week ATM IV reading, with SOL posting the largest increase at 4.05 points. The three markets rose together, although Bitcoin remained the lowest-volatility market by level.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-13", "artifactId": "sha256:1fcd00341646deea1392b03d4a841c138d05b319e5947bca7ff591662ec196a4", "contentSha256": "af7ce3ae42515d8b26e646315fdc1808dffffe82cedafccf3b6ab6bdd5e7045c", "currentSnapshotId": 356453, "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotId": 346346, "previousSnapshotAt": "2026-09-12T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-13", "artifactId": "sha256:17ec0b96e0cec71151e0ecaef84c88db9aecc862e36998a02fd12d455b908140", "contentSha256": "de3fe12084086c331d682b2e73c406913a042feefb44545e415246bbd4fd1a8e", "currentSnapshotId": 356449, "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotId": 346348, "previousSnapshotAt": "2026-09-12T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-13", "artifactId": "sha256:126ce6ac38f39181e5a0d098c904bd59b0a79009e556dadba8252e1d0a0296a8", "contentSha256": "acf39861467587780e7fffbb83a5ac1c45b8284109df70a0b490436ef0a7ea8b", "currentSnapshotId": 356454, "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotId": 346344, "previousSnapshotAt": "2026-09-12T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:26+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356453, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346346, "timestamp": "2026-09-12T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 48, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-09-13T16:30:00+00:00", "spotWindowStart": "2026-09-12T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.18, "rv24hPercent": 15.53, "rv7dPercent": 31.14, "rv30dPercent": 39.26, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 38.1, "oneWeekIvMinus7dRvPoints": 6.96, "oneWeekIvMinus24hRvPoints": 22.57, "oneWeekIvMinus30dRvPoints": -1.16 }, "fitQuality": { "currentObjective": 0.13239087, "previousObjective": 0.03404787, "currentLiveError": 106.56768758, "previousLiveError": 60.99439653 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility rises above recent realised movement", "executiveSummary": "Bitcoin one-week ATM IV reached 38.10% after a 3.33-point increase, a notable move in the available history. The front-end lift contrasted with little movement in long-dated ATM IV, leaving the increase concentrated in near-term options.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "bf25" ], "newsSummary": "No qualifying Bitcoin or broader-market news context was retained.", "marketContextSummary": "No retained news event offers a direct explanation for the Bitcoin options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 38.10%, 6.96 volatility points above seven-day realised volatility of 31.14%; 24-hour realised volatility was 15.53% and 30-day realised volatility was 39.26%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.12 volatility points to 37.00% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 39.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.18 volatility points to -0.75% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.17 volatility points to 2.29% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.33 volatility points at 1W, to 38.10%.", "tenor": "1W", "value": 3.33 } ] }, "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": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "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 rose 3.33 volatility points to 38.10%, a notable move at the 82nd percentile among 142 comparable historical observations. At the cutoff, realised volatility measured 15.53% over 24 hours, 31.14% over seven days and 39.26% over 30 days. Front-end ATM IV averaged 37.00%, +2.12 points from the prior snapshot, while the long end averaged 39.30%, +0.11 points. 1W RR25 moved 0.41 volatility points toward puts to -0.77%, leaving puts richer than calls. 1W BF25 rose 0.35 volatility points to 2.11%. The nearest eligible forward, 16SEP26, fell $132.36 (-0.17%) to $77,250.67. 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 16:30 UTC cutoff, 1W ATM IV was 38.10%, 6.96 volatility points above seven-day realised volatility of 31.14%; 24-hour realised volatility was 15.53% and 30-day realised volatility was 39.26%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.12 volatility points to 37.00% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.11 volatility points to 39.30% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.18 volatility points to -0.75% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.17 volatility points to 2.29% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.33 volatility points at 1W, to 38.10%.", "tenor": "1W", "value": 3.33 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.35, "rr25Change": -0.18, "bf25Change": 0.17, "largestAtmMove": { "tenor": "1W", "current": 38.1, "previous": 34.77, "change": 3.33, "historicalSignificance": { "absoluteMove": 3.33, "movePercentile30d": 63.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } }, "frontEndAverageAtm": { "current": 37.0, "previous": 34.88, "change": 2.12 }, "longEndAverageAtm": { "current": 39.3, "previous": 39.19, "change": 0.11 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.77, "previous": -0.36, "change": -0.41, "historicalSignificance": { "absoluteMove": 0.41, "movePercentile30d": 36.7, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 82.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.11, "previous": 1.76, "change": 0.35, "historicalSignificance": { "absoluteMove": 0.35, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } }, "nearestEligibleForwardMove": { "label": "16SEP26", "daysToExpiry": 2.646, "current": 77250.67, "previous": 77383.03, "change": -132.36, "percentChange": -0.17 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.1, "previous": 34.77, "change": 3.33, "percentChange": 9.58 }, "rr25": { "current": -0.77, "previous": -0.36, "change": -0.41, "percentChange": -113.89 }, "bf25": { "current": 2.11, "previous": 1.76, "change": 0.35, "percentChange": 19.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.33, "movePercentile30d": 63.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 36.7, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 82.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "2W", "targetExpiry": 1790526600558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.54, "previous": 34.46, "change": 2.08, "percentChange": 6.04 }, "rr25": { "current": -0.67, "previous": -0.5, "change": -0.17, "percentChange": -34.0 }, "bf25": { "current": 2.15, "previous": 1.88, "change": 0.27, "percentChange": 14.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 59.4, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.17, "movePercentile30d": 23.3, "movePercentileFullHistory": 18.3, "currentLevelPercentileFullHistory": 84.6, "classificationPercentile": 23.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.27, "movePercentile30d": 76.7, "movePercentileFullHistory": 73.2, "currentLevelPercentileFullHistory": 65.7, "classificationPercentile": 76.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "1M", "targetExpiry": 1791909000558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.36, "previous": 35.4, "change": 0.96, "percentChange": 2.71 }, "rr25": { "current": -0.88, "previous": -0.75, "change": -0.13, "percentChange": -17.33 }, "bf25": { "current": 2.28, "previous": 2.11, "change": 0.17, "percentChange": 8.06 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.96, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.1, "currentLevelPercentileFullHistory": 49.0, "classificationPercentile": 64.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.13, "movePercentile30d": 20.0, "movePercentileFullHistory": 16.2, "currentLevelPercentileFullHistory": 86.0, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "3M", "targetExpiry": 1797179400558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.23, "previous": 37.96, "change": 0.27, "percentChange": 0.71 }, "rr25": { "current": -0.65, "previous": -0.51, "change": -0.14, "percentChange": -27.45 }, "bf25": { "current": 2.33, "previous": 2.27, "change": 0.06, "percentChange": 2.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.27, "movePercentile30d": 33.3, "movePercentileFullHistory": 41.5, "currentLevelPercentileFullHistory": 37.1, "classificationPercentile": 41.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.14, "movePercentile30d": 30.0, "movePercentileFullHistory": 25.4, "currentLevelPercentileFullHistory": 90.2, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 26.7, "movePercentileFullHistory": 35.2, "currentLevelPercentileFullHistory": 42.7, "classificationPercentile": 35.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "6M", "targetExpiry": 1805041800558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.3, "previous": 39.19, "change": 0.11, "percentChange": 0.28 }, "rr25": { "current": -0.76, "previous": -0.72, "change": -0.04, "percentChange": -5.56 }, "bf25": { "current": 2.56, "previous": 2.58, "change": -0.02, "percentChange": -0.78 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": 20.0, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 26.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 3.3, "movePercentileFullHistory": 9.2, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 9.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 13.4, "currentLevelPercentileFullHistory": 45.5, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "9M", "targetExpiry": 1812904200558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.41, "previous": 40.39, "change": 0.02, "percentChange": 0.05 }, "rr25": { "current": -0.64, "previous": -0.62, "change": -0.02, "percentChange": -3.23 }, "bf25": { "current": 2.7, "previous": 2.72, "change": -0.02, "percentChange": -0.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.8, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 2.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": 6.7, "movePercentileFullHistory": 4.2, "currentLevelPercentileFullHistory": 87.4, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 16.7, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 63.6, "classificationPercentile": 16.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } }, { "tenor": "1Y", "targetExpiry": 1820853000558, "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": "14SEP26", "expiry": 1789372800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 77221.48, "previous": 77360.02, "change": -138.54, "percentChange": -0.18 }, "atmIv": { "current": 28.08, "previous": 21.15, "change": 6.93, "percentChange": 32.77 }, "rr25": { "current": -1.45, "previous": 0.28, "change": -1.73, "percentChange": -617.86 }, "bf25": { "current": 1.03, "previous": 1.06, "change": -0.03, "percentChange": -2.83 }, "svi": { "a": { "current": -0.0425, "previous": -0.0218, "change": -0.0206, "percentChange": -94.61 }, "b": { "current": 0.0821, "previous": 0.0681, "change": 0.0141, "percentChange": 20.66 }, "rho": { "current": -0.094, "previous": 0.016, "change": -0.1101, "percentChange": -687.17 }, "m": { "current": -0.0436, "previous": 0.004, "change": -0.0476, "percentChange": -1186.96 }, "sigma": { "current": 0.5211, "previous": 0.3236, "change": 0.1975, "percentChange": 61.02 } }, "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": [ 201.8211, 192.5532, 183.225, 173.8408, 164.4059, 154.9262, 145.4089, 135.8622, 126.2964, 116.7235, 107.1591, 97.6228, 88.1408, 78.7491, 69.5003, 60.4743, 51.8001, 43.6968, 36.55, 31.0247, 28.0822, 28.5122, 32.1542, 38.0702, 45.3515, 53.4155, 61.9307, 70.7088, 79.6382, 88.6497, 97.6982, 106.7527, 115.7916, 124.7989, 133.7627, 142.6738, 151.5254, 160.3117, 169.0286, 177.6725, 186.2409 ], "previous": [ 133.7514, 128.0487, 122.2581, 116.3799, 110.415, 104.3652, 98.2335, 92.0241, 85.7434, 79.4, 73.0059, 66.578, 60.1396, 53.7248, 47.3837, 41.1943, 35.2831, 29.8638, 25.3015, 22.1732, 21.1536, 22.5421, 25.9521, 30.7042, 36.2545, 42.2655, 48.5398, 54.9594, 61.451, 67.9663, 74.4727, 80.947, 87.3725, 93.7371, 100.0318, 106.2502, 112.3874, 118.4405, 124.4072, 130.2864, 136.0776 ], "change": [ 68.0697, 64.5045, 60.9669, 57.4609, 53.9909, 50.561, 47.1754, 43.8381, 40.553, 37.3235, 34.1532, 31.0448, 28.0012, 25.0243, 22.1166, 19.28, 16.517, 13.833, 11.2485, 8.8515, 6.9286, 5.9701, 6.2021, 7.366, 9.097, 11.15, 13.3909, 15.7494, 18.1872, 20.6834, 23.2255, 25.8057, 28.4191, 31.0618, 33.7309, 36.4236, 39.138, 41.8712, 44.6214, 47.3861, 50.1633 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 21.436, "rotation": -10.928, "wingChange": 21.761, "rmsChange": 35.127 } }, { "label": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 77225.57, "previous": 77378.15, "change": -152.58, "percentChange": -0.2 }, "atmIv": { "current": 32.07, "previous": 25.74, "change": 6.33, "percentChange": 24.59 }, "rr25": { "current": -0.66, "previous": 0.39, "change": -1.05, "percentChange": -269.23 }, "bf25": { "current": 1.7, "previous": 1.47, "change": 0.23, "percentChange": 15.65 }, "svi": { "a": { "current": -0.0376, "previous": -0.0354, "change": -0.0022, "percentChange": -6.2 }, "b": { "current": 0.0927, "previous": 0.0929, "change": -0.0002, "percentChange": -0.19 }, "rho": { "current": -0.0517, "previous": 0.0219, "change": -0.0737, "percentChange": -335.99 }, "m": { "current": -0.0183, "previous": 0.0068, "change": -0.0251, "percentChange": -369.48 }, "sigma": { "current": 0.4115, "previous": 0.3868, "change": 0.0247, "percentChange": 6.38 } }, "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": [ 148.5419, 142.1085, 135.6151, 129.0653, 122.4643, 115.8183, 109.1351, 102.4247, 95.6994, 88.9752, 82.2725, 75.6178, 69.0468, 62.6075, 56.3673, 50.4215, 44.9073, 40.0213, 36.0339, 33.2783, 32.0757, 32.5933, 34.7435, 38.2364, 42.7255, 47.9112, 53.5702, 59.546, 65.7305, 72.0487, 78.4478, 84.8895, 91.3461, 97.7966, 104.2254, 110.6204, 116.9723, 123.274, 129.52, 135.7062, 141.8293 ], "previous": [ 116.2398, 111.2543, 106.2135, 101.1196, 95.9759, 90.7869, 85.5581, 80.2969, 75.0131, 69.7192, 64.4318, 59.1734, 53.9742, 48.8763, 43.9392, 39.2486, 34.9292, 31.1601, 28.1855, 26.2948, 25.7406, 26.6126, 28.7811, 31.978, 35.9205, 40.3786, 45.1858, 50.2268, 55.4216, 60.7147, 66.0662, 71.4471, 76.8357, 82.2158, 87.5748, 92.9031, 98.193, 103.4388, 