{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:59+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "headline": "Major-coin options diverge as Solana volatility pulls away from Bitcoin", "standfirst": "One-week ATM IV dispersion across Bitcoin, Ether and Solana widened 4.70 volatility points to 20.52 points. Solana’s one-week at-the-money implied volatility stood at 57.12% after rising 3.20 volatility points, while Bitcoin’s one-week at-the-money implied volatility fell 1.50 volatility points to 36.60%; Ether’s one-week at-the-money implied volatility was 53.06%. The result is a sharper relative-volatility split across major-coin options.", "marketSummary": "The one-week ATM IV range between Solana and Bitcoin expanded to 20.52 volatility points from 15.82 points. Solana led both the level and daily increase, whereas Bitcoin was the lowest-volatility and only declining major.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-14", "artifactId": "sha256:6700e6604722640982b96270da2570d76008bdc298d40e9cad1e8681cc705273", "contentSha256": "ba68bb9ddffc4c1de9497f1b1d43806ae9fb1dbc1557e6efcb5f58a70c3cfd8f", "currentSnapshotId": 366535, "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotId": 356453, "previousSnapshotAt": "2026-09-13T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-14", "artifactId": "sha256:e05495e2330776f1c336f479c2746ac2ba51f3a974b47dcf319cce9ac3612591", "contentSha256": "d9caaea6ffa161b0211ce7853bba17f7c36daedcfb9a972a800cf0f3f2fef182", "currentSnapshotId": 366529, "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotId": 356449, "previousSnapshotAt": "2026-09-13T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-14", "artifactId": "sha256:5bd2db54a0a0359addcd14946d92ea1888dac66bcea2cfc97ffbbe8de50746cf", "contentSha256": "4da202355e907121219a527c6e8dc009efc4156f1828c06ed4d13e6528edfe91", "currentSnapshotId": 366532, "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotId": 356454, "previousSnapshotAt": "2026-09-13T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:29+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366535, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356453, "timestamp": "2026-09-13T16:30:00+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": "2026-09-14T16:30:00+00:00", "spotWindowStart": "2026-09-13T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.84, "rv24hPercent": 34.77, "rv7dPercent": 32.41, "rv30dPercent": 39.72, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.6, "oneWeekIvMinus7dRvPoints": 4.19, "oneWeekIvMinus24hRvPoints": 1.83, "oneWeekIvMinus30dRvPoints": -3.12 }, "fitQuality": { "currentObjective": 0.05120529, "previousObjective": 0.13239087, "currentLiveError": 89.71009518, "previousLiveError": 106.56768758 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s front end eases as skew becomes less put-rich", "executiveSummary": "One-week Bitcoin RR25 moved toward calls to -0.15%, while the one-week ATM IV level declined to 36.60%. The skew remains negative, so put-side volatility remains relatively elevated despite the shift.", "evidenceIds": [ "rr25", "realised-vol", "front-atm", "largest-standard-tenor" ], "newsSummary": "News check: no qualifying Bitcoin-related or broader crypto event was retained.", "marketContextSummary": "There is no retained news context from which to assess an explanation for the options repricing.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying event was retained; the observed skew and volatility changes should not be assigned a catalyst.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 36.60%, 4.19 volatility points above seven-day realised volatility of 32.41%; 24-hour realised volatility was 34.77% and 30-day realised volatility was 39.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.95 volatility points to 36.05% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 39.32% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.19 volatility points to -0.56% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.50 volatility points at 1W, to 36.60%.", "tenor": "1W", "value": -1.5 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "MACRO" ], "completedScopes": [ "BTC", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "0cc75c9ce1e77af90fbb1863deaf32ede70f9aeb8aaca352993cfe2a11a03fe4" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV fell 1.50 volatility points to 36.60%, a routine move at the 43rd percentile among 143 comparable historical observations. At the cutoff, realised volatility measured 34.77% over 24 hours, 32.41% over seven days and 39.72% over 30 days. Front-end ATM IV averaged 36.05%, -0.95 points from the prior snapshot, while the long end averaged 39.32%, +0.02 points. 1W RR25 moved 0.62 volatility points toward calls to -0.15%, leaving puts richer than calls. 2W BF25 fell 0.18 volatility points to 1.97%. The nearest eligible forward, 17SEP26, rose $1,407.72 (+1.82%) to $78,658.46. 