{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:31:08+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "headline": "Major-coin options cool as Bitcoin and Ether lead volatility compression", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana at the 16:30 UTC cutoff. Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61%, Ether one-week ATM IV fell 6.05 volatility points to 53.07%, and Solana one-week ATM IV fell 2.14 volatility points to 54.33%. The common decline nevertheless widened relative volatility levels between Solana and Bitcoin to 17.72 volatility points.", "marketSummary": "All three major coins saw lower one-week ATM IV, but Bitcoin’s 6.73-point decline and Ether’s 6.05-point decline far exceeded Solana’s 2.14-point decline, creating a 4.59-point dispersion in daily changes.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-16", "artifactId": "sha256:ddb37875dba243de36591baa153a3d4280dd86969564942d7591a3a47b67bffe", "contentSha256": "8200a458bff6407c2fc15425667e003ee4bed5a78aa3c5d7177ac5dae4576ae7", "currentSnapshotId": 386629, "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotId": 376590, "previousSnapshotAt": "2026-09-15T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-16", "artifactId": "sha256:0a3b36ec6a6f52b23d5baa1eda52143b242094a555cbff171589781bf5a55495", "contentSha256": "07ce68a7138c3487396a2458754c827da1cf51aa97448c8dbf456e980c2e2e6a", "currentSnapshotId": 386630, "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotId": 376589, "previousSnapshotAt": "2026-09-15T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-16", "artifactId": "sha256:30817edec98fe8680af306dbe7e63e6483fe0a3ece2e87e9119ecab3c916ac1a", "contentSha256": "482410bc3592ba89d99b72619feae01f725104024a80c41ecfd73fb6d7f7cd50", "currentSnapshotId": 386628, "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotId": 376584, "previousSnapshotAt": "2026-09-15T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:30:29+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386629, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376590, "timestamp": "2026-09-15T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical BTC index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-BTC ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical BTC-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/BTC-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 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": "2026-09-16T16:30:00+00:00", "spotWindowStart": "2026-09-15T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.87, "rv24hPercent": 44.73, "rv7dPercent": 34.6, "rv30dPercent": 40.8, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 36.61, "oneWeekIvMinus7dRvPoints": 2.01, "oneWeekIvMinus24hRvPoints": -8.12, "oneWeekIvMinus30dRvPoints": -4.19 }, "fitQuality": { "currentObjective": 0.04995077, "previousObjective": 0.05801061, "currentLiveError": 83.56179921, "previousLiveError": 79.31625206 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "20SEP26" ], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility posts a historically large reset", "executiveSummary": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% at the cutoff, a large move that left front-end implied volatility materially lower than at the prior snapshot.", "evidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsSummary": "Decrypt reported that Bitcoin, Ethereum and XRP ETFs shed roughly $593 million combined. NPR reported that the Federal Reserve was widely expected to raise its benchmark interest rate.", "marketContextSummary": "The ETF-flow and Federal Reserve reports frame the broader market backdrop, but no measured Bitcoin-options reaction establishes a causal connection to the volatility reset.", "marketContext": [ { "title": "News Check", "explanation": "The retained reports were published within the observation window, but neither contains a measured BTC-specific options reaction. 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the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD", "ATM IV 1W: down 6.73 points to 36.61%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -751.32 USD (-0.98%) to 75753.44 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 6.73 volatility points to 36.61%, a large move at the 95th percentile among 145 comparable historical observations. At the cutoff, realised volatility measured 44.73% over 24 hours, 34.60% over seven days and 40.80% over 30 days. Front-end ATM IV averaged 36.12%, -4.49 points from the prior snapshot, while the long end averaged 38.98%, -1.04 points. 1W RR25 moved 1.59 volatility points toward puts to -1.10%, leaving puts richer than calls. 1W BF25 fell 0.49 volatility points to 2.10%. The nearest eligible forward, 19SEP26, fell $751.32 (-0.98%) to $75,753.44. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 36.61%, 2.01 volatility points above seven-day realised volatility of 34.60%; 24-hour realised volatility was 44.73% and 30-day realised volatility was 40.80%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.49 volatility points to 36.12% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.04 volatility points to 38.98% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.04 volatility points to -1.59% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.13 volatility points to 2.32% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -6.73 volatility points at 1W, to 36.61%.", "tenor": "1W", "value": -6.73 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.24, "rr25Change": -1.04, "bf25Change": -0.13, "largestAtmMove": { "tenor": "1W", "current": 36.61, "previous": 43.34, "change": -6.73, "historicalSignificance": { "absoluteMove": 6.73, "movePercentile30d": 90.0, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } }, "frontEndAverageAtm": { "current": 36.12, "previous": 40.61, "change": -4.49 }, "longEndAverageAtm": { "current": 38.98, "previous": 40.02, "change": -1.04 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.1, "previous": 0.49, "change": -1.59, "historicalSignificance": { "absoluteMove": 1.59, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 2.1, "previous": 2.59, "change": -0.49, "historicalSignificance": { "absoluteMove": 0.49, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.1, "currentLevelPercentileFullHistory": 68.5, "classificationPercentile": 84.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } }, "nearestEligibleForwardMove": { "label": "19SEP26", "daysToExpiry": 2.646, "current": 75753.44, "previous": 76504.76, "change": -751.32, "percentChange": -0.98 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790181000672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.61, "previous": 43.34, "change": -6.73, "percentChange": -15.53 }, "rr25": { "current": -1.1, "previous": 0.49, "change": -1.59, "percentChange": -324.49 }, "bf25": { "current": 2.1, "previous": 2.59, "change": -0.49, "percentChange": -18.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.73, "movePercentile30d": 90.0, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "rr25": { "absoluteMove": 1.59, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "bf25": { "absoluteMove": 0.49, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.1, "currentLevelPercentileFullHistory": 68.5, "classificationPercentile": 84.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } } }, { "tenor": "2W", "targetExpiry": 1790785800672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 35.89, "previous": 39.99, "change": -4.1, "percentChange": -10.25 }, "rr25": { "current": -1.52, "previous": 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6.73, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -1.59, "score": 1.59, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": -0.49, "score": 0.49, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": 0.1867, "score": 0.1867, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25DEC26", "value": 0.1072, "score": 0.1072, "unit": "parameter units" } ], "expiryEffects": [ { "label": "18SEP26", "daysToExpiry": 1.646, "metric": "ATM IV change", "value": -7.71, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "17SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -6.967, "unit": "volatility points", "context": 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-0.7793, -0.8109, -0.8456, -0.8833, -0.9238, -0.9669, -1.0124, -1.0602, -1.1099, -1.1613, -1.214, -1.2678, -1.3225, -1.3774, -1.4324, -1.4871, -1.5412, -1.5941, -1.6458, -1.6957, -1.7434, -1.7889, -1.8316, -1.8715, -1.9081, -1.9414, -1.9711, -1.9971, -2.0192, -2.0373, -2.0513, -2.0613, -2.0672, -2.0689, -2.0666, -2.0601, -2.0496, -2.0351 ] }, { "label": "26MAR27", "values": [ -0.4489, -0.4776, -0.5064, -0.5354, -0.5643, -0.5934, -0.6223, -0.651, -0.6795, -0.7077, -0.7354, -0.7627, -0.7894, -0.8155, -0.8408, -0.8653, -0.8888, -0.9115, -0.933, -0.9534, -0.9726, -0.9906, -1.0073, -1.0226, -1.0364, -1.0488, -1.0597, -1.0691, -1.0769, -1.0832, -1.0878, -1.0908, -1.0924, -1.0922, -1.0905, -1.0872, -1.0823, -1.076, -1.0681, -1.0588, -1.048 ] }, { "label": "25JUN27", "values": [ -0.5939, -0.5965, -0.5993, -0.6026, -0.6061, -0.61, -0.6143, -0.6188, -0.6235, -0.6285, -0.6336, -0.639, -0.6445, -0.6502, -0.6559, -0.6618, -0.6677, -0.6736, -0.6796, -0.6855, -0.6914, -0.6972, -0.7029, -0.7086, -0.7139, -0.7193, -0.7244, -0.7293, -0.734, -0.7384, -0.7426, -0.7465, -0.7502, -0.7535, -0.7566, -0.7594, -0.7617, -0.7639, -0.7657, -0.7672, -0.7683 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-16T16:30:00+00:00", "window": { "startAt": "2026-09-15T16:30:00+00:00", "endAt": "2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reset lower as short-dated volatility falls sharply", "standfirst": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% over the 24-hour observation window, a 95.2 percentile move in Derivasys history. Bitcoin’s 24-hour spot-index return was -0.87%, while one-week ATM IV remained 2.01 volatility points above seven-day realised volatility of 34.60%. The reset was concentrated at the front end, where ATM IV averaged 36.12%.", "days": [ { "reportDate": "2026-09-16", "headline": "Bitcoin volatility resets at the front", "summary": "Bitcoin one-week ATM IV fell sharply, while one-week RR25 shifted toward relatively richer put volatility.