{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:43+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "headline": "Bitcoin, Ether and Solana options volatility falls together", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana, but the reset was uneven. Ether one-week ATM IV fell 8.62 volatility points to 44.54%, Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56%, and Solana one-week ATM IV fell 4.27 volatility points to 50.11%. That left Solana’s one-week ATM IV 20.55 volatility points above Bitcoin’s, widening the level spread by 2.88 volatility points.", "marketSummary": "One-week ATM IV declined in all three major coins, led by Ether’s 8.62-point fall and followed by Bitcoin’s 7.15-point fall. Solana’s smaller 4.27-point decline left its 50.11% one-week ATM IV 20.55 volatility points above Bitcoin’s 29.56%, widening relative implied-volatility dispersion.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-17", "artifactId": "sha256:e9e264fb858388e5687c0e7fbc38151c5558588f23faa135d8a9ff7e2db6eecf", "contentSha256": "e4a7d3ddcf8530576404440e1b00196ca2f36242abe0f74a7eb94d9b725852b1", "currentSnapshotId": 396751, "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotId": 386688, "previousSnapshotAt": "2026-09-16T16:39:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-17", "artifactId": "sha256:a69ad36f4d0bd8c4194eae0f4dcc9c1c8f0cf014d2914227116281d1266ea8fa", "contentSha256": "3c61d2243f88b607f479943e860e814ed790c9283d79de2739c552953608cbaa", "currentSnapshotId": 396757, "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotId": 386687, "previousSnapshotAt": "2026-09-16T16:39:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-17", "artifactId": "sha256:f51a047ae91797ca7504756f957a8f80a85b6f110e32f138fc8775c6716750e4", "contentSha256": "bc1fde039c75d975ecc65109f9ae8ba8a36e10afe0cec669a3b0d753abab90b8", "currentSnapshotId": 396756, "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotId": 386689, "previousSnapshotAt": "2026-09-16T16:39:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:04+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396751, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386688, "timestamp": "2026-09-16T16:39:00+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": "2026-09-17T16:39:00+00:00", "spotWindowStart": "2026-09-16T16:39:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 1.16, "rv24hPercent": 46.35, "rv7dPercent": 36.76, "rv30dPercent": 41.47, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 29.56, "oneWeekIvMinus7dRvPoints": -7.2, "oneWeekIvMinus24hRvPoints": -16.79, "oneWeekIvMinus30dRvPoints": -11.91 }, "fitQuality": { "currentObjective": 0.13667691, "previousObjective": 0.04090756, "currentLiveError": 157.54042087, "previousLiveError": 72.8506928 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "21SEP26", "9OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week implied volatility resets below realised volatility", "executiveSummary": "Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56%, a large move measured at the 16:39 UTC cutoff. 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Bitcoin-specific reaction evidence was unavailable, so the event is retained as context rather than an explanation for the volatility reset.", "marketContextSummary": "The FOMC statement falls inside the observation window, but available evidence does not support attributing Bitcoin’s one-week implied-volatility decline to it.", "marketContext": [ { "title": "FOMC statement coincides with Bitcoin volatility reset", "explanation": "Bitcoin one-week ATM IV was lower at the cutoff, but no measured Bitcoin reaction links that move directly to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:39 UTC cutoff, 1W ATM IV was 29.56%, 7.20 volatility points below seven-day realised 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BTC reaction retrieval was unavailable, so association does not establish that it drove the option repricing.", "eventsSelected": 1 }, "items": [ { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; 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the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "fed-policy-2026-09", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "canonicalEventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "status": "selected", "relevance": "macro", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "ATM IV 1W: down 7.15 points to 29.56%" ], "selection_reason": "Retained as contemporaneous macro context alongside ATM IV 1W: down 7.15 points to 29.56%; the surface data does not establish a causal relationship.", "event_cluster_id": "fed-policy-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 7.15 volatility points to 29.56%, a large move at the 96th percentile among 146 comparable historical observations. At the cutoff, realised volatility measured 46.35% over 24 hours, 36.76% over seven days and 41.47% over 30 days. Front-end ATM IV averaged 31.29%, -4.81 points from the prior snapshot, while the long end averaged 38.03%, -0.84 points. 