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 36.60%, 4.19 volatility points above seven-day realised volatility of 32.41%; 24-hour realised volatility was 34.77% and 30-day realised volatility was 39.72%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.95 volatility points to 36.05% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.02 volatility points to 39.32% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.19 volatility points to -0.56% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 2.20% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.50 volatility points at 1W, to 36.60%.", "tenor": "1W", "value": -1.5 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.59, "rr25Change": 0.19, "bf25Change": -0.08, "largestAtmMove": { "tenor": "1W", "current": 36.6, "previous": 38.1, "change": -1.5, "historicalSignificance": { "absoluteMove": 1.5, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } }, "frontEndAverageAtm": { "current": 36.05, "previous": 37.0, "change": -0.95 }, "longEndAverageAtm": { "current": 39.32, "previous": 39.3, "change": 0.02 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.15, "previous": -0.77, "change": 0.62, "historicalSignificance": { "absoluteMove": 0.62, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 88.9, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.97, "previous": 2.15, "change": -0.18, "historicalSignificance": { "absoluteMove": 0.18, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.8, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } }, "nearestEligibleForwardMove": { "label": "17SEP26", "daysToExpiry": 2.646, "current": 78658.46, "previous": 77250.74, "change": 1407.72, "percentChange": 1.82 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790008200695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.6, "previous": 38.1, "change": -1.5, "percentChange": -3.94 }, "rr25": { "current": -0.15, "previous": -0.77, "change": 0.62, "percentChange": 80.52 }, "bf25": { "current": 2.15, "previous": 2.11, "change": 0.04, "percentChange": 1.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.5, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.62, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 88.9, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 6.7, "movePercentileFullHistory": 14.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 14.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "2W", "targetExpiry": 1790613000695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.66, "previous": 36.54, "change": -0.88, "percentChange": -2.41 }, "rr25": { "current": -0.47, "previous": -0.67, "change": 0.2, "percentChange": 29.85 }, "bf25": { "current": 1.97, "previous": 2.15, "change": -0.18, "percentChange": -8.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.88, "movePercentile30d": 33.3, "movePercentileFullHistory": 40.6, "currentLevelPercentileFullHistory": 49.3, "classificationPercentile": 40.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.2, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.2, "currentLevelPercentileFullHistory": 86.8, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 66.7, "movePercentileFullHistory": 60.8, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "1M", "targetExpiry": 1791995400695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.89, "previous": 36.36, "change": -0.47, "percentChange": -1.29 }, "rr25": { "current": -0.72, "previous": -0.88, "change": 0.16, "percentChange": 18.18 }, "bf25": { "current": 2.1, "previous": 2.28, "change": -0.18, "percentChange": -7.89 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 30.0, "movePercentileFullHistory": 32.9, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 20.0, "movePercentileFullHistory": 18.9, "currentLevelPercentileFullHistory": 87.5, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 80.0, "movePercentileFullHistory": 75.5, "currentLevelPercentileFullHistory": 39.6, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "3M", "targetExpiry": 1797265800695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.13, "previous": 38.23, "change": -0.1, "percentChange": -0.26 }, "rr25": { "current": -0.8, "previous": -0.65, "change": -0.15, "percentChange": -23.08 }, "bf25": { "current": 2.28, "previous": 2.33, "change": -0.05, "percentChange": -2.15 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 10.0, "movePercentileFullHistory": 11.9, "currentLevelPercentileFullHistory": 35.4, "classificationPercentile": 11.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 26.7, "movePercentileFullHistory": 25.9, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 20.0, "movePercentileFullHistory": 30.8, "currentLevelPercentileFullHistory": 34.0, "classificationPercentile": 30.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "6M", "targetExpiry": 1805128200695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.32, "previous": 39.3, "change": 0.02, "percentChange": 0.05 }, "rr25": { "current": -0.65, "previous": -0.76, "change": 0.11, "percentChange": 14.47 }, "bf25": { "current": 2.51, "previous": 2.56, "change": -0.05, "percentChange": -1.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.1, "currentLevelPercentileFullHistory": 2.8, "classificationPercentile": 2.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.11, "movePercentile30d": 16.7, "movePercentileFullHistory": 24.5, "currentLevelPercentileFullHistory": 91.0, "classificationPercentile": 24.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.05, "movePercentile30d": 40.0, "movePercentileFullHistory": 45.5, "currentLevelPercentileFullHistory": 40.3, "classificationPercentile": 45.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } }, { "tenor": "9M", "targetExpiry": 1812990600695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.36, "previous": 40.41, "change": -0.05, "percentChange": -0.12 }, "rr25": { "current": -0.61, "previous": -0.64, "change": 0.03, "percentChange": 4.69 }, "bf25": { "current": 2.63, "previous": 2.7, "change": -0.07, "percentChange": -2.59 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.05, "movePercentile30d": 3.3, "movePercentileFullHistory": 16.8, "currentLevelPercentileFullHistory": 2.1, "classificationPercentile": 16.