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million.", "events": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "publisher": "Decrypt", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reset lower as short-dated volatility falls sharply", "standfirst": "Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61% over the 24-hour observation window, a 95.2 percentile move in Derivasys history. Bitcoin’s 24-hour spot-index return was -0.87%, while one-week ATM IV remained 2.01 volatility points above seven-day realised volatility of 34.60%. The reset was concentrated at the front end, where ATM IV averaged 36.12%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 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": 17.21, "vix3m": 19.36, "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)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790181000672, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.61, "previous": 43.34, "change": -6.73, "percentChange": -15.53 }, "rr25": { "current": -1.1, "previous": 0.49, "change": -1.59, "percentChange": -324.49 }, "bf25": { "current": 2.1, "previous": 2.59, "change": -0.49, "percentChange": -18.92 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.73, "movePercentile30d": 90.0, "movePercentileFullHistory": 95.2, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 95.2, "label": "large", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "rr25": { "absoluteMove": 1.59, "movePercentile30d": 70.0, "movePercentileFullHistory": 82.1, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 82.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 }, "bf25": { "absoluteMove": 0.49, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.1, "currentLevelPercentileFullHistory": 68.5, "classificationPercentile": 84.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 145, "levelObservationsFullHistory": 146 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:30:48+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386630, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376589, "timestamp": "2026-09-15T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "methodology": { "source": "Derivasys proprietary historical SVI surface and canonical ETH index databases", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-ETH ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface and realised-volatility changes only and does not infer unsupported market drivers, flows or forecasts.", "realisedVolatility": "Annualised root-mean-square of one-minute canonical ETH-USD index log returns using a 365-day basis; all windows end at the current snapshot." }, "realisedVolatility": { "source": "canonical/ETH-USD-INDEX (DERIBIT and OKX indexes)", "fallbackObservations": 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": "2026-09-16T16:30:00+00:00", "spotWindowStart": "2026-09-15T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.07, "rv24hPercent": 59.58, "rv7dPercent": 50.76, "rv30dPercent": 56.27, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 53.07, "oneWeekIvMinus7dRvPoints": 2.31, "oneWeekIvMinus24hRvPoints": -6.51, "oneWeekIvMinus30dRvPoints": -3.2 }, "fitQuality": { "currentObjective": 0.11950123, "previousObjective": 0.22362243, "currentLiveError": 90.4285356, "previousLiveError": 253.99791994 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "20SEP26" ], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether short-dated implied volatility retreats but retains a realised premium", "executiveSummary": "Ether one-week ATM IV fell 6.05 volatility points to 53.07% at the cutoff, while remaining 2.31 volatility points above seven-day realised volatility.", "evidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsSummary": "Decrypt reported combined outflows from Bitcoin, Ethereum and XRP ETFs of roughly $593 million. NPR reported expectations for a Federal Reserve interest-rate increase.", "marketContextSummary": "Both retained reports are relevant market context, but neither supplies a measured Ether-options reaction that would support a causal account of the front-end compression.", "marketContext": [ { "title": "News Check", "explanation": "The ETF report names Ethereum and the Federal Reserve report is broad macro context, but no measured ETH-specific options response was available. The connection to the one-week ATM IV decline remains unproven.