{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:41+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "The one-week ATM IV dispersion between Solana and Bitcoin compressed by 3.14 volatility points to 17.98 volatility points. Solana one-week ATM IV remained highest at 57.41% and Bitcoin one-week ATM IV lowest at 39.43%, while Bitcoin one-week ATM IV rose 1.20 volatility points, Ether one-week ATM IV fell 2.08 volatility points, and Solana one-week ATM IV fell 1.94 volatility points. One-week RR25 dispersion among Bitcoin, Ether and Solana also narrowed by 2.64 volatility points to 1.39 volatility points, as all three assets shifted toward relative put-side volatility.", "marketSummary": "Major-coin options became less dispersed at the one-week horizon. Solana one-week ATM IV was highest at 57.41% and Bitcoin one-week ATM IV was lowest at 39.43%, leaving a 17.98-point spread that narrowed by 3.14 volatility points from the prior snapshot.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-15", "artifactId": "sha256:faf0c12900fb336f57048af51d59afc0163b74788ee1598457dbdebaac46cdda", "contentSha256": "db1ed6fc891efde22c2cb7b5c8298b9dcdc1a94b0245f7710160410c2c8550af", "currentSnapshotId": 378443, "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotId": 368429, "previousSnapshotAt": "2026-09-14T21:01:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-15", "artifactId": "sha256:61a10fb9c738356bd15fe1b335c39dfcfb943e61f3ad0c7bae2ec3d3d29f8f7a", "contentSha256": "b322bb8aada4a4c3231a38c6e2217987a23d47c7ce99539caf3aa748def26cfd", "currentSnapshotId": 378445, "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotId": 368427, "previousSnapshotAt": "2026-09-14T21:01:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-15", "artifactId": "sha256:62f122afdb86ed2d3490dae1e10cc0b069a0d910a7441c84066ca9402b23229d", "contentSha256": "7ce9b62b0aa5fc014892a655b698d5c668f1545d13b112157a52cc72adcc7615", "currentSnapshotId": 378447, "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotId": 368426, "previousSnapshotAt": "2026-09-14T21:01:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:15+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378443, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368429, "timestamp": "2026-09-14T21:01:00+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": 85, "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": "2026-09-15T21:01:00+00:00", "spotWindowStart": "2026-09-14T21:01:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -3.91, "rv24hPercent": 44.3, "rv7dPercent": 35.03, "rv30dPercent": 40.6, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 39.43, "oneWeekIvMinus7dRvPoints": 4.4, "oneWeekIvMinus24hRvPoints": -4.87, "oneWeekIvMinus30dRvPoints": -1.17 }, "fitQuality": { "currentObjective": 0.11055816, "previousObjective": 0.05710238, "currentLiveError": 120.73649616, "previousLiveError": 81.73224723 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "19SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "executiveSummary": "Bitcoin options repriced toward relative put-side volatility over the 24-hour window. Bitcoin one-month RR25 declined 1.71 volatility points to -2.10%, a large move at the 91.7 percentile of comparable observations, while Bitcoin front-end ATM IV averaged 38.09%, up 0.71 volatility points.", "evidenceIds": [ "rr25", "front-atm", "realised-vol" ], "newsSummary": "Media reporting said the Senate blocked the CLARITY Act, while separate reporting said US government bond yields reached a 19-year peak as oil prices rose. Neither report includes a measured Bitcoin-options reaction.", "marketContextSummary": "The reports provide regulatory and macro context. The available evidence does not establish a causal link to Bitcoin’s observed skew repricing.", "marketContext": [ { "title": "CLARITY Act vote and Bitcoin skew", "explanation": "Bitcoin one-month RR25 shifted toward puts during media reporting that the Senate blocked the CLARITY Act. No measured BTC-specific reaction connects the two.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "531c70fe-990c-470d-b549-c51d295e1f57" ] }, { "title": "Rates and oil backdrop", "explanation": "Bitcoin’s front-end ATM IV rose modestly during reporting of higher US government bond yields and oil prices, but the timing does not demonstrate causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "front-atm" ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } ], "newsEvidenceIds": [ "531c70fe-990c-470d-b549-c51d295e1f57", "ee29212d-deb8-447a-be5a-0d064022c65b" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 21:01 UTC cutoff, 1W ATM IV was 39.43%, 4.40 volatility points above seven-day realised volatility of 35.03%; 24-hour realised volatility was 44.30% and 30-day realised volatility was 40.60%." }, { "id": "front-atm", "label": 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useful shared market context, without any claim that it caused the measured options moves. Retain the reported CLARITY legislative outcome as distinct BTC-linked context.", "eventsSelected": 2 }, "items": [ { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, { "id": "531c70fe-990c-470d-b549-c51d295e1f57", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00", "summary": "Lawmakers blocked the landmark crypto legislation.", "matchedTerms": [ "BTC", "CFTC", "CLARITY Act", "Coinbase", "US Government", "crypto_general", "stablecoins" ], "topics": [ "regulation", "legislation" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 47, "quality": { "eligible": true, "score": 46.