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 6.7, "movePercentileFullHistory": 4.9, "currentLevelPercentileFullHistory": 87.5, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 66.7, "movePercentileFullHistory": 61.5, "currentLevelPercentileFullHistory": 50.7, 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"startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options soften while short-dated skew shifts toward calls", "standfirst": "Bitcoin’s one-week RR25 increased 0.62 volatility points to -0.15%, leaving put-side volatility still richer than call-side volatility but materially less so than at the prior snapshot. At the same time, one-week ATM IV fell 1.50 points to 36.60%, while the 24-hour spot-index return was 1.84%.", "days": [ { "reportDate": "2026-09-14", "headline": "Bitcoin skew turns less defensive", "summary": "Short-dated Bitcoin relative put-side volatility eased as front-end implied volatility moved lower.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Bitcoin options soften while short-dated skew shifts toward calls", "standfirst": "Bitcoin’s one-week RR25 increased 0.62 volatility points to -0.15%, leaving put-side volatility still richer than call-side volatility but materially less so than at the prior snapshot. At the same time, one-week ATM IV fell 1.50 points to 36.60%, while the 24-hour spot-index return was 1.84%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790008200695, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.6, "previous": 38.1, "change": -1.5, "percentChange": -3.94 }, "rr25": { "current": -0.15, "previous": -0.77, "change": 0.62, "percentChange": 80.52 }, "bf25": { "current": 2.15, "previous": 2.11, "change": 0.04, "percentChange": 1.9 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.5, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 66.0, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "rr25": { "absoluteMove": 0.62, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.7, "currentLevelPercentileFullHistory": 88.9, "classificationPercentile": 42.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 6.7, "movePercentileFullHistory": 14.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 14.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 143, "levelObservationsFullHistory": 144 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:44+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366529, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356449, "timestamp": "2026-09-13T16:30:00+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": "2026-09-14T16:30:00+00:00", "spotWindowStart": "2026-09-13T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 0.77, "rv24hPercent": 44.83, "rv7dPercent": 46.27, "rv30dPercent": 54.62, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.06, "oneWeekIvMinus7dRvPoints": 6.79, "oneWeekIvMinus24hRvPoints": 8.23, "oneWeekIvMinus30dRvPoints": -1.56 }, "fitQuality": { "currentObjective": 0.04166026, "previousObjective": 0.12624589, "currentLiveError": 19.84680091, "previousLiveError": 59.26380695 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s near-expiry smile rotates while fixed tenors hold steady", "executiveSummary": "Over the 24-hour window ending at 16:30 UTC, Ether’s 17SEP26 options smile rotation moved higher by 11.832 volatility points, according to Derivasys data. Ether’s one-week RR25, a measure of call-versus-put implied-volatility skew, rose 1.78 volatility points to 0.30%, leaving calls richer than puts. Ether’s one-week ATM implied volatility rose 0.64 volatility points to 53.06%. Ether’s spot-index return was +0.77% over the matching 24-hour window. At the cutoff, Ether’s one-week ATM implied volatility of 53.06% was 6.79 volatility points above Ether’s seven-day realised volatility of 46.27%.", "evidenceIds": [ "rr25", "realised-vol", "largest-standard-tenor" ], "newsSummary": "News check: no qualifying Ether or broader market event was retained.", "marketContextSummary": "No selected news item can be linked to the observed near-expiry smile rotation.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying news evidence was retained, leaving the relationship between events and the surface change unclear.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.06%, 6.79 volatility points above seven-day realised volatility of 46.27%; 24-hour realised volatility was 44.83% and 30-day realised volatility was 54.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.43 volatility points to 52.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.51% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.98 volatility points to 0.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 3.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 1W, to 53.06%.", "tenor": "1W", "value": 0.64 } ] }, "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": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "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": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W RR25 moved 1.78 volatility points toward calls to 0.30%, leaving calls richer than puts; this was a routine move at the 63rd percentile among 27 comparable historical observations. At the cutoff, realised volatility measured 44.83% over 24 hours, 46.27% over seven days and 54.62% over 30 days. Front-end ATM IV averaged 52.08%, +0.43 points from the prior snapshot, while the long end averaged 54.51%, +0.24 points. 1W ATM IV rose 0.64 volatility points to 53.06%. 