1W RR25 moved 1.48 volatility points toward calls to 0.26%, leaving calls richer than puts. 2W BF25 fell 0.80 volatility points to 1.46%. The nearest eligible forward, 20SEP26, rose $808.50 (+1.07%) to $76,571.87. 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 16:39 UTC cutoff, 1W ATM IV was 29.56%, 7.20 volatility points below seven-day realised volatility of 36.76%; 24-hour realised volatility was 46.35% and 30-day realised volatility was 41.47%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -4.81 volatility points to 31.29% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.84 volatility points to 38.03% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.70 volatility points to -0.99% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.44 volatility points to 1.87% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -7.15 volatility points at 1W, to 29.56%.", "tenor": "1W", "value": -7.15 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.31, "rr25Change": 0.7, "bf25Change": -0.44, "largestAtmMove": { "tenor": "1W", "current": 29.56, "previous": 36.71, "change": -7.15, "historicalSignificance": { "absoluteMove": 7.15, "movePercentile30d": 93.3, "movePercentileFullHistory": 95.9, "currentLevelPercentileFullHistory": 10.2, "classificationPercentile": 95.9, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } }, "frontEndAverageAtm": { "current": 31.29, "previous": 36.1, "change": -4.81 }, "longEndAverageAtm": { "current": 38.03, "previous": 38.87, "change": -0.84 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.26, "previous": -1.22, "change": 1.48, "historicalSignificance": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 78.8, "currentLevelPercentileFullHistory": 89.8, "classificationPercentile": 78.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.46, "previous": 2.26, "change": -0.8, "historicalSignificance": { "absoluteMove": 0.8, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } }, "nearestEligibleForwardMove": { "label": "20SEP26", "daysToExpiry": 2.64, "current": 76571.87, "previous": 75763.37, "change": 808.5, "percentChange": 1.07 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790267940528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 29.56, "previous": 36.71, "change": -7.15, "percentChange": -19.48 }, "rr25": { "current": 0.26, "previous": -1.22, "change": 1.48, "percentChange": 121.31 }, "bf25": { "current": 1.6, "previous": 2.08, "change": -0.48, "percentChange": -23.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.15, "movePercentile30d": 93.3, "movePercentileFullHistory": 95.9, "currentLevelPercentileFullHistory": 10.2, "classificationPercentile": 95.9, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 78.8, "currentLevelPercentileFullHistory": 89.8, "classificationPercentile": 78.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.48, "movePercentile30d": 80.0, "movePercentileFullHistory": 83.6, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 83.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "2W", "targetExpiry": 1790872740528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 31.52, "previous": 35.89, "change": -4.37, "percentChange": -12.18 }, "rr25": { "current": -0.5, "previous": -1.52, "change": 1.02, "percentChange": 67.11 }, "bf25": { "current": 1.46, "previous": 2.26, "change": -0.8, "percentChange": -35.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.37, "movePercentile30d": 83.3, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 12.2, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 63.3, "movePercentileFullHistory": 71.9, "currentLevelPercentileFullHistory": 87.1, "classificationPercentile": 71.9, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.8, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.6, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "1M", "targetExpiry": 1792255140528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 32.78, "previous": 35.69, "change": -2.91, "percentChange": -8.15 }, "rr25": { "current": -1.72, "previous": -2.14, "change": 0.42, "percentChange": 19.63 }, "bf25": { "current": 1.8, "previous": 2.34, "change": -0.54, "percentChange": -23.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.91, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.5, "currentLevelPercentileFullHistory": 6.1, "classificationPercentile": 92.5, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 0.42, "movePercentile30d": 33.3, "movePercentileFullHistory": 44.5, "currentLevelPercentileFullHistory": 83.7, "classificationPercentile": 44.