108.6358, 113.7806, 118.8705 ], "change": [ 32.3021, 30.8542, 29.4016, 27.9457, 26.4884, 25.0314, 23.577, 22.1278, 20.6863, 19.256, 17.8407, 16.4444, 15.0726, 13.7312, 12.4281, 11.1729, 9.9781, 8.8612, 7.8484, 6.9835, 6.3351, 5.9807, 5.9624, 6.2584, 6.805, 7.5326, 8.3844, 9.3192, 10.3089, 11.334, 12.3816, 13.4424, 14.5104, 15.5808, 16.6506, 17.7173, 18.7793, 19.8352, 20.8842, 21.9256, 22.9588 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 12.186, "rotation": -5.459, "wingChange": 8.776, "rmsChange": 17.53 } }, { "label": "16SEP26", "expiry": 1789545600000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77250.67, "previous": 77383.03, "change": -132.36, "percentChange": -0.17 }, "atmIv": { "current": 33.95, "previous": 29.22, "change": 4.73, "percentChange": 16.19 }, "rr25": { "current": -1.88, "previous": -0.76, "change": -1.12, "percentChange": -147.37 }, "bf25": { "current": 2.34, "previous": 1.54, "change": 0.8, "percentChange": 51.95 }, "svi": { "a": { "current": -0.0457, "previous": -0.0549, "change": 0.0092, "percentChange": 16.83 }, "b": { "current": 0.1156, "previous": 0.1126, "change": 0.003, "percentChange": 2.65 }, "rho": { "current": -0.0708, "previous": -0.0829, "change": 0.0121, "percentChange": 14.65 }, "m": { "current": -0.0204, "previous": -0.0362, "change": 0.0158, "percentChange": 43.61 }, "sigma": { "current": 0.4031, "previous": 0.4967, "change": -0.0936, "percentChange": -18.84 } }, "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": [ 135.6694, 129.9956, 124.272, 118.5028, 112.6931, 106.8497, 100.9806, 95.0959, 89.2085, 83.3343, 77.4937, 71.7128, 66.0254, 60.4763, 55.1256, 50.0541, 45.3714, 41.2239, 37.7986, 35.3122, 33.9722, 33.9101, 35.123, 37.4738, 40.7494, 44.7288, 49.222, 54.0812, 59.1965, 64.4874, 69.895, 75.376, 80.8982, 86.4372, 91.9747, 97.4963, 102.9913, 108.451, 113.8691, 119.2403, 124.5609 ], "previous": [ 104.4944, 100.0173, 95.5213, 91.011, 86.4917, 81.9698, 77.4532, 72.9512, 68.4754, 64.0401, 59.6631, 55.3672, 51.1814, 47.1433, 43.302, 39.7215, 36.4846, 33.6947, 31.4733, 29.9473, 29.2238, 29.3577, 30.3309, 32.059, 34.4191, 37.2811, 40.5282, 44.0645, 47.8149, 51.7221, 55.7426, 59.8434, 63.999, 68.1901, 72.4013, 76.6209, 80.8391, 85.0486, 89.2433, 93.4182, 97.5695 ], "change": [ 31.175, 29.9783, 28.7507, 27.4918, 26.2014, 24.8799, 23.5274, 22.1447, 20.7331, 19.2942, 17.8306, 16.3456, 14.844, 13.333, 11.8236, 10.3326, 8.8868, 7.5292, 6.3253, 5.3649, 4.7484, 4.5524, 4.7921, 5.4148, 6.3303, 7.4477, 8.6938, 10.0167, 11.3816, 12.7653, 14.1524, 15.5326, 16.8992, 18.2471, 19.5734, 20.8754, 22.1522, 23.4024, 24.6258, 25.8221, 26.9914 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 12.244, "rotation": -3.678, "wingChange": 11.243, "rmsChange": 18.225 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77262.58, "previous": 77411.55, "change": -148.97, "percentChange": -0.19 }, "atmIv": { "current": 39.77, "previous": 35.01, "change": 4.76, "percentChange": 13.6 }, "rr25": { "current": -1.11, "previous": -0.34, "change": -0.77, "percentChange": -226.47 }, "bf25": { "current": 2.09, "previous": 1.72, "change": 0.37, "percentChange": 21.51 }, "svi": { "a": { "current": -0.0884, "previous": -0.0669, "change": -0.0216, "percentChange": -32.3 }, "b": { "current": 0.143, "previous": 0.1227, "change": 0.0203, "percentChange": 16.52 }, "rho": { "current": -0.1053, "previous": -0.1584, "change": 0.0531, "percentChange": 33.53 }, "m": { "current": -0.0584, "previous": -0.0873, "change": 0.0289, "percentChange": 33.1 }, "sigma": { "current": 0.6361, "previous": 0.5674, "change": 0.0687, "percentChange": 12.11 } }, "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": [ 99.0576, 95.1473, 91.2515, 87.3763, 83.5287, 79.7169, 75.9507, 72.2413, 68.6019, 65.0484, 61.5993, 58.2768, 55.107, 52.1205, 49.3531, 46.8454, 44.6424, 42.7916, 41.3401, 40.3299, 39.7926, 39.7446, 40.1842, 41.0914, 42.4317, 44.1605, 46.2287, 48.5874, 51.1906, 53.9971, 56.971, 60.0816, 63.303, 66.6136, 69.9952, 73.4328, 76.9135, 80.427, 83.9642, 87.5177, 91.0812 ], "previous": [ 86.7505, 83.2613, 79.7855, 76.3291, 72.8991, 69.5037, 66.1521, 62.8555, 59.6268, 56.4812, 53.4368, 50.5148, 47.7401, 45.1419, 42.7536, 40.6128, 38.7604, 37.2381, 36.0857, 35.3364, 35.0121, 35.1198, 35.6503, 36.579, 37.8702, 39.4818, 41.3694, 43.4902, 45.8049, 48.2788, 50.8822, 53.5897, 56.38, 59.2356, 62.1416, 65.0858, 68.0581, 71.0499, 74.0542, 77.0651, 80.0776 ], "change": [ 12.3071, 11.886, 11.466, 11.0472, 10.6296, 10.2132, 9.7986, 9.3858, 8.9751, 8.5672, 8.1625, 7.762, 7.3669, 6.9786, 6.5995, 6.2326, 5.882, 5.5535, 5.2544, 4.9935, 4.7805, 4.6248, 4.5339, 4.5124, 4.5615, 4.6787, 4.8593, 5.0972, 5.3857, 5.7183, 6.0888, 6.4919, 6.923, 7.378, 7.8536, 8.347, 8.8554, 9.3771, 9.91, 10.4526, 11.0036 ], "classification": [ "parallel shift higher", "rotation towards puts", "wing steepening" ], "parallelShift": 6.344, "rotation": -2.074, "wingChange": 2.345, "rmsChange": 7.931 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77311.29, "previous": 77451.02, "change": -139.73, "percentChange": -0.18 }, "atmIv": { "current": 36.74, "previous": 34.31, "change": 2.43, "percentChange": 7.08 }, "rr25": { "current": -0.49, "previous": -0.4, "change": -0.09, "percentChange": -22.5 }, "bf25": { "current": 2.11, "previous": 1.86, "change": 0.25, "percentChange": 13.44 }, "svi": { "a": { "current": -0.0798, "previous": -0.0675, "change": -0.0123, "percentChange": -18.15 }, "b": { "current": 0.1441, "previous": 0.129, "change": 0.0151, "percentChange": 11.72 }, "rho": { "current": -0.1036, "previous": -0.1055, "change": 0.002, "percentChange": 1.85 }, "m": { "current": -0.0539, "previous": -0.0527, "change": -0.0012, "percentChange": -2.25 }, "sigma": { "current": 0.5867, "previous": 0.5583, "change": 0.0285, "percentChange": 5.1 } }, "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": [ 69.8564, 67.4876, 65.1396, 62.8177, 60.5279, 58.2768, 56.0718, 53.9217, 51.8359, 49.8252, 47.9016, 46.0783, 44.3699, 42.7921, 41.3612, 40.0943, 39.0081, 38.1186, 37.4396, 36.9824, 36.7542, 36.7578, 36.9915, 37.4486, 38.1186, 38.9876, 40.0397, 41.2575, 42.6235, 44.1203, 45.7315, 47.442, 49.2377, 51.1062, 53.0362, 55.018, 57.0427, 59.1028, 61.1916, 63.3033, 65.4327 ], "previous": [ 64.9054, 62.7168, 60.5466, 58.3997, 56.2816, 54.1987, 52.1581, 50.1678, 48.237, 46.3756, 44.5951, 42.908, 41.3278, 39.8692, 38.5478, 37.3792, 36.3792, 35.5624, 34.9416, 34.5269, 34.3249, 34.3379, 34.5639, 34.9965, 35.6255, 36.4381, 37.4191, 38.5523, 39.8214, 41.2103, 42.7037, 44.2875, 45.9489, 47.6761, 49.4588, 51.288, 53.1555, 55.0543, 56.9783, 58.9221, 60.8811 ], "change": [ 4.951, 4.7708, 4.593, 4.418, 4.2463, 4.0781, 3.9137, 3.7539, 3.5989, 3.4496, 3.3065, 3.1703, 3.0421, 2.9229, 2.8134, 2.7151, 2.6289, 2.5562, 2.498, 2.4555, 2.4293, 2.4199, 2.4276, 2.4521, 2.4931, 2.5495, 2.6206, 2.7052, 2.8021, 2.91, 3.0278, 3.1545, 3.2888, 3.4301, 3.5774, 3.73, 3.8872, 4.0485, 4.2133, 4.3812, 4.5516 ], "classification": [ "parallel shift higher", "wing steepening" ], "parallelShift": 2.921, "rotation": -0.279, "wingChange": 0.738, "rmsChange": 3.425 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.05108449, "daysToExpiry": 18.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77387.05, "previous": 77518.34, "change": -131.29, "percentChange": -0.17 }, "atmIv": { "current": 36.3, "previous": 34.86, "change": 1.44, "percentChange": 4.13 }, "rr25": { "current": -0.9, "previous": -0.76, "change": -0.14, "percentChange": -18.42 }, "bf25": { "current": 2.18, "previous": 1.94, "change": 0.24, "percentChange": 12.37 }, "svi": { "a": { "current": -0.0901, "previous": -0.0838, "change": -0.0062, "percentChange": -7.43 }, "b": { "current": 0.1627, "previous": 0.1549, "change": 0.0078, "percentChange": 5.03 }, "rho": { "current": -0.2063, "previous": -0.2554, "change": 0.0491, "percentChange": 19.23 }, "m": { "current": -0.1138, "previous": -0.1459, "change": 0.0321, "percentChange": 21.99 }, "sigma": { "current": 0.6078, "previous": 0.6032, "change": 0.0046, "percentChange": 0.76 } }, "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": [ 61.9902, 60.0786, 58.1947, 56.3428, 54.528, 52.7557, 51.0318, 49.3627, 47.7557, 46.2181, 44.7581, 43.3842, 42.1053, 40.9307, 39.8694, 38.9304, 38.1223, 37.4525, 36.9275, 36.552, 36.3291, 36.2595, 36.3419, 36.573, 36.9475, 37.4583, 38.0973, 38.8553, 39.7225, 40.6893, 41.7456, 42.8822, 44.0899, 45.3604, 46.6858, 48.059, 49.4735, 50.9235, 52.4037, 53.9093, 55.4363 ], "previous": [ 58.986, 57.1586, 55.3606, 53.5965, 51.8709, 50.1893, 48.5571, 46.9807, 45.4665, 44.0216, 42.6536, 41.3701, 40.1792, 39.0892, 38.108, 37.2435, 36.5027, 35.892, 35.4165, 35.0796, 34.8835, 34.828, 34.9115, 35.1302, 35.4789, 35.951, 36.5388, 37.2339, 38.0276, 38.9109, 39.8751, 40.9115, 42.0121, 43.1694, 44.3764, 45.6266, 46.9143, 48.2341, 49.5813, 50.9518, 52.3416 ], "change": [ 3.0042, 2.92, 2.8341, 2.7463, 2.6571, 2.5664, 2.4747, 2.382, 2.2892, 2.1965, 2.1045, 2.0141, 1.9261, 1.8415, 1.7614, 1.6869, 1.6196, 1.5605, 1.511, 1.4724, 1.4456, 1.4315, 1.4304, 1.4428, 1.4686, 1.5073, 1.5585, 1.6214, 1.6949, 1.7784, 1.8705, 1.9707, 2.0778, 2.191, 2.3094, 2.4324, 2.5592, 2.6894, 2.8224, 2.9575, 3.0947 ], "classification": [ "parallel shift higher", "wing steepening" ], "parallelShift": 1.807, "rotation": -0.234, "wingChange": 0.542, "rmsChange": 2.16 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.12779682, "daysToExpiry": 46.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77643.06, "previous": 77794.11, "change": -151.05, "percentChange": -0.19 }, "atmIv": { "current": 36.4, "previous": 35.78, "change": 0.62, "percentChange": 1.73 }, "rr25": { "current": -0.87, "previous": -0.74, "change": -0.13, "percentChange": -17.57 }, "bf25": { "current": 2.33, "previous": 2.22, "change": 0.11, "percentChange": 4.95 }, "svi": { "a": { "current": -0.0929, "previous": -0.0737, "change": -0.0192, "percentChange": -26.02 }, "b": { "current": 0.1905, "previous": 0.1709, "change": 0.0195, "percentChange": 11.43 }, "rho": { "current": -0.321, "previous": -0.3251, "change": 0.0041, "percentChange": 1.26 }, "m": { "current": -0.1829, "previous": -0.1712, "change": -0.0117, "percentChange": -6.81 }, "sigma": { "current": 0.6086, "previous": 0.5592, "change": 0.0494, "percentChange": 8.83 } }, "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": [ 50.2884, 49.1685, 48.0775, 47.018, 45.9927, 45.0045, 44.0563, 43.1509, 42.2912, 41.4802, 40.7206, 40.0151, 39.3664, 38.7768, 38.2484, 37.7831, 37.3825, 37.0476, 36.7791, 36.5775, 36.4426, 36.3737, 36.3699, 36.4297, 36.5515, 36.7329, 36.9717, 37.2651, 37.6104, 38.0046, 38.4446, 38.9275, 39.4503, 40.0098, 40.6033, 41.2278, 41.8807, 42.5595, 43.2617, 43.9851, 44.7274 ], "previous": [ 49.1516, 48.0666, 47.0092, 45.9823, 44.9886, 44.0309, 43.1123, 42.2356, 41.4038, 40.6198, 39.8865, 39.2066, 38.5825, 38.0167, 37.5111, 37.0676, 36.6875, 36.3718, 36.1211, 35.9355, 35.8147, 35.758, 35.7641, 35.8316, 35.9584, 36.1423, 36.3808, 36.6713, 37.0108, 37.3964, 37.8251, 38.2938, 38.7997, 39.3397, 39.9111, 40.5111, 41.1371, 41.7868, 42.4577, 43.1478, 43.8549 ], "change": [ 1.1368, 1.1019, 1.0683, 1.0357, 1.0041, 0.9736, 0.944, 0.9153, 0.8874, 0.8604, 0.8341, 0.8085, 0.7839, 0.7601, 0.7373, 0.7155, 0.695, 0.6758, 0.658, 0.642, 0.6279, 0.6157, 0.6058, 0.5981, 0.5931, 0.5906, 0.5909, 0.5938, 0.5996, 0.6082, 0.6195, 0.6337, 0.6506, 0.6701, 0.6922, 0.7167, 0.7436, 0.7727, 0.804, 0.8373, 0.8725 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.694, "rotation": -0.215, "wingChange": 0.099, "rmsChange": 0.779 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.20450915, "daysToExpiry": 74.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 77933.69, "previous": 78094.45, "change": -160.76, "percentChange": -0.21 }, "atmIv": { "current": 37.99, "previous": 37.67, "change": 0.32, "percentChange": 0.85 }, "rr25": { "current": -0.48, "previous": -0.4, "change": -0.08, "percentChange": -20.0 }, "bf25": { "current": 2.18, "previous": 2.14, "change": 0.04, "percentChange": 1.87 }, "svi": { "a": { "current": -0.1215, "previous": -0.1158, "change": -0.0057, "percentChange": -4.91 }, "b": { "current": 0.2438, "previous": 0.2278, "change": 0.016, "percentChange": 7.03 }, "rho": { "current": -0.4694, "previous": -0.4316, "change": -0.0378, "percentChange": -8.75 }, "m": { "current": -0.3487, "previous": -0.3154, "change": -0.0333, "percentChange": -10.55 }, "sigma": { "current": 0.7013, "previous": 0.7066, "change": -0.0053, "percentChange": -0.75 } }, "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": [ 46.5656, 45.8117, 45.0871, 44.3929, 43.7304, 43.1004, 42.5041, 41.9424, 41.4162, 40.9261, 40.4728, 40.057, 39.679, 39.3391, 39.0376, 38.7745, 38.5498, 38.3631, 38.2142, 38.1027, 38.0278, 37.9889, 37.9853, 38.0159, 38.0798, 38.1759, 38.3031, 38.4602, 38.6459, 38.8591, 39.0984, 39.3625, 39.6502, 39.9602, 40.2912, 40.6421, 41.0116, 41.3985, 41.8018, 42.2203, 42.6531 ], "previous": [ 45.9128, 45.1904, 44.4956, 43.8295, 43.1931, 42.5877, 42.0142, 41.4736, 40.9668, 40.4946, 40.0577, 39.6567, 39.2922, 38.9645, 38.6739, 38.4205, 38.2042, 38.0251, 37.8827, 37.7767, 37.7067, 37.6718, 37.6715, 37.7049, 37.771, 37.8688, 37.9972, 38.1552, 38.3415, 38.5549, 38.7941, 39.0581, 39.3454, 39.6548, 39.9852, 40.3353, 40.7039, 41.0899, 41.4922, 41.9097, 42.3414 ], "change": [ 0.6528, 0.6213, 0.5915, 0.5634, 0.5373, 0.5127, 0.4899, 0.4688, 0.4494, 0.4315, 0.4151, 0.4003, 0.3868, 0.3746, 0.3637, 0.354, 0.3456, 0.338, 0.3315, 0.326, 0.3211, 0.3171, 0.3138, 0.311, 0.3088, 0.3071, 0.3059, 0.305, 0.3044, 0.3042, 0.3043, 0.3044, 0.3048, 0.3054, 0.306, 0.3068, 0.3077, 0.3086, 0.3096, 0.3106, 0.3117 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.347, "rotation": -0.111, "wingChange": 0.039, "rmsChange": 0.389 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.28122147, "daysToExpiry": 102.