1W BF25 fell 0.30 volatility points to 2.88%. The nearest eligible forward, 17SEP26, rose $19.36 (+0.77%) to $2,522.39. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 107, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.06%, 6.79 volatility points above seven-day realised volatility of 46.27%; 24-hour realised volatility was 44.83% and 30-day realised volatility was 54.62%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.43 volatility points to 52.08% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.51% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.98 volatility points to 0.17% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 3.09% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +0.64 volatility points at 1W, to 53.06%.", "tenor": "1W", "value": 0.64 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.31, "rr25Change": 0.98, "bf25Change": -0.08, "largestAtmMove": { "tenor": "1W", "current": 53.06, "previous": 52.42, "change": 0.64, "historicalSignificance": { "absoluteMove": 0.64, "movePercentile30d": 8.7, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 11.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } }, "frontEndAverageAtm": { "current": 52.08, "previous": 51.65, "change": 0.43 }, "longEndAverageAtm": { "current": 54.51, "previous": 54.27, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.3, "previous": -1.48, "change": 1.78, "historicalSignificance": { "absoluteMove": 1.78, "movePercentile30d": 60.9, "movePercentileFullHistory": 63.0, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 63.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.88, "previous": 3.18, "change": -0.3, "historicalSignificance": { "absoluteMove": 0.3, "movePercentile30d": 56.5, "movePercentileFullHistory": 51.9, "currentLevelPercentileFullHistory": 53.3, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } }, "nearestEligibleForwardMove": { "label": "17SEP26", "daysToExpiry": 2.646, "current": 2522.39, "previous": 2503.03, "change": 19.36, "percentChange": 0.77 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790008200139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.06, "previous": 52.42, "change": 0.64, "percentChange": 1.22 }, "rr25": { "current": 0.3, "previous": -1.48, "change": 1.78, "percentChange": 120.27 }, "bf25": { "current": 2.88, "previous": 3.18, "change": -0.3, "percentChange": -9.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": 8.7, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 11.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.78, "movePercentile30d": 60.9, "movePercentileFullHistory": 63.0, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 63.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 56.5, "movePercentileFullHistory": 51.9, "currentLevelPercentileFullHistory": 53.3, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "2W", "targetExpiry": 1790613000139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.86, "previous": 51.43, "change": 0.43, "percentChange": 0.84 }, "rr25": { "current": -0.23, "previous": -1.4, "change": 1.17, "percentChange": 83.57 }, "bf25": { "current": 3.13, "previous": 3.0, "change": 0.13, "percentChange": 4.33 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.43, "movePercentile30d": 17.4, "movePercentileFullHistory": 22.2, "currentLevelPercentileFullHistory": 76.7, "classificationPercentile": 22.2, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.17, "movePercentile30d": 60.9, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 26.1, "movePercentileFullHistory": 25.9, "currentLevelPercentileFullHistory": 73.3, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "1M", "targetExpiry": 1791995400139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.32, "previous": 51.11, "change": 0.21, "percentChange": 0.41 }, "rr25": { "current": 0.39, "previous": -0.63, "change": 1.02, "percentChange": 161.9 }, "bf25": { "current": 3.31, "previous": 3.29, "change": 0.02, "percentChange": 0.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.21, "movePercentile30d": 8.7, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 46.7, "classificationPercentile": 14.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 73.9, "movePercentileFullHistory": 77.8, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 77.8, "label": "notable", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 7.4, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 7.4, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "3M", "targetExpiry": 1797265800139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.0, "previous": 52.96, "change": 0.04, "percentChange": 0.08 }, "rr25": { "current": 0.14, "previous": -0.41, "change": 0.55, "percentChange": 134.15 }, "bf25": { "current": 3.18, "previous": 3.31, "change": -0.13, "percentChange": -3.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.04, "movePercentile30d": 8.7, "movePercentileFullHistory": 14.8, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 14.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 0.55, "movePercentile30d": 69.6, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 40.0, "classificationPercentile": 69.6, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 56.5, "movePercentileFullHistory": 55.6, "currentLevelPercentileFullHistory": 70.0, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "6M", "targetExpiry": 1805128200139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.51, "previous": 54.27, "change": 0.24, "percentChange": 0.44 }, "rr25": { "current": 0.23, "previous": -0.15, "change": 0.38, "percentChange": 253.33 }, "bf25": { "current": 2.97, "previous": 3.07, "change": -0.1, "percentChange": -3.26 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 47.8, "movePercentileFullHistory": 48.1, "currentLevelPercentileFullHistory": 43.3, "classificationPercentile": 48.