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 2, "sourceQuality": 0.5934, "signals": { "confidence": 0.73, "importance": 0.612, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.2119, "effectiveCatalystScore": 0.2119, "contentKind": "reporting", "status": "breaking" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "531c70fe-990c-470d-b549-c51d295e1f57", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00", "summary": "Lawmakers blocked the landmark crypto legislation.", "matchedTerms": [ "BTC", "CFTC", "CLARITY Act", "Coinbase", "US Government", "crypto_general", "stablecoins" ], "topics": [ "regulation", "legislation" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 47, "quality": { "eligible": true, "score": 46.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 2, "sourceQuality": 0.5934, "signals": { "confidence": 0.73, "importance": 0.612, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.2119, "effectiveCatalystScore": 0.2119, "contentKind": "reporting", "status": "breaking" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "531c70fe-990c-470d-b549-c51d295e1f57", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00", "summary": "Lawmakers blocked the landmark crypto legislation.", "matchedTerms": [ "BTC", "CFTC", "CLARITY Act", "Coinbase", "US Government", "crypto_general", "stablecoins" ], "topics": [ "regulation", "legislation" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 47, "quality": { "eligible": true, "score": 46.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 2, "sourceQuality": 0.5934, "signals": { "confidence": 0.73, "importance": 0.612, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.2119, "effectiveCatalystScore": 0.2119, "contentKind": "reporting", "status": "breaking" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "531c70fe-990c-470d-b549-c51d295e1f57", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD", "ATM IV 1W: up 1.20 points to 39.43%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -3241.66 USD (-4.10%) to 75862.40 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1M RR25 moved 1.71 volatility points toward puts to -2.10%, leaving puts richer than calls; this was a large move at the 92nd percentile among 144 comparable historical observations. At the cutoff, realised volatility measured 44.30% over 24 hours, 35.03% over seven days and 40.60% over 30 days. Front-end ATM IV averaged 38.09%, +0.71 points from the prior snapshot, while the long end averaged 39.15%, -0.29 points. 1W ATM IV rose 1.20 volatility points to 39.43%. 2W BF25 rose 0.15 volatility points to 2.35%. The nearest eligible forward, 18SEP26, fell $3,241.66 (-4.10%) to $75,862.40. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 21:01 UTC cutoff, 1W ATM IV was 39.43%, 4.40 volatility points above seven-day realised volatility of 35.03%; 24-hour realised volatility was 44.30% and 30-day realised volatility was 40.60%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +0.71 volatility points to 38.09% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.29 volatility points to 39.15% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.33 volatility points to -1.58% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.11 volatility points to 2.39% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.20 volatility points at 1W, to 39.43%.", "tenor": "1W", "value": 1.2 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.35, "rr25Change": -1.33, "bf25Change": 0.11, "largestAtmMove": { "tenor": "1W", "current": 39.43, "previous": 38.23, "change": 1.2, "historicalSignificance": { "absoluteMove": 1.2, "movePercentile30d": 30.0, "movePercentileFullHistory": 39.6, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 39.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } }, "frontEndAverageAtm": { "current": 38.09, "previous": 37.39, "change": 0.71 }, "longEndAverageAtm": { "current": 39.15, "previous": 39.44, "change": -0.29 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": -2.1, "previous": -0.39, "change": -1.71, "historicalSignificance": { "absoluteMove": 1.71, "movePercentile30d": 86.7, "movePercentileFullHistory": 91.7, "currentLevelPercentileFullHistory": 82.1, "classificationPercentile": 91.7, "label": "large", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.35, "previous": 2.2, "change": 0.15, "historicalSignificance": { "absoluteMove": 0.15, "movePercentile30d": 60.0, "movePercentileFullHistory": 52.8, "currentLevelPercentileFullHistory": 75.2, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 75862.4, "previous": 79104.06, "change": -3241.66, "percentChange": -4.1 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.43, "previous": 38.23, "change": 1.2, "percentChange": 3.14 }, "rr25": { "current": -1.11, "previous": 0.58, "change": -1.69, "percentChange": -291.38 }, "bf25": { "current": 2.31, "previous": 2.22, "change": 0.09, "percentChange": 4.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.2, "movePercentile30d": 30.0, "movePercentileFullHistory": 39.6, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 39.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.69, "movePercentile30d": 76.7, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 84.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 26.7, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.2, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } } }, { "tenor": "2W", "targetExpiry": 1790715660277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.72, "previous": 37.07, "change": 0.65, "percentChange": 1.75 }, "rr25": { "current": -1.37, "previous": -0.02, "change": -1.35, "percentChange": -6750.0 }, "bf25": { "current": 2.35, "previous": 2.2, "change": 0.15, "percentChange": 6.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.65, "movePercentile30d": 26.7, "movePercentileFullHistory": 32.6, "currentLevelPercentileFullHistory": 71.7, "classificationPercentile": 32.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.35, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.6, "currentLevelPercentileFullHistory": 82.1, "classificationPercentile": 82.