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor", "realised-vol" ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.07%, 2.31 volatility points above seven-day realised volatility of 50.76%; 24-hour realised volatility was 59.58% and 30-day realised volatility was 56.27%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.99 volatility points to 52.16% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 54.87% across 6M and 1Y." }, { "id": "rr25", 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468, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 2, "feedEntriesScanned": 7, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 2, "articlesPassingSelectionThreshold": 2, "storiesSelected": 2, "selectedPublishers": 2, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": 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the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "primary_article": { "id": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "sourceId": "npr_news", "publisher": "NPR", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00", "summary": "The Fed is widely expected to raise its benchmark interest rate to combat stubborn inflation.", "matchedTerms": [ "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 41, "quality": { "eligible": true, "score": 40.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.454, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1151, "effectiveCatalystScore": 0.1151, "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 macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "canonicalEventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 6.05 points to 53.07%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-f0459030bbc9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "sourceId": "decrypt", "publisher": "Decrypt", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00", "summary": "Bitcoin, Ethereum, and XRP ETFs shed roughly $593 million combined Tuesday, their heaviest single-day drawdown since June.", "matchedTerms": [ "BTC", "Bitcoin", "ETH", "Ethereum", "XRP", "XRP ETFs" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6025, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6025, "effectiveSourceQuality": 0.6025, "catalystScore": 0.0747, "effectiveCatalystScore": 0.0747, "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 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD", "ATM IV 1W: down 6.05 points to 53.07%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 19SEP26: -29.63 USD (-1.22%) to 2394.89 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f0459030bbc9" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 6.05 volatility points to 53.07%, a notable move at the 86th percentile among 29 comparable historical observations. At the cutoff, realised volatility measured 59.58% over 24 hours, 50.76% over seven days and 56.27% over 30 days. Front-end ATM IV averaged 52.16%, -3.99 points from the prior snapshot, while the long end averaged 54.87%, -0.28 points. 1W RR25 moved 0.73 volatility points toward calls to -0.56%, leaving puts richer than calls. 1W BF25 fell 0.81 volatility points to 3.32%. The nearest eligible forward, 19SEP26, fell $29.63 (-1.22%) to $2,394.89. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 106, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 53.07%, 2.31 volatility points above seven-day realised volatility of 50.76%; 24-hour realised volatility was 59.58% and 30-day realised volatility was 56.27%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -3.99 volatility points to 52.16% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.28 volatility points to 54.87% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.40 volatility points to -0.23% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.25 volatility points to 3.48% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -6.05 volatility points at 1W, to 53.07%.", "tenor": "1W", "value": -6.05 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -2.56, "rr25Change": 0.4, "bf25Change": -0.25, "largestAtmMove": { "tenor": "1W", "current": 53.07, "previous": 59.12, "change": -6.05, "historicalSignificance": { "absoluteMove": 6.05, "movePercentile30d": 84.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } }, "frontEndAverageAtm": { "current": 52.16, "previous": 56.14, "change": -3.99 }, "longEndAverageAtm": { "current": 54.87, "previous": 55.15, "change": -0.28 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -0.56, "previous": -1.29, "change": 0.73, "historicalSignificance": { "absoluteMove": 0.73, "movePercentile30d": 32.