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.54, "movePercentile30d": 100.0, "movePercentileFullHistory": 97.9, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "3M", "targetExpiry": 1797525540528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.45, "previous": 37.71, "change": -1.26, "percentChange": -3.34 }, "rr25": { "current": -1.57, "previous": -1.96, "change": 0.39, "percentChange": 19.9 }, "bf25": { "current": 2.11, "previous": 2.32, "change": -0.21, "percentChange": -9.05 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.26, "movePercentile30d": 83.3, "movePercentileFullHistory": 89.0, "currentLevelPercentileFullHistory": 3.4, "classificationPercentile": 89.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 50.0, "movePercentileFullHistory": 58.9, "currentLevelPercentileFullHistory": 83.0, "classificationPercentile": 58.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.21, "movePercentile30d": 86.7, "movePercentileFullHistory": 90.4, "currentLevelPercentileFullHistory": 17.7, "classificationPercentile": 90.4, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "6M", "targetExpiry": 1805387940528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.03, "previous": 38.87, "change": -0.84, "percentChange": -2.16 }, "rr25": { "current": -1.4, "previous": -1.58, "change": 0.18, "percentChange": 11.39 }, "bf25": { "current": 2.4, "previous": 2.58, "change": -0.18, "percentChange": -6.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.84, "movePercentile30d": 80.0, "movePercentileFullHistory": 90.4, "currentLevelPercentileFullHistory": 0.7, "classificationPercentile": 90.4, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 0.18, "movePercentile30d": 23.3, "movePercentileFullHistory": 44.5, "currentLevelPercentileFullHistory": 83.0, "classificationPercentile": 44.5, "label": "routine", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.18, "movePercentile30d": 90.0, "movePercentileFullHistory": 93.2, "currentLevelPercentileFullHistory": 20.4, "classificationPercentile": 93.2, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } }, { "tenor": "9M", "targetExpiry": 1813250340528, "availability": "available", "unavailableReason": null, "atmIv": { 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null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "18SEP26", "expiry": 1789718400000, "tauYears": 0.0017523, "daysToExpiry": 0.64, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 76543.95, "previous": 75752.92, "change": 791.03, "percentChange": 1.04 }, "atmIv": { "current": 26.06, "previous": 43.26, "change": -17.2, "percentChange": -39.76 }, "rr25": { "current": -0.07, "previous": 0.09, "change": -0.16, "percentChange": -177.78 }, "bf25": { "current": 1.01, "previous": 2.57, "change": -1.56, "percentChange": -60.7 }, "svi": { "a": { "current": -0.0215, "previous": -0.0562, "change": 0.0347, "percentChange": 61.74 }, "b": { "current": 0.0597, "previous": 0.1194, "change": -0.0597, "percentChange": -50.01 }, "rho": { "current": -0.0071, "previous": -0.0008, "change": -0.0063, "percentChange": -808.33 }, "m": { "current": -0.0022, "previous": -0.0003, "change": -0.002, "percentChange": -707.7 }, "sigma": { "current": 0.3624, "previous": 0.4779, "change": -0.1155, "percentChange": -24.17 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 194.2678, 185.7652, 177.1472, 168.415, 159.5709, 150.618, 141.561, 132.4061, 123.1619, 113.8394, 104.4535, 95.0243, 85.5794, 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Bitcoin spot-index return was positive 1.16% over the same 24 hours. At the cutoff, Bitcoin one-week ATM IV stood 7.20 volatility points below seven-day realised volatility of 36.76%, meaning the options-implied measure was below the completed trailing realised measure.", "days": [ { "reportDate": "2026-09-17", "headline": "Bitcoin volatility resets below realised", "summary": "Bitcoin one-week ATM IV dropped sharply while the same-tenor implied-versus-realised spread turned negative.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Bitcoin-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reprice sharply lower as one-week volatility falls below realised", "standfirst": "Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56% over the 24-hour observation window, a large reset in Derivasys data. Bitcoin spot-index return was positive 1.16% over the same 24 hours. At the cutoff, Bitcoin one-week ATM IV stood 7.20 volatility points below seven-day realised volatility of 36.76%, meaning the options-implied measure was below the completed trailing realised measure.