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 60.0, "movePercentileFullHistory": 52.8, "currentLevelPercentileFullHistory": 75.2, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, 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"endExclusive": true }, "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "standfirst": "Bitcoin one-month RR25 fell 1.71 volatility points to -2.10%, leaving put volatility richer than call volatility at the 21:01 UTC cutoff. The shift was large relative to its available history, while Bitcoin one-week ATM IV rose 1.20 volatility points to 39.43%. Bitcoin’s 24-hour spot-index return was -3.91%, and Bitcoin one-week ATM IV stood 4.40 volatility points above seven-day realised volatility. Derivasys data show a more defensive relative-volatility profile even as front-end implied volatility rose only modestly.", "days": [ { "reportDate": "2026-09-15", "headline": "Senate blocks crypto market bill", "summary": "Lawmakers blocked the CLARITY Act, while higher US government bond yields also framed markets.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "Media reporting said the Senate blocked the CLARITY Act during the window.", "events": [ { "eventId": "531c70fe-990c-470d-b549-c51d295e1f57", "title": "Senate Blocks Clarity Act, Likely Killing It for 2026", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/news/senate-blocks-clarity-act", "publishedAt": "2026-09-15T19:58:39+00:00" }, { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as one-month skew shifts toward puts", "standfirst": "Bitcoin one-month RR25 fell 1.71 volatility points to -2.10%, leaving put volatility richer than call volatility at the 21:01 UTC cutoff. The shift was large relative to its available history, while Bitcoin one-week ATM IV rose 1.20 volatility points to 39.43%. Bitcoin’s 24-hour spot-index return was -3.91%, and Bitcoin one-week ATM IV stood 4.40 volatility points above seven-day realised volatility. Derivasys data show a more defensive relative-volatility profile even as front-end implied volatility rose only modestly.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-to-SPX realised-volatility ratio was 4.10, at the 75.6 percentile across 234 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 4.10, at the 75.6 percentile across 234 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.92, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 19.71999923706055, "ivRatio": 2.1465115326942827, "cryptoRealisedVol20d": 37.09298285363312, "spxRealisedVol20": 9.055854653060562, "rvSpread": 28.037128200572553, "rvRatio": 4.096022327511295, "rvSpreadPercentile": 50.0, "rvSpreadPercentileSampleCount": 234, "rvRatioPercentile": 75.64102564102564, "rvRatioPercentileSampleCount": 234, "returnCorrelation30": 0.23137412828631074, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.30348724990361076, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790110860277, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.43, "previous": 38.23, "change": 1.2, "percentChange": 3.14 }, "rr25": { "current": -1.11, "previous": 0.58, "change": -1.69, "percentChange": -291.38 }, "bf25": { "current": 2.31, "previous": 2.22, "change": 0.09, "percentChange": 4.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.2, "movePercentile30d": 30.0, "movePercentileFullHistory": 39.6, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 39.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "rr25": { "absoluteMove": 1.69, "movePercentile30d": 76.7, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 80.7, "classificationPercentile": 84.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 26.7, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 77.2, "classificationPercentile": 33.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 144, "levelObservationsFullHistory": 145 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:28+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378445, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368427, "timestamp": "2026-09-14T21:01:00+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": 85, "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": "2026-09-15T21:01:00+00:00", "spotWindowStart": "2026-09-14T21:01:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -6.17, "rv24hPercent": 61.11, "rv7dPercent": 50.71, "rv30dPercent": 55.99, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 55.04, "oneWeekIvMinus7dRvPoints": 4.33, "oneWeekIvMinus24hRvPoints": -6.07, "oneWeekIvMinus30dRvPoints": -0.95 }, "fitQuality": { "currentObjective": 0.16531374, "previousObjective": 0.09716552, "currentLiveError": 111.90326042, "previousLiveError": 68.32186872 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "19SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether options turn defensive as front-end skew swings toward puts", "executiveSummary": "Ether’s defining options move was a sharp front-end shift toward relative put-side volatility. Ether one-week RR25 dropped 4.48 volatility points to -1.59%, a large move at the 92.9 percentile of comparable observations; Ether one-week ATM IV fell 2.08 volatility points to 55.04%.", "evidenceIds": [ "rr25", "bf25", "front-atm" ], "newsSummary": "Media reporting said US government bond yields reached a 19-year peak as oil prices rose. The report provides broader market context but no measured Ether-options reaction.", "marketContextSummary": "The reported rates-and-oil move coincided with Ether’s repricing, but the evidence does not establish a direct relationship.", "marketContext": [ { "title": "Rates and oil as market backdrop", "explanation": "Ether one-week RR25 moved toward puts as media reported higher US government bond yields and oil prices. No measured Ether-specific reaction attributes the skew change to that development.