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "1W", "current": 3.32, "previous": 4.13, "change": -0.81, "historicalSignificance": { "absoluteMove": 0.81, "movePercentile30d": 96.0, "movePercentileFullHistory": 93.1, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 96.0, "label": "large", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } }, "nearestEligibleForwardMove": { "label": "19SEP26", "daysToExpiry": 2.646, "current": 2394.89, "previous": 2424.52, "change": -29.63, "percentChange": -1.22 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790181000813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.07, "previous": 59.12, "change": -6.05, "percentChange": -10.23 }, "rr25": { "current": -0.56, "previous": -1.29, "change": 0.73, "percentChange": 56.59 }, "bf25": { "current": 3.32, "previous": 4.13, "change": -0.81, "percentChange": -19.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.05, "movePercentile30d": 84.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 32.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.81, "movePercentile30d": 96.0, "movePercentileFullHistory": 93.1, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 96.0, "label": "large", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "2W", "targetExpiry": 1790785800813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.48, "previous": 55.38, "change": -3.9, "percentChange": -7.04 }, "rr25": { "current": -0.92, "previous": -0.77, "change": -0.15, "percentChange": -19.48 }, "bf25": { "current": 3.9, "previous": 3.93, "change": -0.03, "percentChange": -0.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.9, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 82.8, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.15, "movePercentile30d": 8.0, "movePercentileFullHistory": 17.2, "currentLevelPercentileFullHistory": 28.1, "classificationPercentile": 17.2, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 4.0, "movePercentileFullHistory": 6.9, "currentLevelPercentileFullHistory": 90.6, "classificationPercentile": 6.9, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "1M", "targetExpiry": 1792168200813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.92, "previous": 53.93, "change": -2.01, "percentChange": -3.73 }, "rr25": { "current": -0.4, "previous": -0.71, "change": 0.31, "percentChange": 43.66 }, "bf25": { "current": 3.66, "previous": 3.67, "change": -0.01, "percentChange": -0.27 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.01, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.8, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 82.8, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 28.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 40.6, "classificationPercentile": 31.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.4, "currentLevelPercentileFullHistory": 93.8, "classificationPercentile": 3.4, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "3M", "targetExpiry": 1797438600813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.66, "previous": 54.22, "change": -0.56, "percentChange": -1.03 }, "rr25": { "current": 0.2, "previous": -0.3, "change": 0.5, "percentChange": 166.67 }, "bf25": { "current": 3.3, "previous": 3.6, "change": -0.3, "percentChange": -8.33 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.56, "movePercentile30d": 60.0, "movePercentileFullHistory": 65.5, "currentLevelPercentileFullHistory": 59.4, "classificationPercentile": 65.5, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.5, "movePercentile30d": 52.0, "movePercentileFullHistory": 51.7, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 52.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.3, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 84.4, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "6M", "targetExpiry": 1805301000813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.87, "previous": 55.15, "change": -0.28, "percentChange": -0.51 }, "rr25": { "current": 0.54, "previous": -0.05, "change": 0.59, "percentChange": 1180.0 }, "bf25": { "current": 3.2, "previous": 3.29, "change": -0.09, "percentChange": -2.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": 56.0, "movePercentileFullHistory": 58.6, "currentLevelPercentileFullHistory": 62.5, "classificationPercentile": 58.6, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.59, "movePercentile30d": 76.0, "movePercentileFullHistory": 72.4, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 76.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 56.0, "movePercentileFullHistory": 55.2, "currentLevelPercentileFullHistory": 96.9, "classificationPercentile": 56.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } }, { "tenor": "9M", "targetExpiry": 1813163400813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.36, "previous": 55.74, "change": -0.38, "percentChange": -0.68 }, "rr25": { "current": 0.43, "previous": 0.33, "change": 0.1, "percentChange": 30.3 }, "bf25": { "current": 2.85, "previous": 2.89, "change": -0.04, "percentChange": -1.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.38, "movePercentile30d": 84.0, "movePercentileFullHistory": 79.3, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 84.