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-to-SPX realised-volatility ratio was 4.05, at the 73.6 percentile across 235 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 4.05, at the 73.6 percentile across 235 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.96, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 17.250000915527345, "ivRatio": 1.9740260760742434, "cryptoRealisedVol20d": 36.00885161489682, "spxRealisedVol20": 8.886887262377604, "rvSpread": 27.121964352519214, "rvRatio": 4.0519082274554465, "rvSpreadPercentile": 48.93617021276596, "rvSpreadPercentileSampleCount": 235, "rvRatioPercentile": 73.61702127659575, "rvRatioPercentileSampleCount": 235, "returnCorrelation30": 0.2809136186674592, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.31572208298845733, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790267940528, "availability": "available", "unavailableReason": null, "atmIv": { "current": 29.56, "previous": 36.71, "change": -7.15, "percentChange": -19.48 }, "rr25": { "current": 0.26, "previous": -1.22, "change": 1.48, "percentChange": 121.31 }, "bf25": { "current": 1.6, "previous": 2.08, "change": -0.48, "percentChange": -23.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 7.15, "movePercentile30d": 93.3, "movePercentileFullHistory": 95.9, "currentLevelPercentileFullHistory": 10.2, "classificationPercentile": 95.9, "label": "large", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "rr25": { "absoluteMove": 1.48, "movePercentile30d": 60.0, "movePercentileFullHistory": 78.8, "currentLevelPercentileFullHistory": 89.8, "classificationPercentile": 78.8, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 }, "bf25": { "absoluteMove": 0.48, "movePercentile30d": 80.0, "movePercentileFullHistory": 83.6, "currentLevelPercentileFullHistory": 21.1, "classificationPercentile": 83.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 146, "levelObservationsFullHistory": 147 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:24+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396757, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386687, "timestamp": "2026-09-16T16:39:00+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": "2026-09-17T16:39:00+00:00", "spotWindowStart": "2026-09-16T16:39:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": 3.03, "rv24hPercent": 63.42, "rv7dPercent": 53.94, "rv30dPercent": 57.25, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 44.54, "oneWeekIvMinus7dRvPoints": -9.4, "oneWeekIvMinus24hRvPoints": -18.88, "oneWeekIvMinus30dRvPoints": -12.71 }, "fitQuality": { "currentObjective": 0.1156095, "previousObjective": 0.14417563, "currentLiveError": 34.73314572, "previousLiveError": 114.81487273 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "21SEP26", "9OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether front-end implied volatility drops beneath realised volatility", "executiveSummary": "Ether one-week ATM IV fell 8.62 volatility points to 44.54%, leaving it 9.40 volatility points below seven-day realised volatility of 53.94% at the cutoff. Ether two-week BF25 also fell 1.34 volatility points to 2.55%, compressing the surface’s convexity measure.", "evidenceIds": [ "largest-standard-tenor", "realised-vol", "bf25" ], "newsSummary": "The Federal Reserve issued its FOMC statement during the window. Ether-specific reaction evidence was unavailable, leaving no basis to treat the decision as the cause of the options repricing.", "marketContextSummary": "The FOMC statement is relevant broad context, but the evidence does not identify a direct link to Ether’s front-end implied-volatility reset.", "marketContext": [ { "title": "FOMC statement remains non-causal Ether context", "explanation": "Ether one-week ATM IV and two-week BF25 were lower at the cutoff, but no measured Ether reaction connects either move to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:39 UTC cutoff, 1W ATM IV was 44.54%, 9.40 volatility points below seven-day realised volatility of 53.94%; 24-hour realised volatility was 63.42% and 30-day realised volatility was 57.25%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -5.55 volatility points to 46.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.45 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.18 volatility points to -0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.68 volatility points to 2.78% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -8.62 volatility points at 1W, to 44.54%.", "tenor": "1W", "value": -8.62 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": 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the surface data does not establish a causal relationship.", "primary_article": { "id": "9ba43838-ddbf-447a-bc99-fd76706bb620", "sourceId": "fed_monetary_policy", "publisher": "Federal Reserve", "title": "Federal Reserve issues FOMC statement", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00", "summary": "Federal Reserve issues FOMC statement", "matchedTerms": [ "Federal Open Market Committee", "Federal Reserve" ], "topics": [ "macro", "central_bank_decision" ], "sourceKind": "official", "rightsStatus": "link-and-summary", "selectionScore": 63, "quality": { "eligible": true, "score": 62.