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 78271.64, "previous": 78418.87, "change": -147.23, "percentChange": -0.19 }, "atmIv": { "current": 38.36, "previous": 38.13, "change": 0.23, "percentChange": 0.6 }, "rr25": { "current": -0.73, "previous": -0.58, "change": -0.15, "percentChange": -25.86 }, "bf25": { "current": 2.39, "previous": 2.36, "change": 0.03, "percentChange": 1.27 }, "svi": { "a": { "current": -0.1721, "previous": -0.1682, "change": -0.0039, "percentChange": -2.31 }, "b": { "current": 0.2668, "previous": 0.2661, "change": 0.0007, "percentChange": 0.27 }, "rho": { "current": -0.3445, "previous": -0.3565, "change": 0.012, "percentChange": 3.37 }, "m": { "current": -0.2734, "previous": -0.2866, "change": 0.0131, "percentChange": 4.59 }, "sigma": { "current": 0.8518, "previous": 0.8424, "change": 0.0094, "percentChange": 1.12 } }, "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": [ 45.3337, 44.754, 44.1951, 43.6578, 43.1427, 42.6508, 42.1827, 41.7392, 41.3208, 40.9282, 40.562, 40.2227, 39.9107, 39.6264, 39.3701, 39.142, 38.9424, 38.7712, 38.6285, 38.5142, 38.4282, 38.3701, 38.3398, 38.3367, 38.3606, 38.4107, 38.4867, 38.5877, 38.7132, 38.8624, 39.0347, 39.229, 39.4448, 39.6812, 39.9372, 40.2121, 40.5051, 40.8152, 41.1417, 41.4838, 41.8405 ], "previous": [ 44.921, 44.3484, 43.797, 43.2675, 42.7606, 42.2771, 41.8177, 41.3831, 40.9739, 40.5907, 40.234, 39.9043, 39.6019, 39.3274, 39.0808, 38.8623, 38.6722, 38.5105, 38.377, 38.2717, 38.1943, 38.1447, 38.1224, 38.127, 38.1581, 38.215, 38.2972, 38.4041, 38.5349, 38.6888, 38.8652, 39.0633, 39.2821, 39.521, 39.779, 40.0553, 40.3491, 40.6596, 40.9858, 41.3271, 41.6827 ], "change": [ 0.4127, 0.4056, 0.3981, 0.3903, 0.3821, 0.3737, 0.365, 0.3561, 0.3469, 0.3375, 0.328, 0.3184, 0.3088, 0.299, 0.2893, 0.2797, 0.2702, 0.2607, 0.2515, 0.2425, 0.2339, 0.2254, 0.2174, 0.2097, 0.2025, 0.1957, 0.1895, 0.1836, 0.1783, 0.1736, 0.1695, 0.1657, 0.1627, 0.1602, 0.1582, 0.1568, 0.156, 0.1556, 0.1559, 0.1567, 0.1578 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.244, "rotation": -0.158, "wingChange": 0.015, "rmsChange": 0.267 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.53053654, "daysToExpiry": 193.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 79188.27, "previous": 79355.65, "change": -167.38, "percentChange": -0.21 }, "atmIv": { "current": 39.37, "previous": 39.28, "change": 0.09, "percentChange": 0.23 }, "rr25": { "current": -0.76, "previous": -0.74, "change": -0.02, "percentChange": -2.7 }, "bf25": { "current": 2.58, "previous": 2.6, "change": -0.02, "percentChange": -0.77 }, "svi": { "a": { "current": -0.1664, "previous": -0.172, "change": 0.0056, "percentChange": 3.28 }, "b": { "current": 0.2818, "previous": 0.2852, "change": -0.0034, "percentChange": -1.18 }, "rho": { "current": -0.2731, "previous": -0.2659, "change": -0.0072, "percentChange": -2.69 }, "m": { "current": -0.1934, "previous": -0.189, "change": -0.0044, "percentChange": -2.31 }, "sigma": { "current": 0.9168, "previous": 0.9248, "change": -0.008, "percentChange": -0.87 } }, "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": [ 43.8292, 43.4819, 43.1467, 42.8239, 42.5139, 42.217, 41.9336, 41.6638, 41.408, 41.1665, 40.9395, 40.7271, 40.5296, 40.3472, 40.1799, 40.0279, 39.8913, 39.7701, 39.6643, 39.574, 39.4991, 39.4395, 39.3951, 39.3659, 39.3518, 39.3524, 39.3677, 39.3974, 39.4413, 39.4991, 39.5706, 39.6555, 39.7534, 39.8641, 39.9872, 40.1224, 40.2693, 40.4276, 40.597, 40.7769, 40.9672 ], "previous": [ 43.7339, 43.3867, 43.0516, 42.7288, 42.4189, 42.122, 41.8386, 41.5688, 41.3131, 41.0716, 40.8445, 40.6322, 40.4348, 40.2524, 40.0852, 39.9334, 39.7969, 39.6759, 39.5704, 39.4804, 39.4059, 39.3468, 39.303, 39.2744, 39.2609, 39.2623, 39.2784, 39.3091, 39.3541, 39.413, 39.4858, 39.572, 39.6714, 39.7836, 39.9084, 40.0453, 40.1941, 40.3544, 40.5258, 40.708, 40.9006 ], "change": [ 0.0953, 0.0952, 0.0951, 0.0951, 0.095, 0.095, 0.095, 0.095, 0.0949, 0.0949, 0.095, 0.0949, 0.0948, 0.0948, 0.0947, 0.0945, 0.0944, 0.0942, 0.0939, 0.0936, 0.0932, 0.0927, 0.0921, 0.0915, 0.0909, 0.0901, 0.0893, 0.0883, 0.0872, 0.0861, 0.0848, 0.0835, 0.082, 0.0805, 0.0788, 0.0771, 0.0752, 0.0732, 0.0712, 0.0689, 0.0666 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.091, "rotation": -0.01, "wingChange": -0.003, "rmsChange": 0.089 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.77985161, "daysToExpiry": 284.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 80173.54, "previous": 80372.41, "change": -198.87, "percentChange": -0.25 }, "atmIv": { "current": 40.51, "previous": 40.51, "change": 0.0, "percentChange": 0.0 }, "rr25": { "current": -0.63, "previous": -0.61, "change": -0.02, "percentChange": -3.28 }, "bf25": { "current": 2.71, "previous": 2.73, "change": -0.02, "percentChange": -0.73 }, "svi": { "a": { "current": -0.206, "previous": -0.1995, "change": -0.0065, "percentChange": -3.27 }, "b": { "current": 0.3147, "previous": 0.3142, "change": 0.0005, "percentChange": 0.16 }, "rho": { "current": -0.1513, "previous": -0.1595, "change": 0.0082, "percentChange": 5.13 }, "m": { "current": -0.0722, "previous": -0.0798, "change": 0.0076, "percentChange": 9.58 }, "sigma": { "current": 1.0735, "previous": 1.0569, "change": 0.0166, "percentChange": 1.57 } }, "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": [ 43.8798, 43.6361, 43.4002, 43.1724, 42.9527, 42.7415, 42.5389, 42.345, 42.1601, 41.9843, 41.8178, 41.6607, 41.5131, 41.3752, 41.247, 41.1288, 41.0205, 40.9222, 40.8341, 40.7561, 40.6883, 40.6308, 40.5835, 40.5464, 40.5195, 40.5029, 40.4963, 40.4999, 40.5135, 40.5371, 40.5705, 40.6136, 40.6664, 40.7287, 40.8004, 40.8813, 40.9713, 41.0702, 41.1779, 41.2941, 41.4188 ], "previous": [ 43.8858, 43.6404, 43.4028, 43.1734, 42.9523, 42.7397, 42.5358, 42.3409, 42.1549, 41.9782, 41.8109, 41.6531, 41.5049, 41.3666, 41.2381, 41.1196, 41.0112, 40.9129, 40.8249, 40.7471, 40.6796, 40.6224, 40.5756, 40.5391, 40.5128, 40.4969, 40.4912, 40.4956, 40.5101, 40.5346, 40.569, 40.6132, 40.667, 40.7304, 40.8032, 40.8853, 40.9764, 41.0765, 41.1853, 41.3026, 41.4284 ], "change": [ -0.006, -0.0043, -0.0026, -0.001, 0.0004, 0.0018, 0.0031, 0.0041, 0.0052, 0.0061, 0.0069, 0.0076, 0.0082, 0.0086, 0.0089, 0.0092, 0.0093, 0.0093, 0.0092, 0.009, 0.0087, 0.0084, 0.0079, 0.0073, 0.0067, 0.006, 0.0051, 0.0043, 0.0034, 0.0025, 0.0015, 0.0004, -0.0006, -0.0017, -0.0028, -0.004, -0.0051, -0.0063, -0.0074, -0.0085, -0.0096 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.006, "rotation": -0.005, "wingChange": -0.004, "rmsChange": 0.006 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "16SEP26", "value": -3.678, "score": 3.678, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 3.33, "score": 3.33, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -0.41, "score": 0.41, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": 0.35, "score": 0.35, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "16SEP26", "value": -0.0936, "score": 0.0936, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "18SEP26", "value": 0.0531, "score": 0.0531, "unit": "parameter units" } ], "expiryEffects": [ { "label": "14SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -10.928, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "15SEP26", "daysToExpiry": 1.646, "metric": "ATM IV change", "value": 6.33, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 277.97105609, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "14SEP26", "expiry": 1789372800000, "value": 0.000437372863, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "14SEP26", "expiry": 1789372800000, "value": -281.70815665, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00173356, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -21.95400723, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "14SEP26", "values": [ 68.0697, 64.5045, 60.9669, 57.4609, 53.9909, 50.561, 47.1754, 43.8381, 40.553, 37.3235, 34.1532, 31.0448, 28.0012, 25.0243, 22.1166, 19.28, 16.517, 13.833, 11.2485, 8.8515, 6.9286, 5.9701, 6.2021, 7.366, 9.097, 11.15, 13.3909, 15.7494, 18.1872, 20.6834, 23.2255, 25.8057, 28.4191, 31.0618, 33.7309, 36.4236, 39.138, 41.8712, 44.6214, 47.3861, 50.1633 ] }, { "label": "15SEP26", "values": [ 32.3021, 30.8542, 29.4016, 27.9457, 26.4884, 25.0314, 23.577, 22.1278, 20.6863, 19.256, 17.8407, 16.4444, 15.0726, 13.7312, 12.4281, 11.1729, 9.9781, 8.8612, 7.8484, 6.9835, 6.3351, 5.9807, 5.9624, 6.2584, 6.805, 7.5326, 8.3844, 9.3192, 10.3089, 11.334, 12.3816, 13.4424, 14.5104, 15.5808, 16.6506, 17.7173, 18.7793, 19.8352, 20.8842, 21.9256, 22.9588 ] }, { "label": "16SEP26", "values": [ 31.175, 29.9783, 28.7507, 27.4918, 26.2014, 24.8799, 23.5274, 22.1447, 20.7331, 19.2942, 17.8306, 16.3456, 14.844, 13.333, 11.8236, 10.3326, 8.8868, 7.5292, 6.3253, 5.3649, 4.7484, 4.5524, 4.7921, 5.4148, 6.3303, 7.4477, 8.6938, 10.0167, 11.3816, 12.7653, 14.1524, 15.5326, 16.8992, 18.2471, 19.5734, 20.8754, 22.1522, 23.4024, 24.6258, 25.8221, 26.9914 ] }, { "label": "18SEP26", "values": [ 12.3071, 11.886, 11.466, 11.0472, 10.6296, 10.2132, 9.7986, 9.3858, 8.9751, 8.5672, 8.1625, 7.762, 7.3669, 6.9786, 6.5995, 6.2326, 5.882, 5.5535, 5.2544, 4.9935, 4.7805, 4.6248, 4.5339, 4.5124, 4.5615, 4.6787, 4.8593, 5.0972, 5.3857, 5.7183, 6.0888, 6.4919, 6.923, 7.378, 7.8536, 8.347, 8.8554, 9.3771, 9.91, 10.4526, 11.0036 ] }, { "label": "25SEP26", "values": [ 4.951, 4.7708, 4.593, 4.418, 4.2463, 4.0781, 3.9137, 3.7539, 3.5989, 3.4496, 3.3065, 3.1703, 3.0421, 2.9229, 2.8134, 2.7151, 2.6289, 2.5562, 2.498, 2.4555, 2.4293, 2.4199, 2.4276, 2.4521, 2.4931, 2.5495, 2.6206, 2.7052, 2.8021, 2.91, 3.0278, 3.1545, 3.2888, 3.4301, 3.5774, 3.73, 3.8872, 4.0485, 4.2133, 4.3812, 4.5516 ] }, { "label": "2OCT26", "values": [ 3.0042, 2.92, 2.8341, 2.7463, 2.6571, 2.5664, 2.4747, 2.382, 2.2892, 2.1965, 2.1045, 2.0141, 1.9261, 1.8415, 1.7614, 1.6869, 1.6196, 1.5605, 1.511, 1.4724, 1.4456, 1.4315, 1.4304, 1.4428, 1.4686, 1.5073, 1.5585, 1.6214, 1.6949, 1.7784, 1.8705, 1.9707, 2.0778, 2.191, 2.3094, 2.4324, 2.5592, 2.6894, 2.8224, 2.9575, 3.0947 ] }, { "label": "30OCT26", "values": [ 1.1368, 1.1019, 1.0683, 1.0357, 1.0041, 0.9736, 0.944, 0.9153, 0.8874, 0.8604, 0.8341, 0.8085, 0.7839, 0.7601, 0.7373, 0.7155, 0.695, 0.6758, 0.658, 0.642, 0.6279, 0.6157, 0.6058, 0.5981, 0.5931, 0.5906, 0.5909, 0.5938, 0.5996, 0.6082, 0.6195, 0.6337, 0.6506, 0.6701, 0.6922, 0.7167, 0.7436, 0.7727, 0.804, 0.8373, 0.8725 ] }, { "label": "27NOV26", "values": [ 0.6528, 0.6213, 0.5915, 0.5634, 0.5373, 0.5127, 0.4899, 0.4688, 0.4494, 0.4315, 0.4151, 0.4003, 0.3868, 0.3746, 0.3637, 0.354, 0.3456, 0.338, 0.3315, 0.326, 0.3211, 0.3171, 0.3138, 0.311, 0.3088, 0.3071, 0.3059, 0.305, 0.3044, 0.3042, 0.3043, 0.3044, 0.3048, 0.3054, 0.306, 0.3068, 0.3077, 0.3086, 0.3096, 0.3106, 0.3117 ] }, { "label": "25DEC26", "values": [ 0.4127, 0.4056, 0.3981, 0.3903, 0.3821, 0.3737, 0.365, 0.3561, 0.3469, 0.3375, 0.328, 0.3184, 0.3088, 0.299, 0.2893, 0.2797, 0.2702, 0.2607, 0.2515, 0.2425, 0.2339, 0.2254, 0.2174, 0.2097, 0.2025, 0.1957, 0.1895, 0.1836, 0.1783, 0.1736, 0.1695, 0.1657, 0.1627, 0.1602, 0.1582, 0.1568, 0.156, 0.1556, 0.1559, 0.1567, 0.1578 ] }, { "label": "26MAR27", "values": [ 0.0953, 0.0952, 0.0951, 0.0951, 0.095, 0.095, 0.095, 0.095, 0.0949, 0.0949, 0.095, 0.0949, 0.0948, 0.0948, 0.0947, 0.0945, 0.0944, 0.0942, 0.0939, 0.0936, 0.0932, 0.0927, 0.0921, 0.0915, 0.0909, 0.0901, 0.0893, 0.0883, 0.0872, 0.0861, 0.0848, 0.0835, 0.082, 0.0805, 0.0788, 0.0771, 0.0752, 0.0732, 0.0712, 0.0689, 0.0666 ] }, { "label": "25JUN27", "values": [ -0.006, -0.0043, -0.0026, -0.001, 0.0004, 0.0018, 0.0031, 0.0041, 0.0052, 0.0061, 0.0069, 0.0076, 0.0082, 0.0086, 0.0089, 0.0092, 0.0093, 0.0093, 0.0092, 0.009, 0.0087, 0.0084, 0.0079, 0.0073, 0.0067, 0.006, 0.0051, 0.0043, 0.0034, 0.0025, 0.0015, 0.0004, -0.0006, -0.0017, -0.0028, -0.004, -0.0051, -0.0063, -0.0074, -0.0085, -0.0096 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options price a sharper near-term volatility premium", "standfirst": "Bitcoin one-week ATM IV rose 3.33 volatility points to 38.10% over the observation window, placing the short-dated volatility gauge at the 74.1 percentile of its available level history. The 24-hour spot-index return was -0.18%, while Bitcoin one-week ATM IV remained 6.96 points above seven-day realised volatility at the cutoff. DerivaSys data show the repricing concentrated at the front end: front-end ATM IV gained 2.12 points, versus a 0.11-point increase in the long-end average.", "days": [ { "reportDate": "2026-09-13", "headline": "Bitcoin volatility premium moves higher", "summary": "One-week implied volatility increased while remaining above the latest seven-day realised volatility measure.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options price a sharper near-term volatility premium", "standfirst": "Bitcoin one-week ATM IV rose 3.33 volatility points to 38.10% over the observation window, placing the short-dated volatility gauge at the 74.1 percentile of its available level history. The 24-hour spot-index return was -0.18%, while Bitcoin one-week ATM IV remained 6.96 points above seven-day realised volatility at the cutoff. DerivaSys data show the repricing concentrated at the front end: front-end ATM IV gained 2.12 points, versus a 0.11-point increase in the long-end average.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. 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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789921800558, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.1, "previous": 34.77, "change": 3.33, "percentChange": 9.58 }, "rr25": { "current": -0.77, "previous": -0.36, "change": -0.41, "percentChange": -113.89 }, "bf25": { "current": 2.11, "previous": 1.76, "change": 0.35, "percentChange": 19.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.33, "movePercentile30d": 63.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 74.1, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "rr25": { "absoluteMove": 0.41, "movePercentile30d": 36.7, "movePercentileFullHistory": 30.3, "currentLevelPercentileFullHistory": 82.5, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 }, "bf25": { "absoluteMove": 0.35, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.4, "currentLevelPercentileFullHistory": 69.9, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 142, "levelObservationsFullHistory": 143 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:42+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356449, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346348, "timestamp": "2026-09-12T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical ETH index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-ETH ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical ETH-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 48, "fallbackPolicy": "Missing canonical minutes use the stored Deribit index first, then the stored OKX index; canonical bars always take precedence.", "samplingInterval": "1 minute", "annualizationBasis": "365 days", "windowEnd": "2026-09-13T16:30:00+00:00", "spotWindowStart": "2026-09-12T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.17, "rv24hPercent": 28.2, "rv7dPercent": 45.19, "rv30dPercent": 54.07, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 52.42, "oneWeekIvMinus7dRvPoints": 7.23, "oneWeekIvMinus24hRvPoints": 24.22, "oneWeekIvMinus30dRvPoints": -1.65 }, "fitQuality": { "currentObjective": 0.12624589, "previousObjective": 0.50551916, "currentLiveError": 59.26380695, "previousLiveError": 275.18068975 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether near-term options reprice higher with put-side skew", "executiveSummary": "Ether one-week ATM IV advanced to 52.42%, led by a 3.94-point rise in the one-week tenor. The front-end average gained 2.37 points while the long end was broadly unchanged, and RR25 moved toward puts.