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.1, "movePercentile30d": 24.0, "movePercentileFullHistory": 24.1, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 24.1, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.7, "currentLevelPercentileFullHistory": 78.1, "classificationPercentile": 20.7, "label": "routine", "observations30d": 25, "observationsFullHistory": 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Ether’s 24-hour spot-index return was -1.07%, while one-week ATM IV stood 2.31 volatility points above seven-day realised volatility of 50.76%. Front-end ATM IV averaged 52.16%, showing the compression was concentrated in shorter maturities.", "days": [ { "reportDate": "2026-09-16", "headline": "Ether front-end volatility compresses", "summary": "Ether one-week ATM IV fell materially while the one-week implied-versus-realised volatility premium remained positive.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million.", "events": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "publisher": "Decrypt", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options cool as short-dated volatility compresses materially", "standfirst": "Ether one-week ATM IV fell 6.05 volatility points to 53.07% over the 24-hour observation window, an 86.2 percentile move in available Derivasys history. Ether’s 24-hour spot-index return was -1.07%, while one-week ATM IV stood 2.31 volatility points above seven-day realised volatility of 50.76%. Front-end ATM IV averaged 52.16%, showing the compression was concentrated in shorter maturities.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 2026-09-15T20:00:00Z. The crypto-minus-SPX realised-volatility spread was 32.15 points, at the 16.9 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 16.9 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": 17.21, "vix3m": 19.36, "ivSpread": 35.529999237060544, "ivRatio": 3.0656975384336276, "cryptoRealisedVol20d": 41.206775403548086, "spxRealisedVol20": 9.055854653060562, "rvSpread": 32.15092075048752, "rvRatio": 4.550291163255545, "rvSpreadPercentile": 16.883116883116884, "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)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790181000813, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.07, "previous": 59.12, "change": -6.05, "percentChange": -10.23 }, "rr25": { "current": -0.56, "previous": -1.29, "change": 0.73, "percentChange": 56.59 }, "bf25": { "current": 3.32, "previous": 4.13, "change": -0.81, "percentChange": -19.61 }, "historicalSignificance": { "atmIv": { "absoluteMove": 6.05, "movePercentile30d": 84.0, "movePercentileFullHistory": 86.2, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 86.2, "label": "notable", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "rr25": { "absoluteMove": 0.73, "movePercentile30d": 32.0, "movePercentileFullHistory": 31.0, "currentLevelPercentileFullHistory": 43.8, "classificationPercentile": 32.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 }, "bf25": { "absoluteMove": 0.81, "movePercentile30d": 96.0, "movePercentileFullHistory": 93.1, "currentLevelPercentileFullHistory": 81.2, "classificationPercentile": 96.0, "label": "large", "observations30d": 25, "observationsFullHistory": 29, "levelObservationsFullHistory": 32 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-16", "generatedAt": "2026-09-16T16:31:08+00:00", "currentSnapshotAt": "2026-09-16T16:30:00+00:00", "previousSnapshotAt": "2026-09-15T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 386628, "timestamp": "2026-09-16T16:30:00+00:00" }, "previous": { "id": 376584, "timestamp": "2026-09-15T16:30:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 7d is incomplete: expected 10080 one-minute returns, found 10042 (99.6230% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.01178824, "previousObjective": 0.06164078, "currentLiveError": 11.83757459, "previousLiveError": 31.6874357 }, "coverage": { "currentListedExpiries": 5, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [], "removedExpiries": [ "16SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana front-end volatility eases with call-rich skew intact", "executiveSummary": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% at the cutoff, while one-week RR25 stood at 1.11%, indicating relatively richer call-side volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm" ], "newsSummary": "NPR reported that the Federal Reserve was widely expected to raise its benchmark interest rate to address persistent inflation.", "marketContextSummary": "The Federal Reserve report is broad macro context only; no measured Solana-options reaction supports a causal link to the one-week volatility decline.", "marketContext": [ { "title": "News Check", "explanation": "The retained macro report is not Solana-specific and contains no measured SOL options response. 