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8987, "signals": { "confidence": 0.71, "importance": 0.67, "novelty": null, "corroboration": 0.0, "sourceQuality": 0.8987, "effectiveSourceQuality": 0.8987, "catalystScore": 0.4275, "effectiveCatalystScore": 0.4275, "contentKind": "catalyst", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous macro context alongside ATM IV 1W: down 8.62 points to 44.54%; 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At the cutoff, realised volatility measured 63.42% over 24 hours, 53.94% over seven days and 57.25% over 30 days. Front-end ATM IV averaged 46.67%, -5.55 points from the prior snapshot, while the long end averaged 54.47%, -0.45 points. 2W RR25 moved 0.36 volatility points toward calls to -0.69%, leaving puts richer than calls. 2W BF25 fell 1.34 volatility points to 2.55%. The nearest eligible forward, 20SEP26, rose $67.81 (+2.83%) to $2,460.16. 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 16:39 UTC cutoff, 1W ATM IV was 44.54%, 9.40 volatility points below seven-day realised volatility of 53.94%; 24-hour realised volatility was 63.42% and 30-day realised volatility was 57.25%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -5.55 volatility points to 46.67% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.45 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.18 volatility points to -0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.68 volatility points to 2.78% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -8.62 volatility points at 1W, to 44.54%.", "tenor": "1W", "value": -8.62 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -3.62, "rr25Change": 0.18, "bf25Change": -0.68, "largestAtmMove": { "tenor": "1W", "current": 44.54, "previous": 53.16, "change": -8.62, "historicalSignificance": { "absoluteMove": 8.62, "movePercentile30d": 92.3, 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Ether spot-index return gained 3.03% over the same 24 hours. At the cutoff, Ether one-week ATM IV was 9.40 volatility points below seven-day realised volatility of 53.94%; separately, Ether two-week BF25 fell 1.34 volatility points to 2.55%, marking substantial convexity compression.", "days": [ { "reportDate": "2026-09-17", "headline": "Ether volatility and convexity reset", "summary": "Ether one-week ATM IV declined sharply, while two-week BF25 recorded exceptional compression.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Ether-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Ether options reset lower as one-week volatility trails realised swings", "standfirst": "Ether one-week ATM IV fell 8.62 volatility points to 44.54% during the 24-hour observation window, the sharpest standard-tenor move in the Ether surface. Ether spot-index return gained 3.03% over the same 24 hours. At the cutoff, Ether one-week ATM IV was 9.40 volatility points below seven-day realised volatility of 53.94%; separately, Ether two-week BF25 fell 1.34 volatility points to 2.55%, marking substantial convexity compression.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-minus-SPX realised-volatility spread was 31.95 points, at the 16.4 percentile across 232 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 31.95 points, at the 16.4 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 50.91, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 33.20000091552734, "ivRatio": 2.874647240644729, "cryptoRealisedVol20d": 40.83619487651933, "spxRealisedVol20": 8.886887262377604, "rvSpread": 31.949307614141723, "rvRatio": 4.595106663431892, "rvSpreadPercentile": 16.379310344827587, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 39.224137931034484, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.17833654095077128, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2723487336017117, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790267941052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 44.54, "previous": 53.16, "change": -8.62, "percentChange": -16.22 }, "rr25": { "current": -0.23, "previous": -0.46, "change": 0.23, "percentChange": 50.0 }, "bf25": { "current": 2.29, "previous": 3.26, "change": -0.97, "percentChange": -29.75 }, "historicalSignificance": { "atmIv": { "absoluteMove": 8.62, "movePercentile30d": 92.3, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 15.2, "classificationPercentile": 93.3, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "rr25": { "absoluteMove": 0.23, "movePercentile30d": 11.5, "movePercentileFullHistory": 13.3, "currentLevelPercentileFullHistory": 48.5, "classificationPercentile": 13.3, "label": "routine", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 }, "bf25": { "absoluteMove": 0.97, "movePercentile30d": 96.2, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 9.1, "classificationPercentile": 96.2, "label": "large", "observations30d": 26, "observationsFullHistory": 30, "levelObservationsFullHistory": 33 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-17", "generatedAt": "2026-09-17T16:40:43+00:00", "currentSnapshotAt": "2026-09-17T16:39:00+00:00", "previousSnapshotAt": "2026-09-16T16:39:00+00:00", "sourceSnapshots": { "current": { "id": 