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "front-atm", "rr25" ], "newsSummary": "No qualifying Ether or broader-market news context was retained.", "marketContextSummary": "No retained news event provides a supported direct link to Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.42%, 7.23 volatility points above seven-day realised volatility of 45.19%; 24-hour realised volatility was 28.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.37 volatility points to 51.65% 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 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.29 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.94 volatility points at 1W, to 52.42%.", "tenor": "1W", "value": 3.94 } ] }, "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": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "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": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "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 rose 3.94 volatility points to 52.42%, a notable move at the 73rd percentile among 26 comparable historical observations. At the cutoff, realised volatility measured 28.20% over 24 hours, 45.19% over seven days and 54.07% over 30 days. Front-end ATM IV averaged 51.65%, +2.37 points from the prior snapshot, while the long end averaged 54.27%, -0.01 points. 2W RR25 moved 0.45 volatility points toward puts to -1.40%, leaving puts richer than calls. 2W BF25 rose 0.15 volatility points to 3.00%. The nearest eligible forward, 16SEP26, fell $31.14 (-1.23%) to $2,502.77. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 105, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 52.42%, 7.23 volatility points above seven-day realised volatility of 45.19%; 24-hour realised volatility was 28.20% and 30-day realised volatility was 54.07%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.37 volatility points to 51.65% 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 54.27% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.29 volatility points to -0.81% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.04 volatility points to 3.17% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.94 volatility points at 1W, to 52.42%.", "tenor": "1W", "value": 3.94 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.46, "rr25Change": -0.29, "bf25Change": 0.04, "largestAtmMove": { "tenor": "1W", "current": 52.42, "previous": 48.48, "change": 3.94, "historicalSignificance": { "absoluteMove": 3.94, "movePercentile30d": 68.2, "movePercentileFullHistory": 73.1, "currentLevelPercentileFullHistory": 82.8, "classificationPercentile": 73.1, "label": "notable", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } }, "frontEndAverageAtm": { "current": 51.65, "previous": 49.29, "change": 2.37 }, "longEndAverageAtm": { "current": 54.27, "previous": 54.28, "change": -0.01 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -1.4, "previous": -0.95, "change": -0.45, "historicalSignificance": { "absoluteMove": 0.45, "movePercentile30d": 36.4, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 3.0, "previous": 2.85, "change": 0.15, "historicalSignificance": { "absoluteMove": 0.15, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.9, "currentLevelPercentileFullHistory": 72.4, "classificationPercentile": 27.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } }, "nearestEligibleForwardMove": { "label": "16SEP26", "daysToExpiry": 2.646, "current": 2502.77, "previous": 2533.91, "change": -31.14, "percentChange": -1.23 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.42, "previous": 48.48, "change": 3.94, "percentChange": 8.13 }, "rr25": { "current": -1.48, "previous": -1.17, "change": -0.31, "percentChange": -26.5 }, "bf25": { "current": 3.18, "previous": 3.15, "change": 0.03, "percentChange": 0.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.94, "movePercentile30d": 68.2, "movePercentileFullHistory": 73.1, "currentLevelPercentileFullHistory": 82.8, "classificationPercentile": 73.1, "label": "notable", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 9.1, "movePercentileFullHistory": 11.5, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 11.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 4.5, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 75.9, "classificationPercentile": 7.7, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "2W", "targetExpiry": 1790526600205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.43, "previous": 49.41, "change": 2.02, "percentChange": 4.09 }, "rr25": { "current": -1.4, "previous": -0.95, "change": -0.45, "percentChange": -47.37 }, "bf25": { "current": 3.0, "previous": 2.85, "change": 0.15, "percentChange": 5.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.02, "movePercentile30d": 63.6, "movePercentileFullHistory": 69.2, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 69.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.45, "movePercentile30d": 36.4, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 27.3, "movePercentileFullHistory": 26.9, "currentLevelPercentileFullHistory": 72.4, "classificationPercentile": 27.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "1M", "targetExpiry": 1791909000205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.11, "previous": 49.97, "change": 1.14, "percentChange": 2.28 }, "rr25": { "current": -0.63, "previous": -0.3, "change": -0.33, "percentChange": -110.0 }, "bf25": { "current": 3.29, "previous": 3.36, "change": -0.07, "percentChange": -2.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.14, "movePercentile30d": 59.1, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 44.8, "classificationPercentile": 61.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.33, "movePercentile30d": 36.4, "movePercentileFullHistory": 38.5, "currentLevelPercentileFullHistory": 41.4, "classificationPercentile": 38.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 27.3, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 30.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "3M", "targetExpiry": 1797179400205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 52.75, "change": 0.21, "percentChange": 0.4 }, "rr25": { "current": -0.41, "previous": -0.07, "change": -0.34, "percentChange": -485.71 }, "bf25": { "current": 3.31, "previous": 3.31, "change": 0.0, "percentChange": 0.0 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 31.8, "movePercentileFullHistory": 34.6, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 34.6, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.34, "movePercentile30d": 36.4, "movePercentileFullHistory": 38.5, "currentLevelPercentileFullHistory": 24.1, "classificationPercentile": 38.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 89.7, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "6M", "targetExpiry": 1805041800205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.27, "previous": 54.28, "change": -0.01, "percentChange": -0.02 }, "rr25": { "current": -0.15, "previous": -0.15, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 3.07, "previous": 2.99, "change": 0.08, "percentChange": 2.68 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.0, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.8, "currentLevelPercentileFullHistory": 34.5, "classificationPercentile": 3.8, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 40.9, "movePercentileFullHistory": 42.3, "currentLevelPercentileFullHistory": 79.3, "classificationPercentile": 42.3, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "9M", "targetExpiry": 1812904200205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.27, "previous": 55.23, "change": 0.04, "percentChange": 0.07 }, "rr25": { "current": 0.02, "previous": 0.06, "change": -0.04, "percentChange": -66.67 }, "bf25": { "current": 2.6, "previous": 2.66, "change": -0.06, "percentChange": -2.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 13.6, "movePercentileFullHistory": 19.2, "currentLevelPercentileFullHistory": 13.8, "classificationPercentile": 19.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 18.2, "movePercentileFullHistory": 19.2, "currentLevelPercentileFullHistory": 27.6, "classificationPercentile": 19.2, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 36.4, "movePercentileFullHistory": 34.6, "currentLevelPercentileFullHistory": 6.9, "classificationPercentile": 36.4, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } }, { "tenor": "1Y", "targetExpiry": 1820853000205, "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": "14SEP26", "expiry": 1789372800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2501.84, "previous": 2533.0, "change": -31.16, "percentChange": -1.23 }, "atmIv": { "current": 36.48, "previous": 32.36, "change": 4.12, "percentChange": 12.73 }, "rr25": { "current": -0.67, "previous": 1.02, "change": -1.69, "percentChange": -165.69 }, "bf25": { "current": 1.43, "previous": 1.68, "change": -0.25, "percentChange": -14.88 }, "svi": { "a": { "current": -0.134, "previous": -0.105, "change": -0.029, "percentChange": -27.59 }, "b": { "current": 0.1496, "previous": 0.1518, "change": -0.0021, "percentChange": -1.41 }, "rho": { "current": -0.0249, "previous": 0.0368, "change": -0.0618, "percentChange": -167.64 }, "m": { "current": -0.0198, "previous": 0.0215, "change": -0.0413, "percentChange": -192.25 }, "sigma": { "current": 0.8973, "previous": 0.6955, "change": 0.2018, "percentChange": 29.01 } }, "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": [ 208.8205, 199.0006, 189.1653, 179.319, 169.467, 159.6153, 149.7715, 139.9446, 130.1459, 120.39, 110.6957, 101.0883, 91.6029, 82.2891, 73.2196, 64.5048, 56.3159, 48.9235, 42.7475, 38.3824, 36.4845, 37.429, 41.0161, 46.6347, 53.6441, 61.5641, 70.0796, 78.9908, 88.1702, 97.5346, 107.0278, 116.6107, 126.2553, 135.941, 145.6523, 155.3769, 165.1055, 174.8301, 184.5446, 194.2436, 203.9227 ], "previous": [ 144.9651, 138.2875, 131.5881, 124.8714, 118.1426, 111.4083, 104.6762, 97.9563, 91.2609, 84.6059, 78.0121, 71.5073, 65.1291, 58.9303, 52.9855, 47.4021, 42.3354, 38.0038, 34.6945, 32.728, 32.3571, 33.6388, 36.4009, 40.3404, 45.1483, 50.5744, 56.4367, 62.608, 68.9999, 75.5507, 82.2162, 88.9643, 95.7709, 102.6178, 109.4907, 116.3783, 123.2716, 130.163, 137.0464, 143.9164, 150.7687 ], "change": [ 63.8554, 60.7131, 57.5772, 54.4476, 51.3244, 48.207, 45.0953, 41.9883, 38.885, 35.7841, 32.6836, 29.581, 26.4738, 23.3588, 20.2341, 17.1027, 13.9805, 10.9197, 8.053, 5.6544, 4.1274, 3.7902, 4.6152, 6.2943, 8.4958, 10.9897, 13.6429, 16.3828, 19.1703, 21.9839, 24.8116, 27.6464, 30.4844, 33.3232, 36.1616, 38.9986, 41.8339, 44.6671, 47.4982, 50.3272, 53.154 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 20.541, "rotation": -7.872, "wingChange": 24.62, "rmsChange": 34.603 } }, { "label": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2502.32, "previous": 2533.69, "change": -31.37, "percentChange": -1.24 }, "atmIv": { "current": 43.47, "previous": 37.69, "change": 5.78, "percentChange": 15.34 }, "rr25": { "current": -1.08, "previous": -0.21, "change": -0.87, "percentChange": -414.29 }, "bf25": { "current": 2.28, "previous": 2.03, "change": 0.25, "percentChange": 12.32 }, "svi": { "a": { "current": -0.1054, "previous": -0.1084, "change": 0.0031, "percentChange": 2.84 }, "b": { "current": 0.1536, "previous": 0.1582, "change": -0.0046, "percentChange": -2.9 }, "rho": { "current": -0.0429, "previous": -0.0053, "change": -0.0376, "percentChange": -712.3 }, "m": { "current": -0.0247, "previous": -0.002, "change": -0.0226, "percentChange": -1113.42 }, "sigma": { "current": 0.692, "previous": 0.692, "change": 0.0, "percentChange": 0.0 } }, "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": [ 155.25, 148.4546, 141.6537, 134.8538, 128.0622, 121.2879, 114.5414, 107.8358, 101.1869, 94.6146, 88.1438, 81.8062, 75.6429, 69.7074, 64.07, 58.8227, 54.0845, 50.005, 46.7597, 44.5331, 43.4817, 43.6882, 45.1318, 47.6953, 51.2044, 55.4731, 60.3327, 65.6443, 71.2985, 77.2117, 83.3205, 89.5763, 95.9422, 102.3892, 108.8949, 115.4415, 122.0147, 128.6028, 135.1963, 141.7874, 148.3697 ], "previous": [ 123.1757, 117.8469, 112.5157, 107.1879, 101.87, 96.57, 91.2973, 86.0638, 80.8837, 75.7749, 70.7597, 65.8665, 61.1315, 56.6012, 52.3355, 48.4105, 44.9215, 41.9825, 39.7198, 38.2568, 37.6885, 38.0555, 39.3308, 41.4287, 44.2293, 47.605, 51.4383, 55.6298, 60.0995, 64.7841, 69.6348, 74.6133, 79.6898, 84.8408, 90.0478, 95.2956, 100.5723, 105.8679, 111.1741, 116.4841, 121.7923 ], "change": [ 32.0743, 30.6077, 29.138, 27.6659, 26.1922, 24.7179, 23.2441, 21.772, 20.3032, 18.8397, 17.3841, 15.9397, 14.5114, 13.1062, 11.7345, 10.4122, 9.163, 8.0225, 7.0399, 6.2763, 5.7932, 5.6327, 5.801, 6.2666, 6.9751, 7.8681, 8.8944, 10.0145, 11.199, 12.4276, 13.6857, 14.963, 16.2524, 17.5484, 18.8471, 20.1459, 21.4424, 22.7349, 24.0222, 25.3033, 26.5774 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 12.288, "rotation": -3.698, "wingChange": 9.742, "rmsChange": 18.101 } }, { "label": "16SEP26", "expiry": 1789545600000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2502.77, "previous": 2533.91, "change": -31.14, "percentChange": -1.23 }, "atmIv": { "current": 48.0, "previous": 42.69, "change": 5.31, "percentChange": 12.44 }, "rr25": { "current": -0.87, "previous": 0.02, "change": -0.89, "percentChange": -4450.0 }, "bf25": { "current": 