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Front-end ATM IV averaged 54.22%, -1.55 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.29 volatility points toward calls to 1.11%, leaving calls richer than puts. 3M BF25 fell 0.79 volatility points to 5.10%. The nearest eligible forward, 25SEP26, fell $1.95 (-1.96%) to $97.37. Realised-volatility comparisons were unavailable because the canonical minute series did not meet the completeness requirement. 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"2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options ease as short-dated volatility stays call-rich", "standfirst": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% over the 24-hour observation window. Solana one-week RR25 rose 0.29 volatility points to 1.11%, leaving call volatility richer than put volatility at that tenor. Derivasys data show front-end ATM IV averaged 54.22%; realised-volatility comparisons were unavailable at the cutoff.", "days": [ { "reportDate": "2026-09-16", "headline": "Solana volatility eases while skew stays call-rich", "summary": "Solana one-week ATM IV fell modestly, while one-week RR25 kept call volatility relatively richer than puts.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying crypto-specific context was selected.", "events": [] } } ] }, "newsStatus": "context", "headline": "Solana options ease as short-dated volatility stays call-rich", "standfirst": "Solana one-week ATM IV fell 2.14 volatility points to 54.33% over the 24-hour observation window. Solana one-week RR25 rose 0.29 volatility points to 1.11%, leaving call volatility richer than put volatility at that tenor. Derivasys data show front-end ATM IV averaged 54.22%; realised-volatility comparisons were unavailable at the cutoff.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-15", "asOfTimestamp": "2026-09-15T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common benchmark session 2026-09-15; cross-asset snapshot 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": 17.21, "vix3m": 19.36, "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)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790181000543, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.33, "previous": 56.47, "change": -2.14, "percentChange": -3.79 }, "rr25": { "current": 1.11, "previous": 0.82, "change": 0.29, "percentChange": 35.37 }, "bf25": { "current": 4.57, "previous": 5.12, "change": -0.55, "percentChange": -10.74 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.14, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 55.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, "levelObservationsFullHistory": 20 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": 45.0, "classificationPercentile": null, "label": "unavailable", "observations30d": 19, "observationsFullHistory": 19, 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"BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ] } }, "relativeValue": { "ivMinusRealised7d": { "leader": "ETH", "laggard": "BTC", "highest": 2.31, "lowest": 2.01, "spread": 0.3, "highestToLowestRatio": 1.1493, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.31, "values": [ { "asset": "BTC", "value": 2.01 }, { "asset": "ETH", "value": 2.31 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": -0.87, "lowest": -1.07, "spread": 0.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.07, "values": [ { "asset": "BTC", "value": -0.87 }, { "asset": "ETH", "value": -1.07 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 54.33, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 53.07, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": 36.61, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": -2.14, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -6.05, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": -6.73, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "BTC", "value": -6.73, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -6.05, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -2.14, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "ETH", "value": 2.31, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 2.01, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 1.11, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": -0.56, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": -1.1, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -1.1, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": -0.56, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 1.11, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 1, "asset": "BTC", "value": -0.87, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -1.07, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": -2.14, "groupMedian": -6.05, "distanceFromMedian": 3.91 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 36.61, "groupMedian": 53.07, "distanceFromMedian": -16.46 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 1.11, "groupMedian": -0.56, "distanceFromMedian": 1.67 } ], "relativeValueObservation": { "richestAsset": "ETH", "cheapestAsset": "BTC", "spread": 