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 0.38, "movePercentile30d": 73.9, "movePercentileFullHistory": 70.4, "currentLevelPercentileFullHistory": 60.0, "classificationPercentile": 73.9, "label": "notable", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 56.5, "movePercentileFullHistory": 55.6, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } }, { "tenor": "9M", "targetExpiry": 1812990600139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.38, "previous": 55.27, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 0.31, "previous": 0.02, 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30 } } }, { "tenor": "1Y", "targetExpiry": 1820939400139, "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": "15SEP26", "expiry": 1789459200000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2521.32, "previous": 2502.32, "change": 19.0, "percentChange": 0.76 }, "atmIv": { "current": 41.82, "previous": 43.47, "change": -1.65, "percentChange": -3.8 }, "rr25": { "current": 3.98, "previous": -1.08, "change": 5.06, "percentChange": 468.52 }, "bf25": { "current": 1.26, "previous": 2.28, "change": -1.02, "percentChange": -44.74 }, "svi": { "a": { "current": -0.071, "previous": -0.1054, "change": 0.0344, 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0.2576, 0.364, 0.4739, 0.5864, 0.7005, 0.8151, 0.9293, 1.0424, 1.1534, 1.2617, 1.3671, 1.4691, 1.5675, 1.6622, 1.7532, 1.8404, 1.924, 2.0042, 2.0811, 2.1547, 2.2254, 2.2934 ] }, { "label": "2OCT26", "values": [ 1.5472, 1.3996, 1.2582, 1.1236, 0.9971, 0.8796, 0.772, 0.6756, 0.5915, 0.5205, 0.4639, 0.4228, 0.3976, 0.3894, 0.3984, 0.4252, 0.4697, 0.5316, 0.6104, 0.7052, 0.8148, 0.9377, 1.0724, 1.217, 1.3697, 1.5286, 1.6918, 1.8576, 2.0242, 2.1902, 2.3542, 2.5153, 2.6723, 2.8246, 2.9716, 3.1128, 3.2479, 3.3767, 3.499, 3.615, 3.7246 ] }, { "label": "30OCT26", "values": [ -0.8828, -0.879, -0.872, -0.8616, -0.8478, -0.8305, -0.8097, -0.7854, -0.7577, -0.7267, -0.6925, -0.6553, -0.6152, -0.5726, -0.5276, -0.4806, -0.4318, -0.3816, -0.3304, -0.2786, -0.2264, -0.1744, -0.1227, -0.0719, -0.0222, 0.0261, 0.0727, 0.1172, 0.1596, 0.1997, 0.2371, 0.2719, 0.304, 0.3333, 0.3597, 0.3832, 0.4039, 0.4217, 0.4368, 0.4493, 0.459 ] }, { "label": "27NOV26", "values": [ -0.9761, -0.9467, -0.9168, -0.8863, -0.8551, -0.8233, -0.791, -0.7582, -0.7247, -0.6907, -0.6562, -0.6213, -0.586, -0.5504, -0.5145, -0.4784, -0.4422, -0.4061, -0.37, -0.3341, -0.2986, -0.2635, -0.2288, -0.1948, -0.1615, -0.129, -0.0974, -0.0668, -0.0372, -0.0089, 0.0184, 0.0444, 0.069, 0.0923, 0.1142, 0.1346, 0.1537, 0.1713, 0.1875, 0.2023, 0.2156 ] }, { "label": "25DEC26", "values": [ -0.3137, -0.2982, -0.2818, -0.2644, -0.2461, -0.2269, -0.2069, -0.1861, -0.1648, -0.1428, -0.1203, -0.0974, -0.0742, -0.0509, -0.0274, -0.004, 0.0194, 0.0424, 0.0652, 0.0875, 0.1094, 0.1306, 0.1511, 0.1708, 0.1897, 0.2076, 0.2246, 0.2405, 0.2553, 0.2689, 0.2814, 0.2926, 0.3026, 0.3114, 0.3189, 0.3252, 0.3303, 0.3341, 0.3367, 0.338, 0.3383 ] }, { "label": "26MAR27", "values": [ -0.0576, -0.0517, -0.0451, -0.0375, -0.0293, -0.0205, -0.0109, -0.0009, 0.0097, 0.0208, 0.0324, 0.0443, 0.0565, 0.069, 0.0817, 0.0945, 0.1075, 0.1205, 0.1335, 0.1464, 0.1592, 0.1719, 0.1844, 0.1965, 0.2085, 0.2202, 0.2315, 0.2424, 0.253, 0.263, 0.2726, 0.2818, 0.2904, 0.2986, 0.3062, 0.3132, 0.3198, 0.3257, 0.3312, 0.336, 0.3403 ] }, { "label": "25JUN27", "values": [ -0.024, -0.0254, -0.0264, -0.0269, -0.027, -0.0265, -0.0256, -0.0242, -0.0224, -0.0202, -0.0175, -0.0145, -0.0109, -0.0071, -0.0028, 0.0019, 0.0068, 0.0121, 0.0177, 0.0236, 0.0297, 0.0361, 0.0428, 0.0496, 0.0567, 0.0639, 0.0712, 0.0787, 0.0863, 0.094, 0.1018, 0.1096, 0.1175, 0.1253, 0.1333, 0.1411, 0.149, 0.1568, 0.1647, 0.1723, 0.18 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options rotate toward calls despite modest volatility changes", "standfirst": "Ether’s near-expiry option smile underwent its largest measured rotation at the 17SEP26 expiry, while fixed-tenor volatility changes remained modest. One-week RR25 rose 1.78 volatility points to 0.30%, placing call-side volatility above put-side volatility; one-week ATM IV added 0.64 points to 53.06%.", "days": [ { "reportDate": "2026-09-14", "headline": "Ether skew rotates toward calls", "summary": "Near-expiry Ether options shifted toward relatively richer call-side volatility despite restrained fixed-tenor changes.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options rotate toward calls despite modest volatility changes", "standfirst": "Ether’s near-expiry option smile underwent its largest measured rotation at the 17SEP26 expiry, while fixed-tenor volatility changes remained modest. One-week RR25 rose 1.78 volatility points to 0.30%, placing call-side volatility above put-side volatility; one-week ATM IV added 0.64 points to 53.06%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790008200139, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.06, "previous": 52.42, "change": 0.64, "percentChange": 1.22 }, "rr25": { "current": 0.3, "previous": -1.48, "change": 1.78, "percentChange": 120.27 }, "bf25": { "current": 2.88, "previous": 3.18, "change": -0.3, "percentChange": -9.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.64, "movePercentile30d": 8.7, "movePercentileFullHistory": 11.1, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 11.