396756, "timestamp": "2026-09-17T16:39:00+00:00" }, "previous": { "id": 386689, "timestamp": "2026-09-16T16:39:00+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": 0.00901022, "previousObjective": 0.01462484, "currentLiveError": 7.51328541, "previousLiveError": 9.30689119 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 5, "comparedListedExpiries": 4, "addedExpiries": [ "19SEP26", "2OCT26" ], "removedExpiries": [ "17SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana front-end volatility falls as call-side skew strengthens", "executiveSummary": "Solana one-week ATM IV fell 4.27 volatility points to 50.11%, while one-week RR25 rose 2.83 volatility points to 3.87%. That RR25 move denotes a relative shift toward richer call-side volatility, not a statement about absolute put implied volatility.", "evidenceIds": [ "largest-standard-tenor", "front-atm", "rr25" ], "newsSummary": "The Federal Reserve issued its FOMC statement during the window. No measured Solana reaction or qualifying asset-specific catalyst supports a direct explanation for the ATM IV decline or stronger call-side skew.", "marketContextSummary": "The FOMC statement provides broad context only; the available evidence does not link it directly to Solana’s volatility and skew repricing.", "marketContext": [ { "title": "FOMC statement is broad but non-causal context", "explanation": "Solana one-week ATM IV and one-week RR25 changed over the window, but no measured Solana reaction connects those options moves to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.89 volatility points to 52.38% across 1W, 2W and 1M." }, { "id": "back-atm", 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Front-end ATM IV averaged 52.38%, -1.89 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 2.83 volatility points toward calls to 3.87%, leaving calls richer than puts. 2W BF25 fell 0.29 volatility points to 4.38%. The nearest eligible forward, 25SEP26, rose $3.69 (+3.79%) to $101.01. 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"label": "25DEC26", "values": [ 0.5116, 0.5404, 0.571, 0.6033, 0.6368, 0.6715, 0.7073, 0.7435, 0.7803, 0.8172, 0.8541, 0.8905, 0.9264, 0.9614, 0.9954, 1.028, 1.0593, 1.089, 1.1172, 1.1436, 1.1681, 1.1911, 1.2122, 1.2318, 1.2498, 1.2666, 1.2821, 1.2966, 1.3103, 1.3236, 1.3364, 1.3492, 1.3622, 1.3755, 1.3895, 1.4042, 1.4199, 1.437, 1.4554, 1.4754, 1.497 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-17T16:39:00+00:00", "window": { "startAt": "2026-09-16T16:39:00+00:00", "endAt": "2026-09-17T16:39:00+00:00", "endExclusive": true }, "headline": "Solana options turn more call-rich as one-week volatility falls", "standfirst": "Solana one-week ATM IV fell 4.27 volatility points to 50.11% over the 24-hour observation window, while Solana one-week RR25 rose 2.83 volatility points to 3.87%. The positive RR25 level means call volatility was richer than put volatility at that tenor. Front-end Solana ATM IV averaged 52.38%, down 1.89 volatility points; comparable long-dated fixed-tenor observations were unavailable.", "days": [ { "reportDate": "2026-09-17", "headline": "Solana volatility falls as calls strengthen", "summary": "Solana one-week ATM IV declined while one-week relative call-side volatility strengthened materially.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying Solana-specific news context was retained in the reporting window.", "events": [] } } ] }, "newsStatus": "context", "headline": "Solana options turn more call-rich as one-week volatility falls", "standfirst": "Solana one-week ATM IV fell 4.27 volatility points to 50.11% over the 24-hour observation window, while Solana one-week RR25 rose 2.83 volatility points to 3.87%. The positive RR25 level means call volatility was richer than put volatility at that tenor. Front-end Solana ATM IV averaged 52.38%, down 1.89 volatility points; comparable long-dated fixed-tenor observations were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-16", "asOfTimestamp": "2026-09-16T20:00:00+00:00", "summary": "Previous session (latest completed): Completed common session. Cross-asset metrics were observed at 2026-09-16T20:00:00Z; crypto RV uses sqrt(365) and SPX RV uses sqrt(252). The crypto-minus-SPX realised-volatility spread was 42.12 points, at the 28.4 percentile across 229 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 42.12 points, at the 28.4 percentile across 229 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.38, "vix": 17.709999084472656, "vix9d": 17.4, "vix3m": 19.73, "ivSpread": 36.670000915527346, "ivRatio": 3.0705817510559887, "cryptoRealisedVol20d": 51.00303993774884, "spxRealisedVol20": 8.886887262377604, "rvSpread": 42.11615267537123, "rvRatio": 5.739134348386394, "rvSpreadPercentile": 28.38427947598253, "rvSpreadPercentileSampleCount": 229, "rvRatioPercentile": 49.78165938864629, "rvRatioPercentileSampleCount": 229, "returnCorrelation30": 0.41112253804509513, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.33160094852861227, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys persisted market-context-v1; crypto ATM IV is a fixed 30-day tenor, benchmark IV is same-session VIX." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790267940948, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.11, "previous": 54.38, "change": -4.27, "percentChange": -7.85 }, "rr25": { "current": 3.87, "previous": 1.04, "change": 2.83, "percentChange": 272.12 }, "bf25": { "current": 4.43, "previous": 4.58, "change": -0.15, "percentChange": -3.28 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.27, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.0, "currentLevelPercentileFullHistory": 9.5, "classificationPercentile": 70.0, "label": "notable", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "rr25": { "absoluteMove": 2.83, "movePercentile30d": 65.0, "movePercentileFullHistory": 65.0, "currentLevelPercentileFullHistory": 76.2, "classificationPercentile": 65.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 20.0, "movePercentileFullHistory": 20.0, "currentLevelPercentileFullHistory": 61.9, "classificationPercentile": 20.0, "label": "routine", "observations30d": 20, "observationsFullHistory": 20, "levelObservationsFullHistory": 21 } } } } ], "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": 50.11, "lowest": 29.56, "spread": 20.55, "highestToLowestRatio": 1.6952, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.11, "values": [ { "asset": "BTC", "value": 29.56 }, { "asset": "ETH", "value": 44.54 }, { "asset": "SOL", "value": 50.11 } ], "previousSpread": 17.67, "spreadChange": 2.88, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "ETH", "highest": -4.27, "lowest": -8.62, "spread": 4.35, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -8.62, "values": [ { "asset": "BTC", "value": -7.15 }, { "asset": "ETH", "value": -8.62 }, { "asset": "SOL", "value": -4.27 } ] }, "rr25Level": { "leader": "SOL", "laggard": "ETH", "highest": 3.87, "lowest": -0.23, "spread": 4.1, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.87, "values": [ { "asset": "BTC", "value": 0.26 }, { "asset": "ETH", "value": -0.23 }, { "asset": "SOL", "value": 3.87 } ], "previousSpread": 2.26, "spreadChange": 1.84, "dispersionDirection": "widening" }, "rr25Change": { "leader": "SOL", "laggard": "ETH", "highest": 2.83, "lowest": 0.23, "spread": 2.6, "highestToLowestRatio": 12.3043, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.83, "values": [ { "asset": "BTC", "value": 1.48 }, { "asset": "ETH", "value": 0.23 }, { "asset": "SOL", "value": 2.83 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": -8.62 }, "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": -7.2, "lowest": -9.4, "spread": 2.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -9.4, "values": [ { "asset": "BTC", "value": -7.2 }, { "asset": "ETH", "value": -9.4 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "ETH", "laggard": "BTC", "highest": 3.03, "lowest": 1.16, "spread": 1.87, "highestToLowestRatio": 2.6121, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 3.03, "values": [ { "asset": "BTC", "value": 1.16 }, { "asset": "ETH", "value": 3.03 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 50.11, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 44.54, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 29.56, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": -4.27, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -7.15, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -8.62, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -8.62, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -7.15, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -4.27, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": -7.2, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -9.4, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 3.87, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "BTC", "value": 0.26, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "ETH", "value": -0.23, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "ETH", "value": -0.23, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "BTC", "value": 0.26, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 3.87, "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": "ETH", "value": 3.03, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 1.16, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": -4.27, "groupMedian": -7.15, "distanceFromMedian": 2.88 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 29.56, "groupMedian": 44.54, "distanceFromMedian": -14.98 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 3.87, "groupMedian": 0.26, "distanceFromMedian": 3.61 