0.3, "metric": "1W ATM IV minus 7D realised volatility", "interpretation": "ETH screens richest and BTC cheapest on one-week implied volatility versus seven-day realised volatility, with a 0.30-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 18, "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": 0.8497, "observations": 19 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": -2.14, "lowest": -6.73, "spread": 4.59, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -6.73, "values": [ { "asset": "BTC", "value": -6.73 }, { "asset": "ETH", "value": -6.05 }, { "asset": "SOL", "value": -2.14 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 54.33, "lowest": 36.61, "spread": 17.72, "highestToLowestRatio": 1.484, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 54.33, "values": [ { "asset": "BTC", "value": 36.61 }, { "asset": "ETH", "value": 53.07 }, { "asset": "SOL", "value": 54.33 } ], "previousSpread": 15.78, "spreadChange": 1.94, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 1.11, "lowest": -1.1, "spread": 2.21, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 1.11, "values": [ { "asset": "BTC", "value": -1.1 }, { "asset": "ETH", "value": -0.56 }, { "asset": "SOL", "value": 1.11 } ], "previousSpread": 2.11, "spreadChange": 0.1, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "ETH", "laggard": "BTC", "highest": 2.31, "lowest": 2.01, "spread": 0.3, "highestToLowestRatio": 1.1493, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 2.31, "values": [ { "asset": "BTC", "value": 2.01 }, { "asset": "ETH", "value": 2.31 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": -0.87, "lowest": -1.07, "spread": 0.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.07, "values": [ { "asset": "BTC", "value": -0.87 }, { "asset": "ETH", "value": -1.07 }, { "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": "2026-09-16T16:30:00+00:00", "window": { "startAt": "2026-09-15T16:30:00+00:00", "endAt": "2026-09-16T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options cool as Bitcoin and Ether lead volatility compression", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana at the 16:30 UTC cutoff. Bitcoin one-week ATM IV fell 6.73 volatility points to 36.61%, Ether one-week ATM IV fell 6.05 volatility points to 53.07%, and Solana one-week ATM IV fell 2.14 volatility points to 54.33%. The common decline nevertheless widened relative volatility levels between Solana and Bitcoin to 17.72 volatility points.", "days": [ { "reportDate": "2026-09-16", "headline": "Major-coin volatility declines unevenly", "summary": "One-week ATM IV declined across major coins, with Bitcoin and Ether falling substantially more than Solana.", "macro": { "summary": "NPR reported expectations that the Federal Reserve would raise its benchmark interest rate.", "events": [ { "eventId": "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5", "title": "The Fed is expected to raise interest rates for the first time in 3 years", "publisher": "NPR", "url": "https://www.npr.org/2026/09/16/nx-s1-5968724/federal-reserve-interest-rates-inflation-economy", "publishedAt": "2026-09-16T09:00:00+00:00" } ] }, "crypto": { "summary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million.", "events": [ { "eventId": "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "title": "Bitcoin ETFs Had Their Worst Day Since June Following Failed Clarity Act Vote", "publisher": "Decrypt", "url": "https://decrypt.co/378382/bitcoin-etfs-clarity-act-vote", "publishedAt": "2026-09-16T15:50:07+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -2.3066666666666666, "rr25Change": -0.20666666666666667, "bf25Change": -0.2333333333333333 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin and Ether drive the major-coin volatility retreat", "executiveSummary": "All three major coins saw lower one-week ATM IV, but Bitcoin’s 6.73-point decline and Ether’s 6.05-point decline far exceeded Solana’s 2.14-point decline, creating a 4.59-point dispersion in daily changes.", "evidenceIds": [ "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "Decrypt reported combined Bitcoin, Ethereum and XRP ETF outflows of roughly $593 million. NPR reported expectations for a Federal Reserve interest-rate increase.", "marketContextSummary": "The retained crypto and macro reports provide broad backdrop for the shared market window, but they do not establish why the major-coin volatility declines differed in size.", "marketContext": [ { "title": "News Check", "explanation": "No measured cross-asset options reaction links either retained report to the breadth of one-week ATM IV declines or the dispersion between Bitcoin, Ether and Solana.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion" ], "news_evidence_ids": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } ], "newsEvidenceIds": [ "fda3f55f-b05d-4b36-8958-7a7336a8ff09", "b9d2b91a-3d25-4cf4-8b7f-665faaac2df5" ] } }