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "rr25": { "absoluteMove": 1.78, "movePercentile30d": 60.9, "movePercentileFullHistory": 63.0, "currentLevelPercentileFullHistory": 56.7, "classificationPercentile": 63.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 56.5, "movePercentileFullHistory": 51.9, "currentLevelPercentileFullHistory": 53.3, "classificationPercentile": 56.5, "label": "routine", "observations30d": 23, "observationsFullHistory": 27, "levelObservationsFullHistory": 30 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-14", "generatedAt": "2026-09-14T16:30:59+00:00", "currentSnapshotAt": "2026-09-14T16:30:00+00:00", "previousSnapshotAt": "2026-09-13T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 366532, "timestamp": "2026-09-14T16:30:00+00:00" }, "previous": { "id": 356454, "timestamp": "2026-09-13T16:30:00+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": 0.02459563, "previousObjective": 0.02744816, "currentLiveError": 15.77818589, "previousLiveError": 16.94340378 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "16SEP26" ], "removedExpiries": [ "14SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s front-end volatility rises alongside call-rich skew", "executiveSummary": "Solana one-week ATM IV climbed to 57.12% and one-week RR25 reached 3.10%, combining a higher volatility level with relatively richer call-side volatility. Realised-volatility comparisons are unavailable for this snapshot.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25" ], "newsSummary": "News check: no qualifying Solana-related or broader crypto event was retained.", "marketContextSummary": "No retained event provides a supported explanation for the simultaneous volatility and skew repricing.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "No qualifying news was retained, so the observed surface move is not attributed to a specific event.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "rr25" ], "newsEvidenceIds": [] } ], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +2.10 volatility points to 55.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.73 volatility points to 2.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.67 volatility points to 4.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.20 volatility points at 1W, to 57.12%.", "tenor": "1W", "value": 3.2 } ] }, "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": "2026-09-14T16:30:00Z", "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "2d3a48d2174961fd0558015cd49ee2c148b28d434739486709111267cff16a9d" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-14T16:30:00Z", "event_types": [ "macro_release", "central_bank_decision", "regulatory_action", "legislation" ], "limit": 50, "min_confidence": 0.65, "min_importance": 0.5, "start": "2026-09-13T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "2ffd1411bb94dfd1137998518d6d212966f1b7a0b54474581183036395675bf5" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 1, "macroQueries": 1, "canonicalEventsConsidered": 3, "publishersRepresented": 3, "discoveryEventsScanned": 3, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 3, "articlesPassingTimeFilter": 3, "articlesPassingSourceRelevanceRules": 3, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": 0.65, "minimumImportance": 0.5, "minimumSourceQuality": 0.58, "minimumCatalystScore": 0.25 }, "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "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 3.20 volatility points to 57.12%. Front-end ATM IV averaged 55.61%, +2.10 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.21 volatility points toward calls to 3.10%, leaving calls richer than puts. 1M BF25 rose 1.18 volatility points to 4.92%. The nearest eligible forward, 18SEP26, rose $1.77 (+1.76%) to $102.46. 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 +2.10 volatility points to 55.61% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.73 volatility points to 2.95% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.67 volatility points to 4.79% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +3.20 volatility points at 1W, to 57.12%.", "tenor": "1W", "value": 3.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.76, "rr25Change": 0.73, "bf25Change": 0.67, "largestAtmMove": { "tenor": "1W", "current": 57.12, "previous": 53.92, "change": 3.2, "historicalSignificance": { "absoluteMove": 3.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } }, "frontEndAverageAtm": { "current": 55.61, "previous": 53.51, "change": 2.1 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.1, "previous": 1.89, "change": 1.21, "historicalSignificance": { "absoluteMove": 1.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1M", "current": 4.92, "previous": 3.74, "change": 1.18, "historicalSignificance": { "absoluteMove": 1.18, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 3.646, "current": 102.46, 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-0.0534, "score": 0.0534, "unit": "parameter units" } ], "expiryEffects": [ { "label": "15SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": 13.826, "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": 0.21499314, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "15SEP26", "expiry": 1789459200000, "value": 0.173040361154, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "15SEP26", "expiry": 1789459200000, "value": -0.71197378, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00104224, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00799287, "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": "15SEP26", "values": [ -25.0161, -24.4508, -23.8288, -23.1463, -22.399, -21.5827, -20.693, -19.7253, -18.6746, -17.5358, -16.3034, -14.971, -13.5318, -11.979, -10.3072, -8.5155, -6.6159, -4.6463, -2.6887, -0.8804, 0.6059, 1.6238, 2.1201, 2.1471, 1.8176, 1.2525, 0.5513, -0.2135, -0.9929, -1.7544, -2.4776, -3.1499, -3.7638, -4.3154, -4.8032, -5.2278, -5.5902, -5.893, -6.1388, -6.3307, -6.4719 ] }, { "label": "18SEP26", "values": [ 10.323, 9.6522, 9.0032, 8.3783, 7.7803, 7.212, 6.6767, 6.1777, 5.7187, 5.3038, 4.9375, 4.6244, 4.3692, 4.1768, 4.0514, 3.9962, 4.0123, 4.0984, 4.2501, 4.4595, 4.7167, 5.0102, 5.3293, 5.6648, 6.0098, 6.3597, 6.7119, 7.0655, 7.4203, 7.7765, 8.1349, 8.4962, 8.861, 9.2298, 9.6029, 9.9808, 10.3636, 10.7512, 11.1437, 11.5409, 11.9428 ] }, { "label": "25SEP26", "values": [ 2.9588, 2.8686, 2.7853, 2.7097, 2.6428, 2.5854, 2.5385, 2.5031, 2.48, 2.4702, 2.474, 2.4922, 2.5247, 2.5715, 2.632, 2.7053, 2.7901, 2.8846, 2.9869, 3.0946, 3.2058, 3.3179, 3.4289, 3.5372, 3.6413, 3.7399, 3.8324, 3.9181, 3.9969, 4.0689, 4.1339, 4.1925, 4.2447, 4.291, 4.3319, 4.3675, 4.3985, 4.425, 4.4474, 4.4661, 4.4815 ] }, { "label": "30OCT26", "values": [ 2.7221, 2.5359, 2.3469, 2.1562, 1.9651, 1.7748, 1.5873, 1.4039, 1.2265, 1.0569, 0.8969, 0.7484, 0.613, 0.4923, 0.3879, 0.3009, 0.2323, 0.1827, 0.1526, 0.142, 0.1505, 0.1777, 0.2226, 0.2843, 0.3613, 0.4522, 0.5555, 0.6694, 0.7925, 0.9228, 1.0591, 1.1995, 1.3429, 1.4878, 1.6331, 1.7776, 1.9205, 2.0609, 2.1982, 2.3316, 2.4609 ] }, { "label": "25DEC26", "values": [ 1.8296, 1.7733, 1.7153, 1.656, 1.5955, 1.5344, 1.4729, 1.4114, 1.3505, 1.2906, 1.2321, 1.1756, 1.1215, 1.0704, 1.0226, 0.9787, 0.9389, 0.9038, 0.8734, 0.8481, 0.828, 0.8131, 0.8034, 0.799, 0.7997, 0.8052, 0.8153, 0.8298, 0.8483, 0.8704, 0.8958, 0.9241, 0.955, 0.988, 1.0228, 1.059, 1.0964, 1.1344, 1.1731, 1.2119, 1.2507 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options reprice higher as front-end call skew strengthens", "standfirst": "Solana one-week ATM IV rose 3.20 volatility points to 57.12%, the largest standard-tenor move on the surface. One-week RR25 also increased 1.21 points to 3.10%, indicating relatively richer call-side volatility. Front-end ATM IV averaged 55.61%, up 2.10 points from the prior snapshot.", "days": [ { "reportDate": "2026-09-14", "headline": "Solana front end reprices higher", "summary": "One-week Solana implied volatility and relative call-side volatility both rose at the front end.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options reprice higher as front-end call skew strengthens", "standfirst": "Solana one-week ATM IV rose 3.20 volatility points to 57.12%, the largest standard-tenor move on the surface. One-week RR25 also increased 1.21 points to 3.10%, indicating relatively richer call-side volatility. Front-end ATM IV averaged 55.61%, up 2.10 points from the prior snapshot.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-11", "asOfTimestamp": "2026-09-11T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common SPX/VIX-family session; all metric provenance is DerivaSys and Yahoo Finance. 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": "Crypto RV uses sqrt(365); SPX RV uses sqrt(252). IV is the 30-calendar-day fixed tenor nearest the US close." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790008200421, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.12, "previous": 53.92, "change": 3.2, "percentChange": 5.93 }, "rr25": { "current": 3.1, "previous": 1.89, "change": 1.21, "percentChange": 64.02 }, "bf25": { "current": 4.3, "previous": 4.31, "change": -0.01, "percentChange": -0.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.2, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "rr25": { "absoluteMove": 1.21, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 17, "observationsFullHistory": 17, "levelObservationsFullHistory": 18 } } } } ], "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": 57.12, "lowest": 36.6, "spread": 20.52, "highestToLowestRatio": 1.5607, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 57.12, "values": [ { "asset": "BTC", "value": 36.6 }, { "asset": "ETH", "value": 53.06 }, { "asset": "SOL", "value": 57.12 } ], "previousSpread": 15.82, "spreadChange": 4.7, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "BTC", "highest": 3.2, "lowest": -1.5, "spread": 4.7, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.2, "values": [ { "asset": "BTC", "value": -1.5 }, { "asset": "ETH", "value": 0.64 }, { "asset": "SOL", "value": 3.2 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 3.1, "lowest": -0.15, "spread": 3.25, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.1, "values": [ { "asset": "BTC", "value": -0.15 }, { "asset": "ETH", "value": 0.3 }, { "asset": "SOL", "value": 3.1 } ], "previousSpread": 3.37, "spreadChange": -0.12, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "ETH", "laggard": "BTC", "highest": 1.78, "lowest": 0.62, "spread": 1.16, "highestToLowestRatio": 2.871, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 1.78, "values": [ { "asset": "BTC", "value": 0.62 }, { "asset": "ETH", "value": 1.78 }, { "asset": "SOL", "value": 1.21 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": 3.2 }, "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": 6.79, "lowest": 4.19, "spread": 2.6, "highestToLowestRatio": 1.6205, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 6.79, "values": [ { "asset": "BTC", "value": 4.19 }, { "asset": "ETH", "value": 6.79 