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 21:01 UTC cutoff, 1W ATM IV was 55.04%, 4.33 volatility points above seven-day realised volatility of 50.71%; 24-hour realised volatility was 61.11% and 30-day realised volatility was 55.99%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.22 volatility points to 53.55% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.05 volatility points to 54.83% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.12 volatility points 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relationship.", "event_cluster_id": "market-event-875bc504fd7a" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD", "ATM IV 1W: down 2.08 points to 55.04%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -164.90 USD (-6.42%) to 2403.80 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields 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the 93rd percentile among 28 comparable historical observations. At the cutoff, realised volatility measured 61.11% over 24 hours, 50.71% over seven days and 55.99% over 30 days. Front-end ATM IV averaged 53.55%, -1.22 points from the prior snapshot, while the long end averaged 54.83%, +0.05 points. 1W ATM IV fell 2.08 volatility points to 55.04%. 2W BF25 rose 0.81 volatility points to 3.91%. The nearest eligible forward, 18SEP26, fell $164.90 (-6.42%) to $2,403.80. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "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 21:01 UTC cutoff, 1W ATM IV was 55.04%, 4.33 volatility points above seven-day realised volatility of 50.71%; 24-hour realised volatility was 61.11% and 30-day realised volatility was 55.99%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.22 volatility points to 53.55% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV was broadly unchanged, averaging +0.05 volatility points to 54.83% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -2.12 volatility points to -0.87% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.43 volatility points to 3.65% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.08 volatility points at 1W, to 55.04%.", "tenor": "1W", "value": -2.08 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.64, "rr25Change": -2.12, "bf25Change": 0.43, "largestAtmMove": { "tenor": "1W", "current": 55.04, "previous": 57.12, "change": -2.08, "historicalSignificance": { "absoluteMove": 2.08, "movePercentile30d": 37.5, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 83.9, "classificationPercentile": 39.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } }, "frontEndAverageAtm": { "current": 53.55, "previous": 54.77, "change": -1.22 }, "longEndAverageAtm": { "current": 54.83, "previous": 54.78, "change": 0.05 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.59, "previous": 2.89, "change": -4.48, "historicalSignificance": { "absoluteMove": 4.48, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 3.91, "previous": 3.1, "change": 0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 91.7, "movePercentileFullHistory": 89.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 91.7, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 2403.8, "previous": 2568.7, "change": -164.9, "percentChange": -6.42 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.04, "previous": 57.12, "change": -2.08, "percentChange": -3.64 }, "rr25": { "current": -1.59, "previous": 2.89, "change": -4.48, "percentChange": -155.02 }, "bf25": { "current": 3.83, "previous": 3.59, "change": 0.24, "percentChange": 6.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": 37.5, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 83.9, "classificationPercentile": 39.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 4.48, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": 41.7, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 41.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } }, { "tenor": "2W", "targetExpiry": 1790715660454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.02, "previous": 54.31, "change": -1.29, "percentChange": -2.38 }, "rr25": { "current": -1.73, "previous": 1.64, 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-1.59%, shifting the front-end smile from call-rich to put-rich relative volatility at the cutoff. Ether one-week ATM IV simultaneously fell 2.08 volatility points to 55.04%, so the move was a skew repricing rather than a broad rise in implied volatility. Ether’s 24-hour spot-index return was -6.17%, while Ether one-week ATM IV remained 4.33 volatility points above seven-day realised volatility. Derivasys data also show richer two-week convexity.", "days": [ { "reportDate": "2026-09-15", "headline": "Ether skew shifts toward puts", "summary": "Ether front-end relative put-side volatility increased while one-week ATM IV eased over the window.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "No qualifying crypto-specific context was retained.", "events": [ { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options turn defensive as front-end skew swings toward puts", "standfirst": "Ether one-week RR25 fell 4.48 volatility points to -1.59%, shifting the front-end smile from call-rich to put-rich relative volatility at the cutoff. Ether one-week ATM IV simultaneously fell 2.08 volatility points to 55.04%, so the move was a skew repricing rather than a broad rise in implied volatility. Ether’s 24-hour spot-index return was -6.17%, while Ether one-week ATM IV remained 4.33 volatility points above seven-day realised volatility. Derivasys data also show richer two-week convexity.