3.05, "previous": 2.54, "change": 0.51, "percentChange": 20.08 }, "svi": { "a": { "current": -0.0956, "previous": -0.104, "change": 0.0084, "percentChange": 8.08 }, "b": { "current": 0.1613, "previous": 0.1631, "change": -0.0018, "percentChange": -1.08 }, "rho": { "current": -0.0377, "previous": -0.0306, "change": -0.007, "percentChange": -23.02 }, "m": { "current": -0.018, "previous": -0.019, "change": 0.001, "percentChange": 5.49 }, "sigma": { "current": 0.6031, "previous": 0.6489, "change": -0.0458, "percentChange": -7.06 } }, "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": [ 136.7844, 131.1538, 125.5234, 119.9006, 114.294, 108.7138, 103.1723, 97.6841, 92.267, 86.9425, 81.7369, 76.6828, 71.8201, 67.1981, 62.8771, 58.93, 55.4427, 52.5115, 50.2373, 48.7144, 48.0147, 48.1731, 49.1785, 50.9768, 53.483, 56.5969, 60.2173, 64.2513, 68.6181, 73.2499, 78.0914, 83.0976, 88.2321, 93.4655, 98.7741, 104.1382, 109.5422, 114.9728, 120.4191, 125.8722, 131.3243 ], "previous": [ 113.0581, 108.4253, 103.8019, 99.1944, 94.6109, 90.0607, 85.555, 81.1072, 76.7332, 72.4524, 68.2882, 64.2692, 60.43, 56.8125, 53.4666, 50.451, 47.8322, 45.6815, 44.0699, 43.0591, 42.6923, 42.985, 43.9222, 45.4614, 47.5406, 50.0884, 53.0327, 56.3061, 59.8492, 63.6113, 67.5501, 71.6305, 75.8238, 80.1065, 84.459, 88.8655, 93.3127, 97.7895, 102.2867, 106.7966, 111.3126 ], "change": [ 23.7263, 22.7285, 21.7215, 20.7062, 19.6831, 18.6531, 17.6173, 16.5769, 15.5338, 14.4901, 13.4487, 12.4136, 11.3901, 10.3856, 9.4105, 8.479, 7.6105, 6.83, 6.1674, 5.6553, 5.3224, 5.1881, 5.2563, 5.5154, 5.9424, 6.5085, 7.1846, 7.9452, 8.7689, 9.6386, 10.5413, 11.4671, 12.4083, 13.359, 14.3151, 15.2727, 16.2295, 17.1833, 18.1324, 19.0756, 20.0117 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 9.771, "rotation": -2.907, "wingChange": 6.673, "rmsChange": 13.793 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2503.45, "previous": 2534.76, "change": -31.31, "percentChange": -1.24 }, "atmIv": { "current": 52.74, "previous": 47.89, "change": 4.85, "percentChange": 10.13 }, "rr25": { "current": -1.56, "previous": -1.25, "change": -0.31, "percentChange": -24.8 }, "bf25": { "current": 3.54, "previous": 3.43, "change": 0.11, "percentChange": 3.21 }, "svi": { "a": { "current": -0.1142, "previous": -0.1046, "change": -0.0096, "percentChange": -9.18 }, "b": { "current": 0.1853, "previous": 0.1831, "change": 0.0022, "percentChange": 1.19 }, "rho": { "current": -0.1433, "previous": -0.1367, "change": -0.0066, "percentChange": -4.83 }, "m": { "current": -0.0826, "previous": -0.0734, "change": -0.0092, "percentChange": -12.51 }, "sigma": { "current": 0.6419, "previous": 0.5961, "change": 0.0458, "percentChange": 7.69 } }, "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": [ 116.1589, 111.8077, 107.4863, 103.2026, 98.9658, 94.7862, 90.6759, 86.6484, 82.7197, 78.9079, 75.2341, 71.7221, 68.3995, 65.2968, 62.4484, 59.8911, 57.6638, 55.805, 54.3513, 53.3333, 52.7733, 52.6819, 53.057, 53.884, 55.1368, 56.7814, 58.7786, 61.0876, 63.6677, 66.4811, 69.4927, 72.6715, 75.9902, 79.4251, 82.9557, 86.5643, 90.2362, 93.9582, 97.7196, 101.5109, 105.324 ], "previous": [ 107.4638, 103.4065, 99.3717, 95.3669, 91.4006, 87.4826, 83.6243, 79.8388, 76.1411, 72.5488, 69.0821, 65.7643, 62.6221, 59.6857, 56.9889, 54.5686, 52.4633, 50.7122, 49.3516, 48.4124, 47.9166, 47.874, 48.2814, 49.1224, 50.3696, 51.9875, 53.9365, 56.1754, 58.6643, 61.3659, 64.2468, 67.2771, 70.4312, 73.6866, 77.0245, 80.4285, 83.8849, 87.382, 90.9096, 94.4595, 98.0243 ], "change": [ 8.6951, 8.4012, 8.1146, 7.8357, 7.5652, 7.3036, 7.0516, 6.8096, 6.5786, 6.3591, 6.152, 5.9578, 5.7774, 5.6111, 5.4595, 5.3225, 5.2005, 5.0928, 4.9997, 4.9209, 4.8567, 4.8079, 4.7756, 4.7616, 4.7672, 4.7939, 4.8421, 4.9122, 5.0034, 5.1152, 5.2459, 5.3944, 5.559, 5.7385, 5.9312, 6.1358, 6.3513, 6.5762, 6.81, 7.0514, 7.2997 ], "classification": [ "parallel shift higher", "rotation towards puts", "wing steepening" ], "parallelShift": 5.418, "rotation": -0.906, "wingChange": 0.842, "rmsChange": 6.099 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2506.04, "previous": 2536.82, "change": -30.78, "percentChange": -1.21 }, "atmIv": { "current": 52.16, "previous": 49.57, "change": 2.59, "percentChange": 5.22 }, "rr25": { "current": -1.43, "previous": -1.01, "change": -0.42, "percentChange": -41.58 }, "bf25": { "current": 2.91, "previous": 2.63, "change": 0.28, "percentChange": 10.65 }, "svi": { "a": { "current": -0.1321, "previous": -0.1362, "change": 0.0041, "percentChange": 3.02 }, "b": { "current": 0.1853, "previous": 0.1831, "change": 0.0022, "percentChange": 1.2 }, "rho": { "current": -0.1434, "previous": -0.1367, "change": -0.0067, "percentChange": -4.87 }, "m": { "current": -0.0916, "previous": -0.0941, "change": 0.0025, "percentChange": 2.64 }, "sigma": { "current": 0.7671, "previous": 0.7974, "change": -0.0303, "percentChange": -3.8 } }, "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": [ 80.7663, 78.5975, 76.4687, 74.3848, 72.351, 70.3731, 68.457, 66.6093, 64.8369, 63.1471, 61.5474, 60.0458, 58.6504, 57.3694, 56.2107, 55.1823, 54.2913, 53.5444, 52.9471, 52.504, 52.218, 52.0908, 52.1223, 52.3109, 52.6534, 53.1453, 53.7806, 54.5526, 55.4537, 56.4756, 57.6099, 58.848, 60.1814, 61.6019, 63.1014, 64.6724, 66.3076, 68.0004, 69.7446, 71.5344, 73.3645 ], "previous": [ 75.6237, 73.6146, 71.645, 69.7194, 67.8426, 66.02, 64.2573, 62.5604, 60.9359, 59.3903, 57.9308, 56.5646, 55.2991, 54.1416, 53.0994, 52.1794, 51.3881, 50.7312, 50.2136, 49.8389, 49.6098, 49.5274, 49.5912, 49.7996, 50.1496, 50.6366, 51.2554, 51.9997, 52.8624, 53.8363, 54.9135, 56.0863, 57.3471, 58.6883, 60.1027, 61.5835, 63.124, 64.7184, 66.3608, 68.0461, 69.7694 ], "change": [ 5.1426, 4.9829, 4.8237, 4.6654, 4.5084, 4.3531, 4.1997, 4.0489, 3.901, 3.7568, 3.6166, 3.4812, 3.3513, 3.2278, 3.1113, 3.0029, 2.9032, 2.8132, 2.7335, 2.6651, 2.6082, 2.5634, 2.5311, 2.5113, 2.5038, 2.5087, 2.5252, 2.5529, 2.5913, 2.6393, 2.6964, 2.7617, 2.8343, 2.9136, 2.9987, 3.0889, 3.1836, 3.282, 3.3838, 3.4883, 3.5951 ], "classification": [ "parallel shift higher", "rotation towards puts", "wing steepening" ], "parallelShift": 2.974, "rotation": -0.92, "wingChange": 0.548, "rmsChange": 3.379 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.05108449, "daysToExpiry": 18.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2507.77, "previous": 2538.44, "change": -30.67, "percentChange": -1.21 }, "atmIv": { "current": 50.52, "previous": 48.96, "change": 1.56, "percentChange": 3.19 }, "rr25": { "current": -1.35, "previous": -0.81, "change": -0.54, "percentChange": -66.67 }, "bf25": { "current": 3.11, "previous": 3.47, "change": -0.36, "percentChange": -10.37 }, "svi": { "a": { "current": -0.1213, "previous": -0.097, "change": -0.0243, "percentChange": -25.06 }, "b": { "current": 0.1909, "previous": 0.184, "change": 0.0069, "percentChange": 3.75 }, "rho": { "current": -0.161, "previous": -0.1401, "change": -0.0209, "percentChange": -14.92 }, "m": { "current": -0.0935, "previous": -0.0703, "change": -0.0231, "percentChange": -32.87 }, "sigma": { "current": 0.713, "previous": 0.6032, "change": 0.1097, "percentChange": 18.19 } }, "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": [ 72.3231, 70.6381, 68.9889, 67.3794, 65.8136, 64.2959, 62.8308, 61.423, 60.0774, 58.7992, 57.5935, 56.4654, 55.4204, 54.4633, 53.5992, 52.8326, 52.1677, 51.6082, 51.1571, 50.8168, 50.5887, 50.4736, 50.4712, 50.5804, 50.7993, 51.1251, 51.5543, 52.0828, 52.7062, 53.4194, 54.2172, 55.0941, 56.0448, 57.0638, 58.1457, 59.2853, 60.4777, 61.7181, 63.002, 64.325, 65.6832 ], "previous": [ 71.7043, 69.9466, 68.2217, 66.5341, 64.8885, 63.29, 61.7439, 60.256, 58.8323, 57.4789, 56.2024, 55.0092, 53.9058, 52.8988, 51.9944, 51.1984, 50.5161, 49.9522, 49.5104, 49.1935, 49.0031, 48.9397, 49.0027, 49.1902, 49.4991, 49.9254, 50.4643, 51.1102, 51.857, 52.6982, 53.6271, 54.6369, 55.721, 56.8728, 58.0859, 59.3544, 60.6724, 62.0348, 63.4364, 64.8726, 66.3392 ], "change": [ 0.6188, 0.6915, 0.7672, 0.8453, 0.9251, 1.0059, 1.0869, 1.167, 1.2451, 1.3203, 1.3911, 1.4562, 1.5146, 1.5645, 1.6048, 1.6342, 1.6516, 1.656, 1.6467, 1.6233, 1.5856, 1.5339, 1.4685, 1.3902, 1.3002, 1.1997, 1.09, 0.9726, 0.8492, 0.7212, 0.5901, 0.4572, 0.3238, 0.191, 0.0598, -0.0691, -0.1947, -0.3167, -0.4344, -0.5476, -0.656 ], "classification": [ "rotation towards puts", "wing flattening" ], "parallelShift": 1.189, "rotation": -0.801, "wingChange": -0.595, "rmsChange": 1.126 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.12779682, "daysToExpiry": 46.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2513.81, "previous": 2544.53, "change": -30.72, "percentChange": -1.21 }, "atmIv": { "current": 51.45, "previous": 50.66, "change": 0.79, "percentChange": 1.56 }, "rr25": { "current": -0.21, "previous": 0.06, "change": -0.27, "percentChange": -450.0 }, "bf25": { "current": 3.39, "previous": 3.3, "change": 0.09, "percentChange": 2.73 }, "svi": { "a": { "current": -0.0918, "previous": -0.0895, "change": -0.0023, "percentChange": -2.55 }, "b": { "current": 0.1916, "previous": 0.189, "change": 0.0026, "percentChange": 1.4 }, "rho": { "current": -0.1624, "previous": -0.1626, "change": 0.0002, "percentChange": 0.15 }, "m": { "current": -0.0895, "previous": -0.0939, "change": 0.0045, "percentChange": 4.78 }, "sigma": { "current": 0.6646, "previous": 0.6599, "change": 0.0047, "percentChange": 0.71 } }, "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": [ 61.4851, 60.6479, 59.8365, 59.0526, 58.298, 57.5743, 56.8835, 56.2271, 55.607, 55.0248, 54.482, 53.9803, 53.521, 53.1054, 52.7346, 52.4096, 52.1313, 51.9002, 51.7169, 51.5816, 51.4943, 51.455, 51.4631, 51.5183, 51.6197, 51.7665, 51.9575, 52.1917, 52.4676, 52.7837, 53.1387, 53.5308, 53.9583, 54.4196, 54.913, 55.4367, 55.989, 56.5682, 57.1726, 57.8005, 58.4505 ], "previous": [ 60.2825, 59.465, 58.6735, 57.9096, 57.1751, 56.4717, 55.8012, 55.1653, 54.5657, 54.0039, 53.4817, 53.0004, 52.5614, 52.1659, 51.815, 51.5096, 51.2505, 51.0384, 50.8734, 50.7559, 50.6858, 50.6629, 50.6868, 50.7568, 50.8722, 51.0321, 51.2353, 51.4805, 51.7664, 52.0916, 52.4544, 52.8533, 53.2865, 53.7525, 54.2494, 54.7756, 55.3294, 55.9091, 56.5129, 57.1394, 57.787 ], "change": [ 1.2026, 1.1829, 1.163, 1.143, 1.1229, 1.1026, 1.0823, 1.0618, 1.0413, 1.0209, 1.0003, 0.9799, 0.9596, 0.9395, 0.9196, 0.9, 0.8808, 0.8618, 0.8435, 0.8257, 0.8085, 0.7921, 0.7763, 0.7615, 0.7475, 0.7344, 0.7222, 0.7112, 0.7012, 0.6921, 0.6843, 0.6775, 0.6718, 0.6671, 0.6636, 0.6611, 0.6596, 0.6591, 0.6597, 0.6611, 0.6635 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.831, "rotation": -0.316, "wingChange": 0.034, "rmsChange": 0.872 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.20450915, "daysToExpiry": 74.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2521.5, "previous": 2551.27, "change": -29.77, "percentChange": -1.17 }, "atmIv": { "current": 52.93, "previous": 52.61, "change": 0.32, "percentChange": 0.61 }, "rr25": { "current": -0.39, "previous": 0.3, "change": -0.69, "percentChange": -230.0 }, "bf25": { "current": 3.37, "previous": 3.3, "change": 0.07, "percentChange": 2.12 }, "svi": { "a": { "current": -0.0886, "previous": -0.0793, "change": -0.0093, "percentChange": -11.75 }, "b": { "current": 0.2098, "previous": 0.1995, "change": 0.0103, "percentChange": 5.17 }, "rho": { "current": -0.2336, "previous": -0.206, "change": -0.0277, "percentChange": -13.43 }, "m": { "current": -0.1362, "previous": -0.1282, "change": -0.008, "percentChange": -6.21 }, "sigma": { "current": 0.7149, "previous": 0.6997, "change": 0.0151, "percentChange": 2.16 } }, "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": [ 59.8869, 59.3095, 58.7522, 58.216, 57.7016, 57.2099, 56.7418, 56.2981, 55.8794, 55.4865, 55.12, 54.7805, 54.4686, 54.1847, 53.9291, 53.7021, 53.5041, 53.3351, 53.1952, 53.0843, 53.0025, 52.9494, 52.9248, 52.9284, 52.9598, 53.0185, 53.1039, 53.2155, 53.3526, 53.5146, 53.7006, 53.9099, 54.1418, 54.3954, 54.6699, 54.9645, 55.2782, 55.6103, 55.9599, 56.3262, 56.7083 ], "previous": [ 58.7583, 58.222, 57.7056, 57.21, 56.7361, 56.2847, 55.8566, 55.4525, 55.0732, 54.7193, 54.3914, 54.0902, 53.816, 53.5692, 53.3504, 53.1596, 52.997, 52.8629, 52.7571, 52.6796, 52.6304, 52.6091, 52.6154, 52.649, 52.7095, 52.7963, 52.9088, 53.0466, 53.2088, 53.3947, 53.6037, 53.835, 54.0877, 54.3611, 54.6543, 54.9665, 55.2968, 55.6445, 56.0086, 56.3884, 56.7831 ], "change": [ 1.1286, 1.0875, 1.0466, 1.006, 0.9655, 0.9252, 0.8852, 0.8456, 0.8062, 0.7672, 0.7286, 0.6903, 0.6526, 0.6155, 0.5787, 0.5425, 0.5071, 0.4722, 0.4381, 0.4047, 0.3721, 0.3403, 0.3094, 0.2794, 0.2503, 0.2222, 0.1951, 0.1689, 0.1438, 0.1199, 0.0969, 0.0749, 0.0541, 0.0343, 0.0156, -0.002, -0.0186, -0.0342, -0.0487, -0.0622, -0.0748 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.399, "rotation": -0.632, "wingChange": 0.041, "rmsChange": 0.564 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.28122147, "daysToExpiry": 102.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2528.6, "previous": 2559.01, "change": -30.41, "percentChange": -1.19 }, "atmIv": { "current": 52.97, "previous": 52.83, "change": 0.14, "percentChange": 0.27 }, "rr25": { "current": -0.41, "previous": -0.29, "change": -0.12, "percentChange": -41.38 }, "bf25": { "current": 3.29, "previous": 3.31, "change": -0.02, "percentChange": -0.6 }, "svi": { "a": { "current": -0.0744, "previous": -0.0609, "change": -0.0135, "percentChange": -22.13 }, "b": { "current": 0.2137, "previous": 0.2029, "change": 0.0107, "percentChange": 5.29 }, "rho": { "current": -0.2474, "previous": -0.2191, "change": -0.0283, "percentChange": -12.92 }, "m": { "current": -0.1412, "previous": -0.1141, "change": -0.0271, "percentChange": -23.71 }, "sigma": { "current": 0.7403, "previous": 0.7078, "change": 0.0325, "percentChange": 4.59 } }, "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": [ 58.3693, 57.9306, 57.5077, 57.1009, 56.7109, 56.3381, 55.9831, 55.6463, 55.3282, 55.0291, 54.7494, 54.4895, 54.2496, 54.03, 53.8309, 53.6524, 53.4946, 53.3577, 53.2415, 53.1461, 53.0713, 53.0171, 52.9833, 52.9696, 52.9757, 53.0015, 53.0464, 53.1103, 53.1926, 53.293, 53.4109, 53.546, 53.6977, 53.8655, 54.049, 54.2475, 54.4605, 54.6876, 54.9281, 55.1816, 55.4474 ], "previous": [ 58.1088, 57.6797, 57.2657, 56.8673, 56.485, 56.1194, 55.7711, 55.4406, 55.1282, 54.8345, 54.56, 54.3048, 54.0694, 53.8541, 53.6591, 53.4846, 53.3307, 53.1976, 53.0852, 52.9935, 52.9225, 52.8722, 52.8422, 52.8324, 52.8427, 52.8725, 52.9217, 52.9899, 53.0767, 53.1816, 53.3042, 53.4439, 53.6004, 53.7731, 53.9614, 54.1648, 54.3827, 54.6147, 54.8601, 55.1185, 55.3891 ], "change": [ 0.2605, 0.2509, 0.242, 0.2336, 0.2259, 0.2187, 0.212, 0.2057, 0.2, 0.1946, 0.1894, 0.1847, 0.1802, 0.1759, 0.1718, 0.1678, 0.1639, 0.1601, 0.1563, 0.1526, 0.1488, 0.1449, 0.1411, 0.1372, 0.133, 0.129, 0.1247, 0.1204, 0.1159, 0.1114, 0.1067, 0.1021, 0.0973, 0.0924, 0.0876, 0.0827, 0.0778, 0.0729, 0.068, 0.0631, 0.0583 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.148, "rotation": -0.083, "wingChange": -0.001, "rmsChange": 0.16 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.53053654, "daysToExpiry": 193.