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": 1.84, "lowest": 0.77, "spread": 1.07, "highestToLowestRatio": 2.3896, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 1.84, "values": [ { "asset": "BTC", "value": 1.84 }, { "asset": "ETH", "value": 0.77 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 57.12, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 53.06, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 36.6, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": 3.2, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 0.64, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": -1.5, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": 3.2, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -1.5, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 0.64, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 6.79, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 4.19, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 3.1, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 0.3, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": -0.15, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -0.15, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 0.3, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 3.1, "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": 1.84, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 0.77, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": 3.2, "groupMedian": 0.64, "distanceFromMedian": 2.56 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 36.6, "groupMedian": 53.06, "distanceFromMedian": -16.46 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 3.1, "groupMedian": 0.3, "distanceFromMedian": 2.8 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 2.6, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and BTC cheapest on one-week implied volatility versus seven-day realised volatility, with a 2.60-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 16, "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": 0.7859, "observations": 17 }, { "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": 3.2, "lowest": -1.5, "spread": 4.7, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.2, "values": [ { "asset": "BTC", "value": -1.5 }, { "asset": "ETH", "value": 0.64 }, { "asset": "SOL", "value": 3.2 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 57.12, "lowest": 36.6, "spread": 20.52, "highestToLowestRatio": 1.5607, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 57.12, "values": [ { "asset": "BTC", "value": 36.6 }, { "asset": "ETH", "value": 53.06 }, { "asset": "SOL", "value": 57.12 } ], "previousSpread": 15.82, "spreadChange": 4.7, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 3.1, "lowest": -0.15, "spread": 3.25, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.1, "values": [ { "asset": "BTC", "value": -0.15 }, { "asset": "ETH", "value": 0.3 }, { "asset": "SOL", "value": 3.1 } ], "previousSpread": 3.37, "spreadChange": -0.12, "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": 6.79, "lowest": 4.19, "spread": 2.6, "highestToLowestRatio": 1.6205, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 6.79, "values": [ { "asset": "BTC", "value": 4.19 }, { "asset": "ETH", "value": 6.79 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": 1.84, "lowest": 0.77, "spread": 1.07, "highestToLowestRatio": 2.3896, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 1.84, "values": [ { "asset": "BTC", "value": 1.84 }, { "asset": "ETH", "value": 0.77 }, { "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": "2026-09-14T16:30:00+00:00", "window": { "startAt": "2026-09-13T16:30:00+00:00", "endAt": "2026-09-14T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Solana volatility pulls away from Bitcoin", "standfirst": "One-week ATM IV dispersion across Bitcoin, Ether and Solana widened 4.70 volatility points to 20.52 points. Solana’s one-week at-the-money implied volatility stood at 57.12% after rising 3.20 volatility points, while Bitcoin’s one-week at-the-money implied volatility fell 1.50 volatility points to 36.60%; Ether’s one-week at-the-money implied volatility was 53.06%. The result is a sharper relative-volatility split across major-coin options.", "days": [ { "reportDate": "2026-09-14", "headline": "Solana widens the major-coin gap", "summary": "Solana’s higher one-week implied volatility widened dispersion against lower-volatility Bitcoin across the major complex.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 0.49333333333333335, "rr25Change": 0.6333333333333333, "bf25Change": 0.17 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana and Bitcoin widen the major-coin volatility divide", "executiveSummary": "The one-week ATM IV range between Solana and Bitcoin expanded to 20.52 volatility points from 15.82 points. Solana led both the level and daily increase, whereas Bitcoin was the lowest-volatility and only declining major.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion", "majors-cross-1w-rr25-dispersion" ], "newsSummary": "News check: no qualifying event materially clarified the relative major-coin options move.", "marketContextSummary": "No retained news evidence supports a direct explanation for the widening cross-asset volatility spread.", "marketContext": [ { "title": "No qualifying contextual catalyst", "explanation": "The Solana-Bitcoin dispersion has no retained event context, so causality cannot be inferred.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "news_evidence_ids": [] } ], "newsEvidenceIds": [] } }