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.5 percentile across 231 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.5 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 52.73, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 35.529999237060544, "ivRatio": 3.0656975384336276, "cryptoRealisedVol20d": 41.206775403548086, "spxRealisedVol20": 9.055854653060562, "rvSpread": 32.15092075048752, "rvRatio": 4.550291163255545, "rvSpreadPercentile": 16.450216450216452, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 37.66233766233766, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.1235934147955526, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2655993893857406, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790110860454, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.04, "previous": 57.12, "change": -2.08, "percentChange": -3.64 }, "rr25": { "current": -1.59, "previous": 2.89, "change": -4.48, "percentChange": -155.02 }, "bf25": { "current": 3.83, "previous": 3.59, "change": 0.24, "percentChange": 6.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.08, "movePercentile30d": 37.5, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 83.9, "classificationPercentile": 39.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "rr25": { "absoluteMove": 4.48, "movePercentile30d": 91.7, "movePercentileFullHistory": 92.9, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 92.9, "label": "large", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 }, "bf25": { "absoluteMove": 0.24, "movePercentile30d": 41.7, "movePercentileFullHistory": 39.3, "currentLevelPercentileFullHistory": 90.3, "classificationPercentile": 41.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 28, "levelObservationsFullHistory": 31 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-15", "generatedAt": "2026-09-15T21:01:41+00:00", "currentSnapshotAt": "2026-09-15T21:01:00+00:00", "previousSnapshotAt": "2026-09-14T21:01:00+00:00", "sourceSnapshots": { "current": { "id": 378447, "timestamp": "2026-09-15T21:01:00+00:00" }, "previous": { "id": 368426, "timestamp": "2026-09-14T21:01:00+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 24h is incomplete: expected 1440 one-minute returns, found 1402 (97.3611% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.08542205, "previousObjective": 0.05308987, "currentLiveError": 56.20337241, "previousLiveError": 44.02538216 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "17SEP26" ], "removedExpiries": [ "15SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options turn more defensive as front-end volatility eases", "executiveSummary": "Solana’s near-expiry smile rotated lower as front-end options repriced toward relative put-side volatility. Solana one-week RR25 fell 4.81 volatility points to -0.20%, while Solana one-week ATM IV declined 1.94 volatility points to 57.41%.", "evidenceIds": [ "rr25", "front-atm", "largest-standard-tenor" ], "newsSummary": "Single-source media reporting said a Solana mainnet upgrade more than tripled the transaction-size limit. Separate media reporting said US government bond yields reached a 19-year peak as oil prices rose. Neither item includes a measured options reaction.", "marketContextSummary": "The protocol and macro developments are retained as context, but no evidence establishes either as the cause of Solana’s options repricing.", "marketContext": [ { "title": "Solana mainnet upgrade", "explanation": "Single-source media reporting described a mainnet transaction-size upgrade during the window in which Solana’s near-expiry smile rotated lower. 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"da46dc91-9e07-47e5-9280-6d9f40af55f7", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "a770c2ff-5876-4335-a4a1-425e91708662", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "42348cbc-f78a-462f-841f-c422c34a606c", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" } ], "planRationale": "Editorial review: source-checked rates and oil reporting is useful shared market context, without any claim that it caused the measured options moves. Retain the reported mainnet transaction-size upgrade as an attributed, single-source protocol development; missing reaction evidence does not veto context.", "eventsSelected": 2 }, "items": [ { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" } ], "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-46dd9c0d52ca", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-875bc504fd7a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "ee29212d-deb8-447a-be5a-0d064022c65b", "sourceId": "al_jazeera_english", "publisher": "Al Jazeera", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00", "summary": "Benchmark US government bond yields reached a 19-year peak as oil prices rose.", "matchedTerms": [ "US Treasury", "oil prices" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 50, "quality": { "eligible": true, "score": 49.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 3, "sourceQuality": 0.6025, "signals": { "confidence": 0.6467, "importance": 0.8895, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.1774, "effectiveCatalystScore": 0.1774, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-875bc504fd7a" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-46dd9c0d52ca", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "sourceId": "cointelegraph", "publisher": "Cointelegraph", "title": "Solana more than triples transaction size limit with mainnet upgrade", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00", "summary": "A Solana mainnet upgrade more than tripled the transaction-size limit.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": null, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "contentKind": "reporting", "status": "developing" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": true }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD", "ATM IV 1W: down 1.94 points to 57.41%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 18SEP26: -6.61 USD (-6.36%) to 97.34 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-46dd9c0d52ca" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 4.81 volatility points toward puts to -0.20%, leaving puts richer than calls. Front-end ATM IV averaged 56.03%, -1.27 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W ATM IV fell 1.94 volatility points to 57.41%. 