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2552.88, "previous": 2583.18, "change": -30.3, "percentChange": -1.17 }, "atmIv": { "current": 54.37, "previous": 54.4, "change": -0.03, "percentChange": -0.06 }, "rr25": { "current": -0.13, "previous": -0.13, "change": 0.0, "percentChange": 0.0 }, "bf25": { "current": 3.05, "previous": 2.97, "change": 0.08, "percentChange": 2.69 }, "svi": { "a": { "current": -0.046, "previous": -0.0427, "change": -0.0033, "percentChange": -7.69 }, "b": { "current": 0.2565, "previous": 0.2512, "change": 0.0053, "percentChange": 2.11 }, "rho": { "current": -0.3726, "previous": -0.3688, "change": -0.0038, "percentChange": -1.03 }, "m": { "current": -0.2686, "previous": -0.2664, "change": -0.0022, "percentChange": -0.83 }, "sigma": { "current": 0.8522, "previous": 0.8588, "change": -0.0066, "percentChange": -0.77 } }, "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": [ 57.5561, 57.3031, 57.0602, 56.8274, 56.605, 56.393, 56.1915, 56.0007, 55.8204, 55.6509, 55.4921, 55.344, 55.2067, 55.0802, 54.9643, 54.8591, 54.7645, 54.6804, 54.6068, 54.5436, 54.4906, 54.4476, 54.4147, 54.3917, 54.3783, 54.3744, 54.3799, 54.3946, 54.4183, 54.4509, 54.492, 54.5416, 54.5994, 54.6652, 54.7389, 54.8202, 54.9089, 55.0048, 55.1077, 55.2174, 55.3337 ], "previous": [ 57.4988, 57.253, 57.0169, 56.7908, 56.5746, 56.3685, 56.1726, 55.987, 55.8117, 55.6468, 55.4923, 55.3482, 55.2145, 55.0912, 54.9783, 54.8757, 54.7834, 54.7013, 54.6294, 54.5675, 54.5155, 54.4733, 54.4409, 54.418, 54.4045, 54.4003, 54.4051, 54.4189, 54.4415, 54.4727, 54.5122, 54.56, 54.6157, 54.6794, 54.7506, 54.8293, 54.9152, 55.0081, 55.1079, 55.2143, 55.3272 ], "change": [ 0.0573, 0.0501, 0.0433, 0.0366, 0.0304, 0.0245, 0.0189, 0.0137, 0.0087, 0.0041, -0.0002, -0.0042, -0.0078, -0.011, -0.014, -0.0166, -0.0189, -0.0209, -0.0226, -0.0239, -0.0249, -0.0257, -0.0262, -0.0263, -0.0262, -0.0259, -0.0252, -0.0243, -0.0232, -0.0218, -0.0202, -0.0184, -0.0163, -0.0142, -0.0117, -0.0091, -0.0063, -0.0033, -0.0002, 0.0031, 0.0065 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.015, "rotation": -0.02, "wingChange": 0.015, "rmsChange": 0.023 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.77985161, "daysToExpiry": 284.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2580.95, "previous": 2611.66, "change": -30.71, "percentChange": -1.18 }, "atmIv": { "current": 55.36, "previous": 55.32, "change": 0.04, "percentChange": 0.07 }, "rr25": { "current": 0.03, "previous": 0.08, "change": -0.05, "percentChange": -62.5 }, "bf25": { "current": 2.55, "previous": 2.62, "change": -0.07, "percentChange": -2.67 }, "svi": { "a": { "current": -0.0954, "previous": -0.0284, "change": -0.0669, "percentChange": -235.35 }, "b": { "current": 0.3726, "previous": 0.3043, "change": 0.0683, "percentChange": 22.43 }, "rho": { "current": -0.5541, "previous": -0.4751, "change": -0.079, "percentChange": -16.63 }, "m": { "current": -0.6182, "previous": -0.4433, "change": -0.1749, "percentChange": -39.46 }, "sigma": { "current": 1.0781, "previous": 1.0004, "change": 0.0777, "percentChange": 7.77 } }, "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": [ 57.4867, 57.3213, 57.1631, 57.012, 56.868, 56.7309, 56.6009, 56.4777, 56.3614, 56.252, 56.1492, 56.0532, 55.9637, 55.8808, 55.8043, 55.7342, 55.6704, 55.6128, 55.5613, 55.5159, 55.4764, 55.4427, 55.4147, 55.3925, 55.3757, 55.3644, 55.3585, 55.3579, 55.3624, 55.3719, 55.3864, 55.4058, 55.4299, 55.4587, 55.492, 55.5298, 55.572, 55.6184, 55.6689, 55.7236, 55.7822 ], "previous": [ 57.4589, 57.2932, 57.1344, 56.9825, 56.8375, 56.6993, 56.5681, 56.4437, 56.3261, 56.2153, 56.1112, 56.0139, 55.9232, 55.8391, 55.7615, 55.6905, 55.6258, 55.5675, 55.5154, 55.4695, 55.4296, 55.3958, 55.3679, 55.3458, 55.3295, 55.3188, 55.3136, 55.3138, 55.3194, 55.3302, 55.3461, 55.3671, 55.3929, 55.4236, 55.459, 55.4989, 55.5434, 55.5923, 55.6455, 55.7028, 55.7642 ], "change": [ 0.0278, 0.0281, 0.0287, 0.0295, 0.0305, 0.0316, 0.0328, 0.034, 0.0353, 0.0367, 0.038, 0.0393, 0.0405, 0.0417, 0.0428, 0.0437, 0.0446, 0.0453, 0.0459, 0.0464, 0.0468, 0.0469, 0.0468, 0.0467, 0.0462, 0.0456, 0.0449, 0.0441, 0.043, 0.0417, 0.0403, 0.0387, 0.037, 0.0351, 0.033, 0.0309, 0.0286, 0.0261, 0.0234, 0.0208, 0.018 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.042, "rotation": 0.002, "wingChange": -0.008, "rmsChange": 0.038 } } ], "events": [ { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 3.94, "score": 3.94, "unit": "volatility points" }, { "type": "rotation", "title": "Largest eligible smile rotation", "label": "16SEP26", "value": -2.907, "score": 2.907, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": -0.45, "score": 0.45, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": 0.15, "score": 0.15, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "2OCT26", "value": 0.1097, "score": 0.1097, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25JUN27", "value": -0.079, "score": 0.079, "unit": "parameter units" } ], "expiryEffects": [ { "label": "14SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -7.872, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "15SEP26", "daysToExpiry": 1.646, "metric": "ATM IV change", "value": 5.78, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 8.8251259, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "14SEP26", "expiry": 1789372800000, "value": 0.010391242665, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "14SEP26", "expiry": 1789372800000, "value": -11.85695986, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00170967, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -0.95250875, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "14SEP26", "values": [ 63.8554, 60.7131, 57.5772, 54.4476, 51.3244, 48.207, 45.0953, 41.9883, 38.885, 35.7841, 32.6836, 29.581, 26.4738, 23.3588, 20.2341, 17.1027, 13.9805, 10.9197, 8.053, 5.6544, 4.1274, 3.7902, 4.6152, 6.2943, 8.4958, 10.9897, 13.6429, 16.3828, 19.1703, 21.9839, 24.8116, 27.6464, 30.4844, 33.3232, 36.1616, 38.9986, 41.8339, 44.6671, 47.4982, 50.3272, 53.154 ] }, { "label": "15SEP26", "values": [ 32.0743, 30.6077, 29.138, 27.6659, 26.1922, 24.7179, 23.2441, 21.772, 20.3032, 18.8397, 17.3841, 15.9397, 14.5114, 13.1062, 11.7345, 10.4122, 9.163, 8.0225, 7.0399, 6.2763, 5.7932, 5.6327, 5.801, 6.2666, 6.9751, 7.8681, 8.8944, 10.0145, 11.199, 12.4276, 13.6857, 14.963, 16.2524, 17.5484, 18.8471, 20.1459, 21.4424, 22.7349, 24.0222, 25.3033, 26.5774 ] }, { "label": "16SEP26", "values": [ 23.7263, 22.7285, 21.7215, 20.7062, 19.6831, 18.6531, 17.6173, 16.5769, 15.5338, 14.4901, 13.4487, 12.4136, 11.3901, 10.3856, 9.4105, 8.479, 7.6105, 6.83, 6.1674, 5.6553, 5.3224, 5.1881, 5.2563, 5.5154, 5.9424, 6.5085, 7.1846, 7.9452, 8.7689, 9.6386, 10.5413, 11.4671, 12.4083, 13.359, 14.3151, 15.2727, 16.2295, 17.1833, 18.1324, 19.0756, 20.0117 ] }, { "label": "18SEP26", "values": [ 8.6951, 8.4012, 8.1146, 7.8357, 7.5652, 7.3036, 7.0516, 6.8096, 6.5786, 6.3591, 6.152, 5.9578, 5.7774, 5.6111, 5.4595, 5.3225, 5.2005, 5.0928, 4.9997, 4.9209, 4.8567, 4.8079, 4.7756, 4.7616, 4.7672, 4.7939, 4.8421, 4.9122, 5.0034, 5.1152, 5.2459, 5.3944, 5.559, 5.7385, 5.9312, 6.1358, 6.3513, 6.5762, 6.81, 7.0514, 7.2997 ] }, { "label": "25SEP26", "values": [ 5.1426, 4.9829, 4.8237, 4.6654, 4.5084, 4.3531, 4.1997, 4.0489, 3.901, 3.7568, 3.6166, 3.4812, 3.3513, 3.2278, 3.1113, 3.0029, 2.9032, 2.8132, 2.7335, 2.6651, 2.6082, 2.5634, 2.5311, 2.5113, 2.5038, 2.5087, 2.5252, 2.5529, 2.5913, 2.6393, 2.6964, 2.7617, 2.8343, 2.9136, 2.9987, 3.0889, 3.1836, 3.282, 3.3838, 3.4883, 3.5951 ] }, { "label": "2OCT26", "values": [ 0.6188, 0.6915, 0.7672, 0.8453, 0.9251, 1.0059, 1.0869, 1.167, 1.2451, 1.3203, 1.3911, 1.4562, 1.5146, 1.5645, 1.6048, 1.6342, 1.6516, 1.656, 1.6467, 1.6233, 1.5856, 1.5339, 1.4685, 1.3902, 1.3002, 1.1997, 1.09, 0.9726, 0.8492, 0.7212, 0.5901, 0.4572, 0.3238, 0.191, 0.0598, -0.0691, -0.1947, -0.3167, -0.4344, -0.5476, -0.656 ] }, { "label": "30OCT26", "values": [ 1.2026, 1.1829, 1.163, 1.143, 1.1229, 1.1026, 1.0823, 1.0618, 1.0413, 1.0209, 1.0003, 0.9799, 0.9596, 0.9395, 0.9196, 0.9, 0.8808, 0.8618, 0.8435, 0.8257, 0.8085, 0.7921, 0.7763, 0.7615, 0.7475, 0.7344, 0.7222, 0.7112, 0.7012, 0.6921, 0.6843, 0.6775, 0.6718, 0.6671, 0.6636, 0.6611, 0.6596, 0.6591, 0.6597, 0.6611, 0.6635 ] }, { "label": "27NOV26", "values": [ 1.1286, 1.0875, 1.0466, 1.006, 0.9655, 0.9252, 0.8852, 0.8456, 0.8062, 0.7672, 0.7286, 0.6903, 0.6526, 0.6155, 0.5787, 0.5425, 0.5071, 0.4722, 0.4381, 0.4047, 0.3721, 0.3403, 0.3094, 0.2794, 0.2503, 0.2222, 0.1951, 0.1689, 0.1438, 0.1199, 0.0969, 0.0749, 0.0541, 0.0343, 0.0156, -0.002, -0.0186, -0.0342, -0.0487, -0.0622, -0.0748 ] }, { "label": "25DEC26", "values": [ 0.2605, 0.2509, 0.242, 0.2336, 0.2259, 0.2187, 0.212, 0.2057, 0.2, 0.1946, 0.1894, 0.1847, 0.1802, 0.1759, 0.1718, 0.1678, 0.1639, 0.1601, 0.1563, 0.1526, 0.1488, 0.1449, 0.1411, 0.1372, 0.133, 0.129, 0.1247, 0.1204, 0.1159, 0.1114, 0.1067, 0.1021, 0.0973, 0.0924, 0.0876, 0.0827, 0.0778, 0.0729, 0.068, 0.0631, 0.0583 ] }, { "label": "26MAR27", "values": [ 0.0573, 0.0501, 0.0433, 0.0366, 0.0304, 0.0245, 0.0189, 0.0137, 0.0087, 0.0041, -0.0002, -0.0042, -0.0078, -0.011, -0.014, -0.0166, -0.0189, -0.0209, -0.0226, -0.0239, -0.0249, -0.0257, -0.0262, -0.0263, -0.0262, -0.0259, -0.0252, -0.0243, -0.0232, -0.0218, -0.0202, -0.0184, -0.0163, -0.0142, -0.0117, -0.0091, -0.0063, -0.0033, -0.0002, 0.0031, 0.0065 ] }, { "label": "25JUN27", "values": [ 0.0278, 0.0281, 0.0287, 0.0295, 0.0305, 0.0316, 0.0328, 0.034, 0.0353, 0.0367, 0.038, 0.0393, 0.0405, 0.0417, 0.0428, 0.0437, 0.0446, 0.0453, 0.0459, 0.0464, 0.0468, 0.0469, 0.0468, 0.0467, 0.0462, 0.0456, 0.0449, 0.0441, 0.043, 0.0417, 0.0403, 0.0387, 0.037, 0.0351, 0.033, 0.0309, 0.0286, 0.0261, 0.0234, 0.0208, 0.018 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options turn more defensive as near-term volatility climbs", "standfirst": "Ether one-week ATM IV rose 3.94 volatility points to 52.42% during the observation window, while the 24-hour spot-index return was -1.17%. At the cutoff, one-week ATM IV sat 7.23 points above seven-day realised volatility, signalling a higher implied reading than the recent realised measure. DerivaSys data also show downside relative volatility becoming richer: Ether two-week RR25 fell 0.45 points to -1.40%, meaning puts were richer than calls on that measure.", "days": [ { "reportDate": "2026-09-13", "headline": "Ether short-dated volatility turns higher", "summary": "One-week implied volatility rose as relative put-side volatility strengthened across the front end.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options turn more defensive as near-term volatility climbs", "standfirst": "Ether one-week ATM IV rose 3.94 volatility points to 52.42% during the observation window, while the 24-hour spot-index return was -1.17%. At the cutoff, one-week ATM IV sat 7.23 points above seven-day realised volatility, signalling a higher implied reading than the recent realised measure. DerivaSys data also show downside relative volatility becoming richer: Ether two-week RR25 fell 0.45 points to -1.40%, meaning puts were richer than calls on that measure.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. 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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789921800205, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.42, "previous": 48.48, "change": 3.94, "percentChange": 8.13 }, "rr25": { "current": -1.48, "previous": -1.17, "change": -0.31, "percentChange": -26.5 }, "bf25": { "current": 3.18, "previous": 3.15, "change": 0.03, "percentChange": 0.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.94, "movePercentile30d": 68.2, "movePercentileFullHistory": 73.1, "currentLevelPercentileFullHistory": 82.8, "classificationPercentile": 73.1, "label": "notable", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 9.1, "movePercentileFullHistory": 11.5, "currentLevelPercentileFullHistory": 20.7, "classificationPercentile": 11.5, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 4.5, "movePercentileFullHistory": 7.7, "currentLevelPercentileFullHistory": 75.9, "classificationPercentile": 7.7, "label": "routine", "observations30d": 22, "observationsFullHistory": 26, "levelObservationsFullHistory": 29 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-13", "generatedAt": "2026-09-13T16:30:59+00:00", "currentSnapshotAt": "2026-09-13T16:30:00+00:00", "previousSnapshotAt": "2026-09-12T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 356454, "timestamp": "2026-09-13T16:30:00+00:00" }, "previous": { "id": 346344, "timestamp": "2026-09-12T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 30d is incomplete: expected 43200 one-minute returns, found 43164 (99.9167% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02744816, "previousObjective": 0.01498456, "currentLiveError": 16.94340378, "previousLiveError": 6.91029582 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "15SEP26" ], "removedExpiries": [ "13SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana one-week volatility rises as skew shifts toward puts", "executiveSummary": "Solana one-week ATM IV reached 53.92% after climbing 4.05 points. The surface also saw RR25 move 2.59 points toward puts, although its positive level still left call volatility richer than put volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25", "bf25" ], "newsSummary": "No qualifying Solana or broader-market news context was retained.", "marketContextSummary": "No retained news event offers a supported direct explanation for the Solana options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.21 volatility points to 53.51% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.59 volatility points to 2.