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 2.2, "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 2.20-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 19, "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": 0.8523, "observations": 20 }, { "assets": [ "BTC", "SOL" ], "value": null, "observations": 7 }, { "assets": [ "ETH", "SOL" ], "value": null, "observations": 7 } ], "availabilityNote": "Pair correlations require 10 aligned prior reports." }, "evidence": [ { "id": "majors-cross-1w-atm-change-dispersion", "metric": "1W ATM IV change dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": -4.27, "lowest": -8.62, "spread": 4.35, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -8.62, "values": [ { "asset": "BTC", "value": -7.15 }, { "asset": "ETH", "value": -8.62 }, { "asset": "SOL", "value": -4.27 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 50.11, "lowest": 29.56, "spread": 20.55, "highestToLowestRatio": 1.6952, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 50.11, "values": [ { "asset": "BTC", "value": 29.56 }, { "asset": "ETH", "value": 44.54 }, { "asset": "SOL", "value": 50.11 } ], "previousSpread": 17.67, "spreadChange": 2.88, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "ETH", "highest": 3.87, "lowest": -0.23, "spread": 4.1, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.87, "values": [ { "asset": "BTC", "value": 0.26 }, { "asset": "ETH", "value": -0.23 }, { "asset": "SOL", "value": 3.87 } ], "previousSpread": 2.26, "spreadChange": 1.84, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "ETH", "highest": -7.2, "lowest": -9.4, "spread": 2.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -9.4, "values": [ { "asset": "BTC", "value": -7.2 }, { "asset": "ETH", "value": -9.4 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "ETH", "laggard": "BTC", "highest": 3.03, "lowest": 1.16, "spread": 1.87, "highestToLowestRatio": 2.6121, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": 3.03, "values": [ { "asset": "BTC", "value": 1.16 }, { "asset": "ETH", "value": 3.03 }, { "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": "2026-09-17T16:39:00+00:00", "window": { "startAt": "2026-09-16T16:39:00+00:00", "endAt": "2026-09-17T16:39:00+00:00", "endExclusive": true }, "headline": "Bitcoin, Ether and Solana options volatility falls together", "standfirst": "Major-coin one-week ATM IV fell across Bitcoin, Ether and Solana, but the reset was uneven. Ether one-week ATM IV fell 8.62 volatility points to 44.54%, Bitcoin one-week ATM IV fell 7.15 volatility points to 29.56%, and Solana one-week ATM IV fell 4.27 volatility points to 50.11%. That left Solana’s one-week ATM IV 20.55 volatility points above Bitcoin’s, widening the level spread by 2.88 volatility points.", "days": [ { "reportDate": "2026-09-17", "headline": "Major-coin volatility gap widens", "summary": "All major-coin one-week ATM IV measures declined, while Solana retained a much higher level than Bitcoin.", "macro": { "summary": "The Federal Reserve issued its FOMC statement during the observation window.", "events": [ { "eventId": "9ba43838-ddbf-447a-bc99-fd76706bb620", "title": "Federal Reserve issues FOMC statement", "publisher": "Federal Reserve", "url": "https://www.federalreserve.gov/newsevents/pressreleases/monetary20260916a.htm", "publishedAt": "2026-09-16T18:00:00+00:00" } ] }, "crypto": { "summary": "No qualifying major-coin-specific news context was retained in the reporting window.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -2.68, "rr25Change": 0.9233333333333333, "bf25Change": -0.42 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin volatility falls together while Solana-Bitcoin gap widens", "executiveSummary": "One-week ATM IV declined in all three major coins, led by Ether’s 8.62-point fall and followed by Bitcoin’s 7.15-point fall. Solana’s smaller 4.27-point decline left its 50.11% one-week ATM IV 20.55 volatility points above Bitcoin’s 29.56%, widening relative implied-volatility dispersion.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "The Federal Reserve issued its FOMC statement during the reporting window. With no measured BTC, ETH or SOL reaction available, it remains shared macro context rather than an explanation for the divergent repricing.", "marketContextSummary": "The FOMC statement overlaps with the broad major-coin volatility decline, but available evidence does not support a direct causal connection to the widening Solana-Bitcoin gap.", "marketContext": [ { "title": "Shared macro event lacks a measured cross-asset link", "explanation": "One-week ATM IV fell across BTC, ETH and SOL, while the Solana-Bitcoin level spread widened. The record contains no constituent reaction that would tie those relative moves directly to the Federal Reserve statement.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } ], "newsEvidenceIds": [ "9ba43838-ddbf-447a-bc99-fd76706bb620" ] } }