3M BF25 rose 0.44 volatility points to 5.71%. The nearest eligible forward, 18SEP26, fell $6.61 (-6.36%) to $97.34. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 94, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.27 volatility points to 56.03% 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 -3.10 volatility points to 0.49% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.08 volatility points to 4.85% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -1.94 volatility points at 1W, to 57.41%.", "tenor": "1W", "value": -1.94 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.18, "rr25Change": -3.11, "bf25Change": -0.09, "largestAtmMove": { "tenor": "1W", "current": 57.41, "previous": 59.35, "change": -1.94, "historicalSignificance": { "absoluteMove": 1.94, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } }, "frontEndAverageAtm": { "current": 56.03, "previous": 57.31, "change": -1.27 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.2, "previous": 4.61, "change": -4.81, "historicalSignificance": { "absoluteMove": 4.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.71, "previous": 5.27, "change": 0.44, "historicalSignificance": { "absoluteMove": 0.44, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } }, "nearestEligibleForwardMove": { "label": "18SEP26", "daysToExpiry": 2.458, "current": 97.34, "previous": 103.95, "change": -6.61, "percentChange": -6.36 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790110860677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.41, "previous": 59.35, "change": -1.94, "percentChange": -3.27 }, "rr25": { "current": -0.2, "previous": 4.61, "change": -4.81, "percentChange": -104.34 }, "bf25": { "current": 4.52, "previous": 4.83, "change": -0.31, "percentChange": -6.42 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.94, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 4.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "2W", "targetExpiry": 1790715660677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.83, "previous": 56.88, "change": -1.05, "percentChange": -1.85 }, "rr25": { "current": 0.37, "previous": 3.67, "change": -3.3, "percentChange": -89.92 }, "bf25": { "current": 4.53, "previous": 4.65, "change": -0.12, "percentChange": -2.58 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.05, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 3.3, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } }, { "tenor": "1M", "targetExpiry": 1792098060677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.86, "previous": 55.69, "change": -0.83, "percentChange": -1.49 }, "rr25": { "current": 0.82, "previous": 3.17, "change": -2.35, "percentChange": -74.13 }, "bf25": { "current": 4.64, "previous": 4.99, "change": -0.35, 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"title": "Largest eligible SVI sigma move", "label": "30OCT26", "value": 0.1045, "score": 0.1045, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": 0.0479, "score": 0.0479, "unit": "parameter units" } ], "expiryEffects": [ { "label": "16SEP26", "daysToExpiry": 0.458, "metric": "Smile rotation", "value": -13.246, "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": 0.20279514, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "16SEP26", "expiry": 1789545600000, "value": 0.197817349055, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "16SEP26", "expiry": 1789545600000, "value": -0.87892433, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00103604, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.0075266, "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": "16SEP26", "values": [ -1.8904, -1.9856, -2.0519, -2.0894, -2.0988, -2.0814, -2.0395, -1.9765, -1.8974, -1.8087, -1.7197, -1.6426, -1.5938, -1.5942, -1.6705, -1.8548, -2.1827, -2.6883, -3.3932, -4.2938, -5.3523, -6.503, -7.6735, -8.8079, -9.8762, -10.8703, -11.7948, -12.6587, -13.4706, -14.2378, -14.9653, -15.6567, -16.3142, -16.9389, -17.5317, -18.0934, -18.6242, -19.1244, -19.5945, -20.0351, -20.4467 ] }, { "label": "18SEP26", "values": [ 24.6626, 23.7174, 22.7548, 21.7712, 20.7627, 19.7241, 18.6499, 17.5335, 16.3675, 15.1439, 13.8543, 12.4906, 11.0459, 9.5164, 7.9041, 6.2195, 4.4862, 2.7428, 1.0439, -0.5446, -1.9535, -3.1233, -4.0137, -4.609, -4.9166, -4.96, -4.772, -4.3873, -3.8389, -3.1555, -2.3617, -1.4774, -0.5187, 0.5014, 1.5724, 2.6855, 3.8343, 5.0124, 6.2154, 7.4391, 8.6799 ] }, { "label": "25SEP26", "values": [ 7.6499, 7.3805, 7.0965, 6.7969, 6.4801, 6.1448, 5.7898, 5.4138, 5.016, 4.5962, 4.1543, 3.6912, 3.2084, 2.7087, 2.196, 1.6754, 1.1532, 0.6367, 0.1338, -0.3471, -0.7977, -1.2107, -1.5796, -1.8997, -2.1677, -2.3819, -2.5422, -2.6499, -2.7072, -2.7168, -2.6823, -2.6073, -2.4954, -2.3503, -2.1754, -1.9739, -1.749, -1.5033, -1.2394, -0.9595, -0.6656 ] }, { "label": "30OCT26", "values": [ 0.9355, 0.8696, 0.8048, 0.7406, 0.6766, 0.6125, 0.5479, 0.4823, 0.4153, 0.3462, 0.275, 0.2008, 0.1236, 0.0429, -0.0414, -0.1294, -0.2212, -0.3164, -0.4149, -0.5164, -0.6201, -0.7255, -0.832, -0.9385, -1.0445, -1.149, -1.2512, -1.3503, -1.4455, -1.5362, -1.6217, -1.7015, -1.7751, -1.8424, -1.9028, -1.9563, -2.0028, -2.0422, -2.0746, -2.1001, -2.1188 ] }, { "label": "25DEC26", "values": [ 1.2631, 1.1742, 1.0832, 0.9901, 0.895, 0.798, 0.6994, 0.5994, 0.4983, 0.3965, 0.294, 0.1916, 0.0893, -0.0123, -0.1128, -0.2118, -0.3086, -0.403, -0.4945, -0.5827, -0.667, -0.7472, -0.823, -0.894, -0.96, -1.0207, -1.0761, -1.126, -1.1704, -1.2093, -1.2426, -1.2707, -1.2935, -1.3113, -1.3242, -1.3324, -1.3362, -1.3358, -1.3314, -1.3234, -1.3119 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-15T21:01:00+00:00", "window": { "startAt": "2026-09-14T21:01:00+00:00", "endAt": "2026-09-15T21:01:00+00:00", "endExclusive": true }, "headline": "Solana options turn more defensive as front-end volatility eases", "standfirst": "Solana’s near-expiry options smile rotated lower over the observation window, alongside a 4.81-volatility-point fall in Solana one-week RR25 to -0.20%. Solana one-week ATM IV fell 1.94 volatility points to 57.41%, and front-end ATM IV averaged 56.03%, down 1.27 volatility points. The combination indicates lower overall front-end implied volatility with a marked move toward relative put-side volatility. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "days": [ { "reportDate": "2026-09-15", "headline": "Solana options skew turns defensive", "summary": "Solana front-end implied volatility declined as one-week relative put-side volatility increased across the window.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "Single-source media reporting described a Solana mainnet transaction-size limit upgrade.", "events": [ { "eventId": "bd4c3cbf-b5aa-4864-b7ff-a4e5570e3cf1", "title": "Solana more than triples transaction size limit with mainnet upgrade", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/solana-transaction-size-limit-4096-bytes-upgrade", "publishedAt": "2026-09-15T08:18:53+00:00" }, { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options turn more defensive as front-end volatility eases", "standfirst": "Solana’s near-expiry options smile rotated lower over the observation window, alongside a 4.81-volatility-point fall in Solana one-week RR25 to -0.20%. Solana one-week ATM IV fell 1.94 volatility points to 57.41%, and front-end ATM IV averaged 56.03%, down 1.27 volatility points. The combination indicates lower overall front-end implied volatility with a marked move toward relative put-side volatility. Realised-volatility comparisons were unavailable because the required minute-series completeness threshold was not met.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Completed common SPX/VIX session. All listed cross-asset metrics are observed at 2026-09-15T20:00:00Z. The crypto-to-SPX realised-volatility ratio was 8.15, at the 82.9 percentile across 228 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 8.15, at the 82.9 percentile across 228 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.86, "vix": 17.200000762939453, "vix9d": null, "vix3m": null, "ivSpread": 37.659999237060546, "ivRatio": 3.1895347422429134, "cryptoRealisedVol20d": 73.80755634422552, "spxRealisedVol20": 9.055854653060562, "rvSpread": 64.75170169116495, "rvRatio": 8.150258498161865, "rvSpreadPercentile": 51.31578947368421, "rvSpreadPercentileSampleCount": 228, "rvRatioPercentile": 82.89473684210526, "rvRatioPercentileSampleCount": 228, "returnCorrelation30": 0.32547520368859334, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31609679307574584, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys market-context-v1. Crypto RV uses sqrt(365); SPX RV uses sqrt(252). VIX9D and VIX3M were unavailable." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790110860677, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.41, "previous": 59.35, "change": -1.94, "percentChange": -3.27 }, "rr25": { "current": -0.2, "previous": 4.61, "change": -4.81, "percentChange": -104.34 }, "bf25": { "current": 4.52, "previous": 4.83, "change": -0.31, "percentChange": -6.42 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.94, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "rr25": { "absoluteMove": 4.81, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 }, "bf25": { "absoluteMove": 0.31, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 18, "observationsFullHistory": 18, "levelObservationsFullHistory": 19 } } } } ], "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": 57.41, "lowest": 39.43, "spread": 17.98, "highestToLowestRatio": 1.456, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 57.41, "values": [ { "asset": "BTC", "value": 39.43 }, { "asset": "ETH", "value": 55.04 }, { "asset": "SOL", "value": 57.41 } ], "previousSpread": 21.12, "spreadChange": -3.14, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "BTC", "laggard": "ETH", "highest": 1.2, "lowest": -2.08, "spread": 3.28, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.08, "values": [ { "asset": "BTC", "value": 1.2 }, { "asset": "ETH", "value": -2.08 }, { "asset": "SOL", "value": -1.94 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": -0.2, "lowest": -1.59, "spread": 1.39, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.59, "values": [ { "asset": "BTC", "value": -1.11 }, { "asset": "ETH", "value": -1.59 }, { "asset": "SOL", "value": -0.2 } ], "previousSpread": 4.03, "spreadChange": -2.64, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "BTC", "laggard": "SOL", "highest": -1.69, "lowest": -4.81, "spread": 3.12, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -4.81, "values": [ { "asset": "BTC", "value": -1.69 }, { "asset": "ETH", "value": -4.48 }, { "asset": "SOL", "value": -4.81 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": -2.08 }, "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": "BTC", "laggard": "ETH", "highest": 4.4, "lowest": 4.33, "spread": 0.07, "highestToLowestRatio": 1.0162, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 4.4, "values": [ { "asset": "BTC", "value": 4.4 }, { "asset": "ETH", "value": 4.33 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": -3.91, "lowest": -6.17, "spread": 2.26, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -6.17, "values": [ { "asset": "BTC", "value": -3.91 }, { "asset": "ETH", "value": -6.17 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 57.41, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 55.04, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 39.43, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "BTC", "value": 1.2, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": -1.94, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -2.08, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -2.08, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "SOL", "value": -1.94, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": 