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 4.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.05 volatility points at 1W, to 53.92%.", "tenor": "1W", "value": 4.05 } ] }, "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": "2026-09-13T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "50ee5552cd3faf3eeceb06023bb574c19f7b4e30538862e1ef3ffff531fb7572" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-13T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-12T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "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 rose 4.05 volatility points to 53.92%. Front-end ATM IV averaged 53.51%, +2.21 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 2.59 volatility points toward puts to 1.89%, leaving calls richer than puts. 1W BF25 rose 0.65 volatility points to 4.31%. The nearest eligible forward, 18SEP26, fell $1.34 (-1.31%) to $100.69. 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 +2.21 volatility points to 53.51% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.59 volatility points to 2.22% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.25 volatility points to 4.12% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.05 volatility points at 1W, to 53.92%.", "tenor": "1W", "value": 4.05 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.86, "rr25Change": -1.59, "bf25Change": 0.25, "largestAtmMove": { "tenor": "1W", "current": 53.92, "previous": 49.87, "change": 4.05, "historicalSignificance": { "absoluteMove": 4.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } }, "frontEndAverageAtm": { "current": 53.51, "previous": 51.29, "change": 2.21 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.89, "previous": 4.48, "change": -2.59, "historicalSignificance": { "absoluteMove": 2.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 4.31, "previous": 3.66, "change": 0.65, "historicalSignificance": { "absoluteMove": 0.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 4.646, "current": 100.69, "previous": 102.03, "change": -1.34, "percentChange": -1.31 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1789921800721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.92, "previous": 49.87, "change": 4.05, "percentChange": 8.12 }, "rr25": { "current": 1.89, "previous": 4.48, "change": -2.59, "percentChange": -57.81 }, "bf25": { "current": 4.31, "previous": 3.66, "change": 0.65, "percentChange": 17.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "2W", "targetExpiry": 1790526600721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.96, "previous": 51.45, "change": 1.51, "percentChange": 2.93 }, "rr25": { "current": 2.03, "previous": 4.47, "change": -2.44, "percentChange": -54.59 }, "bf25": { "current": 3.89, "previous": 3.25, "change": 0.64, "percentChange": 19.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.51, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.64, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "1M", "targetExpiry": 1791909000721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.64, "previous": 52.56, "change": 1.08, "percentChange": 2.05 }, "rr25": { "current": 2.1, "previous": 3.32, "change": -1.22, "percentChange": -36.75 }, "bf25": { "current": 3.74, "previous": 3.82, "change": -0.08, "percentChange": -2.09 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 1.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "3M", "targetExpiry": 1797179400721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.73, "previous": 51.93, "change": 0.8, "percentChange": 1.54 }, "rr25": { "current": 2.86, "previous": 2.96, "change": -0.1, "percentChange": -3.38 }, "bf25": { "current": 4.54, "previous": 4.76, "change": -0.22, "percentChange": -4.62 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.8, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } }, { "tenor": "6M", "targetExpiry": 1805041800721, "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": 1812904200721, "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": 1820853000721, "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": "14SEP26", "expiry": 1789372800000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 100.73, "previous": 102.06, "change": -1.33, "percentChange": -1.3 }, "atmIv": { "current": 48.17, "previous": 41.95, "change": 6.22, "percentChange": 14.83 }, "rr25": { "current": -8.02, "previous": -0.69, "change": -7.33, "percentChange": -1062.32 }, "bf25": { "current": 2.98, "previous": 2.27, "change": 0.71, "percentChange": 31.28 }, "svi": { "a": { "current": -0.0238, "previous": -0.0403, "change": 0.0165, "percentChange": 41.03 }, "b": { "current": 0.0787, "previous": 0.0974, "change": -0.0187, "percentChange": -19.19 }, "rho": { "current": -0.2503, "previous": -0.0842, "change": -0.1661, "percentChange": -197.34 }, "m": { "current": -0.0612, "previous": -0.0326, "change": -0.0286, "percentChange": -87.93 }, "sigma": { "current": 0.3169, "previous": 0.4238, "change": -0.1069, "percentChange": -25.22 } }, "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": [ 262.014, 251.0967, 240.0415, 228.8539, 217.5416, 206.1145, 194.5851, 182.969, 171.2857, 159.5589, 147.818, 136.0994, 124.4488, 112.9242, 101.6021, 90.5856, 80.0198, 70.1149, 61.1829, 53.6806, 48.2248, 45.4793, 45.8386, 49.1335, 54.7366, 61.9299, 70.138, 78.965, 88.1528, 97.5343, 107.0002, 116.478, 125.9185, 135.2885, 144.5649, 153.7321, 162.7796, 171.7008, 180.4914, 189.1495, 197.6743 ], "previous": [ 153.7662, 147.2342, 140.6573, 134.0416, 127.3948, 120.726, 114.0468, 107.3709, 100.716, 94.1035, 87.5609, 81.123, 74.8346, 68.7545, 62.9597, 57.5516, 52.6627, 48.4606, 45.1438, 42.9198, 41.9591, 42.3395, 44.0135, 46.8264, 50.57, 55.0347, 60.0391, 65.4384, 71.1219, 77.0061, 83.0286, 89.1424, 95.3118, 101.5096, 107.7147, 113.9108, 120.0851, 126.2276, 132.3305, 138.3875, 144.394 ], "change": [ 108.2478, 103.8625, 99.3842, 94.8123, 90.1468, 85.3885, 80.5383, 75.5981, 70.5697, 65.4554, 60.2571, 54.9764, 49.6142, 44.1697, 38.6424, 33.034, 27.3571, 21.6543, 16.0391, 10.7608, 6.2657, 3.1398, 1.8251, 2.3071, 4.1666, 6.8952, 10.0989, 13.5266, 17.0309, 20.5282, 23.9716, 27.3356, 30.6067, 33.7789, 36.8502, 39.8213, 42.6945, 45.4732, 48.1609, 50.762, 53.2803 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 30.165, "rotation": -36.285, "wingChange": 35.849, "rmsChange": 52.402 } }, { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 100.69, "previous": 102.03, "change": -1.34, "percentChange": -1.31 }, "atmIv": { "current": 55.42, "previous": 49.13, "change": 6.29, "percentChange": 12.8 }, "rr25": { "current": 1.75, "previous": 4.36, "change": -2.61, "percentChange": -59.86 }, "bf25": { "current": 4.77, "previous": 3.96, "change": 0.81, "percentChange": 20.45 }, "svi": { "a": { "current": -0.0549, "previous": -0.0284, "change": -0.0265, "percentChange": -93.33 }, "b": { "current": 0.1453, "previous": 0.1073, "change": 0.038, "percentChange": 35.4 }, "rho": { "current": -0.0654, "previous": -0.1692, "change": 0.1038, "percentChange": 61.34 }, "m": { "current": -0.0322, "previous": -0.073, "change": 0.0408, "percentChange": 55.93 }, "sigma": { "current": 0.4052, "previous": 0.3028, "change": 0.1025, "percentChange": 33.85 } }, "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": [ 119.8079, 115.3964, 110.984, 106.5797, 102.1943, 97.8407, 93.5338, 89.2919, 85.1361, 81.0914, 77.1872, 73.4577, 69.9423, 66.6857, 63.7375, 61.1509, 58.9808, 57.2797, 56.0934, 55.4558, 55.3843, 55.8774, 56.9144, 58.4587, 60.4621, 62.8703, 65.6274, 68.6794, 71.9766, 75.4746, 79.1345, 82.923, 86.8117, 90.7766, 94.7977, 98.858, 102.9435, 107.0425, 111.1453, 115.2437, 119.3311 ], "previous": [ 102.8256, 98.9251, 95.0138, 91.1012, 87.1993, 83.3224, 79.488, 75.717, 72.0342, 68.469, 65.0557, 61.8337, 58.8475, 56.1461, 53.7814, 51.8052, 50.2659, 49.2029, 48.6424, 48.5928, 49.0435, 49.9662, 51.3188, 53.0506, 55.1073, 57.4355, 59.9853, 62.7124, 65.5781, 68.5497, 71.5996, 74.7053, 77.848, 81.0126, 84.187, 87.361, 90.527, 93.6784, 96.8105, 99.9191, 103.0014 ], "change": [ 16.9823, 16.4713, 15.9702, 15.4785, 14.995, 14.5183, 14.0458, 13.5749, 13.1019, 12.6224, 12.1315, 11.624, 11.0948, 10.5396, 9.9561, 9.3457, 8.7149, 8.0768, 7.451, 6.863, 6.3408, 5.9112, 5.5956, 5.4081, 5.3548, 5.4348, 5.6421, 5.967, 6.3985, 6.9249, 7.5349, 8.2177, 8.9637, 9.764, 10.6107, 11.497, 12.4165, 13.3641, 14.3348, 15.3246, 16.3297 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 8.669, "rotation": -4.597, "wingChange": 3.492, "rmsChange": 11.136 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 100.75, "previous": 102.09, "change": -1.34, "percentChange": -1.31 }, "atmIv": { "current": 52.7, "previous": 51.22, "change": 1.48, "percentChange": 2.89 }, "rr25": { "current": 2.0, "previous": 4.7, "change": -2.7, "percentChange": -57.45 }, "bf25": { "current": 3.94, "previous": 3.14, "change": 0.8, "percentChange": 25.48 }, "svi": { "a": { "current": -0.0815, "previous": -0.0406, "change": -0.0409, "percentChange": -100.61 }, "b": { "current": 0.1683, "previous": 0.1301, "change": 0.0382, "percentChange": 29.34 }, "rho": { "current": -0.0616, "previous": -0.3146, "change": 0.2531, "percentChange": 80.43 }, "m": { "current": -0.0446, "previous": -0.1762, "change": 0.1316, "percentChange": 74.69 }, "sigma": { "current": 0.538, "previous": 0.4002, "change": 0.1377, "percentChange": 34.42 } }, "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": [ 81.7556, 79.3987, 77.0786, 74.8022, 72.5772, 70.412, 68.3158, 66.2987, 64.3715, 62.5457, 60.8338, 59.2484, 57.8027, 56.5098, 55.3824, 54.4324, 53.6703, 53.1052, 52.7434, 52.5891, 52.6432, 52.904, 53.3669, 54.0245, 54.8674, 55.8846, 57.0636, 58.3915, 59.8549, 61.4404, 63.1354, 64.9274, 66.805, 68.7574, 70.7747, 72.8481, 74.9692, 77.1308, 79.3262, 81.5496, 83.7955 ], "previous": [ 73.9177, 71.6198, 69.3824, 67.2156, 65.1297, 63.136, 61.246, 59.4716, 57.8248, 56.3174, 54.9606, 53.7649, 52.7392, 51.8912, 51.226, 50.7468, 50.4539, 50.3454, 50.4166, 50.6607, 51.0688, 51.6307, 52.335, 53.1695, 54.1221, 55.1806, 56.3331, 57.5685, 58.8762, 60.2467, 61.6709, 63.1409, 64.6495, 66.1901, 67.7572, 69.3457, 70.9509, 72.5692, 74.1969, 75.8312, 77.4693 ], "change": [ 7.8379, 7.7789, 7.6962, 7.5866, 7.4475, 7.276, 7.0698, 6.8271, 6.5467, 6.2283, 5.8732, 5.4835, 5.0635, 4.6186, 4.1564, 3.6856, 3.2164, 2.7598, 2.3268, 1.9284, 1.5744, 1.2733, 1.0319, 0.855, 0.7453, 0.704, 0.7305, 0.823, 0.9787, 1.1937, 1.4645, 1.7865, 2.1555, 2.5673, 3.0175, 3.5024, 4.0183, 4.5616, 5.1293, 5.7184, 6.3262 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 2.971, "rotation": -4.409, "wingChange": 2.094, "rmsChange": 4.631 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.12779682, "daysToExpiry": 46.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 101.01, "previous": 102.3, "change": -1.29, "percentChange": -1.26 }, "atmIv": { "current": 53.85, "previous": 52.91, "change": 0.94, "percentChange": 1.78 }, "rr25": { "current": 2.12, "previous": 2.97, "change": -0.85, "percentChange": -28.62 }, "bf25": { "current": 3.7, "previous": 4.01, "change": -0.31, "percentChange": -7.73 }, "svi": { "a": { "current": -0.0664, "previous": -0.0338, "change": -0.0326, "percentChange": -96.54 }, "b": { "current": 0.1752, "previous": 0.1535, "change": 0.0217, "percentChange": 14.14 }, "rho": { "current": -0.0984, "previous": -0.1159, "change": 0.0175, "percentChange": 15.1 }, "m": { "current": -0.0774, "previous": -0.0836, "change": 0.0062, "percentChange": 7.37 }, "sigma": { "current": 0.5922, "previous": 0.4588, "change": 0.1334, "percentChange": 29.07 } }, "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": [ 61.467, 60.7272, 60.0147, 59.3314, 58.6791, 58.0598, 57.4751, 56.927, 56.4171, 55.9471, 55.5185, 55.1328, 54.7912, 54.495, 54.2449, 54.0419, 53.8864, 53.7789, 53.7194, 53.7078, 53.744, 53.8273, 53.957, 54.1322, 54.3519, 54.6148, 54.9195, 55.2645, 55.6482, 56.069, 56.525, 57.0146, 57.5359, 58.087, 58.6663, 59.2719, 59.9021, 60.5552, 61.2295, 61.9235, 62.6356 ], "previous": [ 60.5942, 59.8177, 59.0684, 58.3488, 57.6613, 57.0085, 56.3926, 55.8163, 55.2818, 54.7914, 54.3473, 53.9513, 53.6051, 53.3103, 53.068, 52.8791, 52.7441, 52.6634, 52.6367, 52.6637, 52.7435, 52.8752, 53.0573, 53.2882, 53.5663, 53.8894, 54.2554, 54.6622, 55.1074, 55.5886, 56.1035, 56.6497, 57.225, 57.827, 58.4537, 59.1028, 59.7725, 60.4608, 61.1658, 61.8861, 62.6198 ], "change": [ 0.8728, 0.9095, 0.9463, 0.9826, 1.0178, 1.0513, 1.0825, 1.1107, 1.1353, 1.1557, 1.1712, 1.1815, 1.1861, 1.1847, 1.1769, 1.1628, 1.1423, 1.1155, 1.0827, 1.0441, 1.0005, 0.9521, 0.8997, 0.844, 0.7856, 0.7254, 0.6641, 0.6023, 0.5408, 0.4804, 0.4215, 0.3649, 0.3109, 0.26, 0.2126, 0.1691, 0.1296, 0.0944, 0.0637, 0.0374, 0.0158 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.864, "rotation": -0.75, "wingChange": -0.204, "rmsChange": 0.859 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.28122147, "daysToExpiry": 102.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 101.36, "previous": 102.69, "change": -1.33, "percentChange": -1.3 }, "atmIv": { "current": 52.6, "previous": 51.8, "change": 0.8, "percentChange": 1.54 }, "rr25": { "current": 2.95, "previous": 2.96, "change": -0.01, "percentChange": -0.34 }, "bf25": { "current": 4.63, "previous": 4.86, "change": -0.23, "percentChange": -4.73 }, "svi": { "a": { "current": -0.0308, "previous": -0.0283, "change": -0.0025, "percentChange": -8.95 }, "b": { "current": 0.2012, "previous": 0.2038, "change": -0.0026, "percentChange": -1.25 }, "rho": { "current": -0.0503, "previous": -0.0542, "change": 0.0039, "percentChange": 7.17 }, "m": { "current": -0.0474, "previous": -0.0457, "change": -0.0017, "percentChange": -3.79 }, "sigma": { "current": 0.5372, "previous": 0.5104, "change": 0.0268, "percentChange": 5.26 } }, "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": [ 56.9434, 56.5032, 56.08, 55.6748, 55.2887, 54.9226, 54.5775, 54.2545, 53.9544, 53.6782, 53.4267, 53.2007, 53.0009, 52.828, 52.6825, 52.5648, 52.4753, 52.4142, 52.3816, 52.3776, 52.402, 52.4546, 52.5352, 52.6432, 52.7781, 52.9395, 53.1264, 53.3383, 53.5742, 53.8333, 54.1147, 54.4174, 54.7404, 55.0828, 55.4435, 55.8216, 56.216, 56.6259, 57.0501, 57.4879, 57.9383 ], "previous": [ 56.5223, 56.0543, 55.6035, 55.171, 54.758, 54.3656, 53.9949, 53.6471, 53.3233, 53.0245, 52.7516, 52.5057, 52.2875, 52.0979, 51.9374, 51.8066, 51.7059, 51.6356, 51.5958, 51.5867, 51.608, 51.6596, 51.7411, 51.8519, 51.9916, 52.1594, 52.3545, 52.576, 52.823, 53.0945, 53.3894, 53.7067, 54.0452, 54.4039, 54.7816, 55.1771, 55.5895, 56.0177, 56.4604, 56.9169, 57.386 ], "change": [ 0.4211, 0.4489, 0.4765, 0.5038, 0.5307, 0.557, 0.5826, 0.6074, 0.6311, 0.6537, 0.6751, 0.695, 0.7134, 0.7301, 0.7451, 0.7582, 0.7694, 0.7786, 0.7858, 0.7909, 0.794, 0.795, 0.7941, 0.7913, 0.7865, 0.7801, 0.7719, 0.7623, 0.7512, 0.7388, 0.7253, 0.7107, 0.6952, 0.6789, 0.6619, 0.6445, 0.6265, 0.6082, 0.5897, 0.571, 0.5523 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.731, "rotation": 0.05, "wingChange": -0.094, "rmsChange": 0.683 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "18SEP26", "value": -4.597, "score": 4.597, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 4.05, "score": 4.05, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -2.59, "score": 2.59, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": 0.65, "score": 0.65, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": 0.2531, "score": 0.2531, "unit": "parameter units" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25SEP26", "value": 0.1377, "score": 0.1377, "unit": "parameter units" } ], "expiryEffects": [ { "label": "14SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -36.285, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.2123621, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "14SEP26", "expiry": 1789372800000, "value": 0.195450534685, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "14SEP26", "expiry": 1789372800000, "value": -0.63035465, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00104756, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00785328, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "14SEP26", "values": [ 108.2478, 103.8625, 99.3842, 94.8123, 90.1468, 85.3885, 80.5383, 75.5981, 70.5697, 65.4554, 60.2571, 54.9764, 49.6142, 44.1697, 38.6424, 33.034, 27.3571, 21.6543, 16.0391, 10.7608, 6.2657, 3.1398, 1.8251, 2.3071, 4.1666, 6.8952, 10.0989, 13.5266, 17.0309, 20.5282, 23.9716, 27.3356, 30.6067, 33.7789, 36.8502, 39.8213, 42.6945, 45.4732, 48.1609, 50.762, 53.2803 ] }, { "label": "18SEP26", "values": [ 16.9823, 16.4713, 15.9702, 15.4785, 14.995, 14.5183, 14.0458, 13.5749, 13.1019, 12.6224, 12.1315, 11.624, 11.0948, 10.5396, 9.9561, 9.3457, 8.7149, 8.0768, 7.451, 6.863, 6.3408, 5.9112, 5.5956, 5.4081, 5.3548, 5.4348, 5.6421, 5.967, 6.3985, 6.9249, 7.5349, 8.2177, 8.9637, 9.764, 10.6107, 11.497, 12.4165, 13.3641, 14.3348, 15.3246, 16.3297 ] }, { "label": "25SEP26", "values": [ 7.8379, 7.7789, 7.6962, 7.5866, 7.4475, 7.276, 7.0698, 6.8271, 6.5467, 6.2283, 5.8732, 5.4835, 5.0635, 4.6186, 4.1564, 3.6856, 3.2164, 2.7598, 2.3268, 1.9284, 1.5744, 1.2733, 1.0319, 0.855, 0.7453, 0.704, 0.7305, 0.823, 0.9787, 1.1937, 1.4645, 1.7865, 2.1555, 2.5673, 3.0175, 3.5024, 4.0183, 4.5616, 5.1293, 5.7184, 6.3262 ] }, { "label": "30OCT26", "values": [ 0.8728, 0.9095, 0.9463, 0.9826, 1.0178, 1.0513, 1.0825, 1.1107, 1.1353, 1.1557, 1.1712, 1.1815, 1.1861, 1.1847, 1.1769, 1.1628, 1.1423, 1.1155, 1.0827, 1.0441, 1.0005, 0.9521, 0.8997, 0.844, 0.7856, 0.7254, 0.6641, 0.6023, 0.5408, 0.4804, 0.4215, 0.3649, 0.3109, 0.26, 0.2126, 0.1691, 0.1296, 0.0944, 0.0637, 0.0374, 0.0158 ] }, { "label": "25DEC26", "values": [ 0.4211, 0.4489, 0.4765, 0.5038, 0.5307, 0.557, 0.5826, 0.6074, 0.6311, 0.6537, 0.6751, 0.695, 0.7134, 0.7301, 0.7451, 0.7582, 0.7694, 0.7786, 0.7858, 0.7909, 0.794, 0.795, 0.7941, 0.7913, 0.7865, 0.7801, 0.7719, 0.7623, 0.7512, 0.7388, 0.7253, 0.7107, 0.6952, 0.6789, 0.6619, 0.6445, 0.6265, 0.6082, 0.5897, 0.571, 0.5523 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options reprice higher as call-side skew fades", "standfirst": "Solana one-week ATM IV rose 4.05 volatility points to 53.92% over the observation window, the largest standard-tenor rise on the surface. One-week RR25 fell 2.59 volatility points to 1.89%, a substantial shift toward puts in relative volatility while calls remained richer than puts at the cutoff. Front-end ATM IV averaged 53.51%, up 2.21 points. Realised-volatility comparisons were unavailable because the minute series did not meet the completeness requirement.", "days": [ { "reportDate": "2026-09-13", "headline": "Solana volatility and skew reprice", "summary": "One-week implied volatility rose sharply as relative call-side richness narrowed toward puts.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options reprice higher as call-side skew fades", "standfirst": "Solana one-week ATM IV rose 4.05 volatility points to 53.92% over the observation window, the largest standard-tenor rise on the surface. One-week RR25 fell 2.59 volatility points to 1.89%, a substantial shift toward puts in relative volatility while calls remained richer than puts at the cutoff. Front-end ATM IV averaged 53.51%, up 2.21 points. Realised-volatility comparisons were unavailable because the minute series did not meet the completeness requirement.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Latest completed common SPX/VIX-family session. 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 30-day fixed-tenor surface and canonical crypto index; VIX from ^VIX and SPX RV from ^GSPC. Crypto RV annualisation sqrt(365); SPX RV annualisation sqrt(252). Providers: derivasys+yahoo_finance." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1789921800721, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.92, "previous": 49.87, "change": 4.05, "percentChange": 8.12 }, "rr25": { "current": 1.89, "previous": 4.48, "change": -2.59, "percentChange": -57.81 }, "bf25": { "current": 4.31, "previous": 3.66, "change": 0.65, "percentChange": 17.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "rr25": { "absoluteMove": 2.59, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 }, "bf25": { "absoluteMove": 0.65, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 16, "observationsFullHistory": 16, "levelObservationsFullHistory": 17 } } } } ], "crossAssetAnalysis": { "schemaVersion": 1, "purpose": "Explain what is happening between BTC, ETH and SOL, not recap the component reports.", "returnMetric": { "key": "spotPerformance24h", "source": "spotMove24hPercent", "label": "24h spot-index return", "unit": "percent" }, "assets": [ "BTC", "ETH", "SOL" ], "comparableAssets": [ "BTC", "ETH", "SOL" ], "oneWeek": { "atmIvLevel": { "leader": "SOL", "laggard": "BTC", "highest": 53.92, "lowest": 38.1, "spread": 15.82, "highestToLowestRatio": 1.4152, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 53.92, "values": [ { "asset": "BTC", "value": 38.1 }, { "asset": "ETH", "value": 52.42 }, { "asset": "SOL", "value": 53.92 } ], "previousSpread": 15.1, "spreadChange": 0.72, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "BTC", "highest": 4.05, "lowest": 3.33, "spread": 0.72, "highestToLowestRatio": 1.2162, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.05, "values": [ { "asset": "BTC", "value": 3.33 }, { "asset": "ETH", "value": 3.94 }, { "asset": "SOL", "value": 4.05 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": 1.89, "lowest": -1.48, "spread": 3.37, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 1.89, "values": [ { "asset": "BTC", "value": -0.77 }, { "asset": "ETH", "value": -1.48 }, { "asset": "SOL", "value": 1.89 } ], "previousSpread": 5.65, "spreadChange": -2.28, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "ETH", "laggard": "SOL", "highest": -0.31, "lowest": -2.59, "spread": 2.28, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -2.59, "values": [ { "asset": "BTC", "value": -0.41 }, { "asset": "ETH", "value": -0.31 }, { "asset": "SOL", "value": -2.59 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": 4.05 }, "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": 7.23, "lowest": 6.96, "spread": 0.27, "highestToLowestRatio": 1.0388, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.23, "values": [ { "asset": "BTC", "value": 6.96 }, { "asset": "ETH", "value": 7.23 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": -0.18, "lowest": -1.17, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.17, "values": [ { "asset": "BTC", "value": -0.18 }, { "asset": "ETH", "value": -1.17 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 53.92, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 52.42, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 38.1, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": 4.05, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 3.94, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": 3.33, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": 4.05, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 3.94, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": 3.33, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 7.23, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 6.96, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 1.89, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": -0.77, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "ETH", "value": -1.48, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": -1.48, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": -0.77, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 1.89, "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": -0.18, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -1.17, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "BTC", "value": 3.33, "groupMedian": 3.94, "distanceFromMedian": -0.61 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 38.1, "groupMedian": 52.42, "distanceFromMedian": -14.32 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 1.89, "groupMedian": -0.77, "distanceFromMedian": 2.66 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 0.27, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and BTC cheapest on one-week implied volatility versus seven-day realised volatility, with a 0.27-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 15, "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": 0.8013, "observations": 16 }, { "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": "BTC", "highest": 4.05, "lowest": 3.33, "spread": 0.72, "highestToLowestRatio": 1.2162, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 4.05, "values": [ { "asset": "BTC", "value": 3.33 }, { "asset": "ETH", "value": 3.94 }, { "asset": "SOL", "value": 4.05 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 53.92, "lowest": 38.1, "spread": 15.82, "highestToLowestRatio": 1.4152, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 53.92, "values": [ { "asset": "BTC", "value": 38.1 }, { "asset": "ETH", "value": 52.42 }, { "asset": "SOL", "value": 53.92 } ], "previousSpread": 15.1, "spreadChange": 0.72, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 1.89, "lowest": -1.48, "spread": 3.37, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 1.89, "values": [ { "asset": "BTC", "value": -0.77 }, { "asset": "ETH", "value": -1.48 }, { "asset": "SOL", "value": 1.89 } ], "previousSpread": 5.65, "spreadChange": -2.28, "dispersionDirection": "compressing" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 7.23, "lowest": 6.96, "spread": 0.27, "highestToLowestRatio": 1.0388, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 7.23, "values": [ { "asset": "BTC", "value": 6.96 }, { "asset": "ETH", "value": 7.23 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": -0.18, "lowest": -1.17, "spread": 0.99, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.17, "values": [ { "asset": "BTC", "value": -0.18 }, { "asset": "ETH", "value": -1.17 }, { "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": "2026-09-13T16:30:00+00:00", "window": { "startAt": "2026-09-12T16:30:00+00:00", "endAt": "2026-09-13T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options raise near-term volatility with Solana leading", "standfirst": "At the 16:30 UTC cutoff, Solana's one-week at-the-money implied-volatility reading was 53.92%, up 4.05 volatility points—the largest increase across the major-coin options markets. At-the-money implied volatility is the market's estimate of expected price movement centred on the prevailing price.\n\nEther's one-week at-the-money implied-volatility reading reached 52.42%, an increase of 3.94 volatility points, while Bitcoin's one-week at-the-money implied-volatility reading reached 38.10%, an increase of 3.33 volatility points. The Solana–Bitcoin one-week at-the-money implied-volatility change range was 0.72 volatility points. The Solana–Bitcoin one-week at-the-money implied-volatility level gap was 15.82 volatility points after widening by 0.72 volatility points.\n\nSolana's one-week 25-delta risk reversal, which compares call and put implied volatility, fell 2.59 volatility points toward puts to 1.89%, while remaining call-rich. The Solana–Ether one-week 25-delta risk-reversal level gap narrowed by 2.28 volatility points to 3.37 volatility points. Derivasys data underpin these options-market observations.", "days": [ { "reportDate": "2026-09-13", "headline": "Major-coin volatility rises across markets", "summary": "All three one-week volatility gauges increased, with Solana leading the measured expansion.", "macro": { "summary": "No qualifying macroeconomic events were retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto events were retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 1.5566666666666666, "rr25Change": -0.6866666666666666, "bf25Change": 0.15333333333333335 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana leads a broad rise in major-coin one-week volatility", "executiveSummary": "SOL, Ether and Bitcoin each registered a higher one-week ATM IV reading, with SOL posting the largest increase at 4.05 points. The three markets rose together, although Bitcoin remained the lowest-volatility market by level.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-rr25-dispersion" ], "newsSummary": "No qualifying news context was retained for the cross-major options comparison.", "marketContextSummary": "No retained news event supports a direct explanation for the comparative options move.", "marketContext": [], "newsEvidenceIds": [] } }