1.2, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": 4.4, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": 4.33, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": -0.2, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": -1.11, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "ETH", "value": -1.59, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": -1.59, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "BTC", "value": -1.11, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": -0.2, "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": -3.91, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -6.17, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "BTC", "value": 1.2, "groupMedian": -1.94, "distanceFromMedian": 3.14 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 39.43, "groupMedian": 55.04, "distanceFromMedian": -15.61 }, { "metric": "1W RR25 level", "asset": "SOL", "value": -0.2, "groupMedian": -1.11, "distanceFromMedian": 0.91 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 0.07, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "BTC screens richest and ETH cheapest on one-week implied volatility versus seven-day realised volatility, with a 0.07-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 17, "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": 0.8487, "observations": 18 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "ETH", "highest": 1.2, "lowest": -2.08, "spread": 3.28, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -2.08, "values": [ { "asset": "BTC", "value": 1.2 }, { "asset": "ETH", "value": -2.08 }, { "asset": "SOL", "value": -1.94 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 57.41, "lowest": 39.43, "spread": 17.98, "highestToLowestRatio": 1.456, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 57.41, "values": [ { "asset": "BTC", "value": 39.43 }, { "asset": "ETH", "value": 55.04 }, { "asset": "SOL", "value": 57.41 } ], "previousSpread": 21.12, "spreadChange": -3.14, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": -0.2, "lowest": -1.59, "spread": 1.39, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.59, "values": [ { "asset": "BTC", "value": -1.11 }, { "asset": "ETH", "value": -1.59 }, { "asset": "SOL", "value": -0.2 } ], "previousSpread": 4.03, "spreadChange": -2.64, "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": "BTC", "laggard": "ETH", "highest": 4.4, "lowest": 4.33, "spread": 0.07, "highestToLowestRatio": 1.0162, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 4.4, "values": [ { "asset": "BTC", "value": 4.4 }, { "asset": "ETH", "value": 4.33 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": -3.91, "lowest": -6.17, "spread": 2.26, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -6.17, "values": [ { "asset": "BTC", "value": -3.91 }, { "asset": "ETH", "value": -6.17 }, { "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": "2026-09-15T21:01:00+00:00", "window": { "startAt": "2026-09-14T21:01:00+00:00", "endAt": "2026-09-15T21:01:00+00:00", "endExclusive": true }, "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "The one-week ATM IV dispersion between Solana and Bitcoin compressed by 3.14 volatility points to 17.98 volatility points. Solana one-week ATM IV remained highest at 57.41% and Bitcoin one-week ATM IV lowest at 39.43%, while Bitcoin one-week ATM IV rose 1.20 volatility points, Ether one-week ATM IV fell 2.08 volatility points, and Solana one-week ATM IV fell 1.94 volatility points. One-week RR25 dispersion among Bitcoin, Ether and Solana also narrowed by 2.64 volatility points to 1.39 volatility points, as all three assets shifted toward relative put-side volatility.", "days": [ { "reportDate": "2026-09-15", "headline": "Major-coin volatility spreads compress", "summary": "One-week implied-volatility and skew gaps narrowed across Bitcoin, Ether and Solana options.", "macro": { "summary": "US government bond yields reached a 19-year peak as oil prices rose.", "events": [] }, "crypto": { "summary": "No qualifying cross-major crypto context was retained.", "events": [ { "eventId": "ee29212d-deb8-447a-be5a-0d064022c65b", "title": "Benchmark US government bond yield hits 19-year peak as oil prices surge", "publisher": "Al Jazeera", "url": "https://www.aljazeera.com/economy/2026/9/15/benchmark-us-government-bond-yield-hits-19-year-peak-as-oil-prices-surge?traffic_source=rss", "publishedAt": "2026-09-15T11:36:51+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -0.49, "rr25Change": -2.186666666666667, "bf25Change": 0.15 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin options narrow their volatility gap as skews converge", "executiveSummary": "Major-coin options became less dispersed at the one-week horizon. Solana one-week ATM IV was highest at 57.41% and Bitcoin one-week ATM IV was lowest at 39.43%, leaving a 17.98-point spread that narrowed by 3.14 volatility points from the prior snapshot.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "Media reporting said US government bond yields reached a 19-year peak as oil prices rose. It provides a shared macro backdrop, without a measured link to the convergence in major-coin options.", "marketContextSummary": "The rates-and-oil report is retained as common market context, but it does not explain the measured cross-major repricing.", "marketContext": [ { "title": "Common macro backdrop", "explanation": "One-week ATM IV dispersion between Solana and Bitcoin narrowed while media reported higher US government bond yields and oil prices. No evidence establishes a direct causal link.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion" ], "news_evidence_ids": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } ], "newsEvidenceIds": [ "ee29212d-deb8-447a-be5a-0d064022c65b" ] } }