{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:31:45+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "headline": "Major-coin options diverge as Solana volatility pulls further above Bitcoin", "standfirst": "Major-coin one-week ATM IV dispersion widened 2.30 volatility points to 21.40 points at the cutoff, with Solana one-week ATM IV at 55.38% and Bitcoin one-week ATM IV at 33.98%. Solana also posted the largest one-week ATM IV change, rising 2.00 points, while Bitcoin and Ether one-week ATM IV each edged lower. The widening relative-volatility gap ranked at the 81.8 percentile of the available history.", "marketSummary": "Solana’s 55.38% one-week ATM IV stood 21.40 volatility points above Bitcoin’s 33.98%, widening the major-coin level spread by 2.30 points. Solana’s 2.00-point one-week ATM IV increase contrasted with small declines for Bitcoin and Ether.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-20", "artifactId": "sha256:92cfd34cd0d111a4e6700ada41789eba96486fec3bb47d0cd65ef7741998b9d9", "contentSha256": "df8232057ab75bc779b73998e61814c1a38f314f7f4587e16987a62c3692d17a", "currentSnapshotId": 426864, "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotId": 416832, "previousSnapshotAt": "2026-09-19T16:30:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-20", "artifactId": "sha256:85d25e8829a31eb69a58d864fe7c044c5030f55b8885a1363d3f6601e88f46cd", "contentSha256": "5fdbbb8810aa6fe6c7dca519cb748b17a42156e2924f0cba2f64a95d3e559aa1", "currentSnapshotId": 426862, "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotId": 416835, "previousSnapshotAt": "2026-09-19T16:30:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-20", "artifactId": "sha256:15470319c96e73e4ee9de2987ea7872d4da11c13ed3e6c976113165a11213bac", "contentSha256": "7940f3d08b52050a0f87fc7f39420598a42b78deeb6ecf3c32665eb51bb51f57", "currentSnapshotId": 426868, "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotId": 416836, "previousSnapshotAt": "2026-09-19T16:30:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:30:44+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426864, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416832, "timestamp": "2026-09-19T16:30:00+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": "2026-09-20T16:30:00+00:00", "spotWindowStart": "2026-09-19T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -0.83, "rv24hPercent": 25.73, "rv7dPercent": 37.12, "rv30dPercent": 37.29, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 33.98, "oneWeekIvMinus7dRvPoints": -3.14, "oneWeekIvMinus24hRvPoints": 8.25, "oneWeekIvMinus30dRvPoints": -3.31 }, "fitQuality": { "currentObjective": 0.07117966, "previousObjective": 0.10302432, "currentLiveError": 89.89898903, "previousLiveError": 140.84992662 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options reprice toward put-side volatility", "executiveSummary": "Bitcoin two-week RR25 moved 1.28 volatility points toward puts to -0.26% at the cutoff, leaving put-side volatility richer than call-side volatility. The skew move was notable relative to comparable history, while front-end ATM IV eased.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "The Block reported that Bitcoin ETFs recorded a $433 million Friday net inflow, led by Fidelity’s FBTC, while Ether funds snapped a four-week inflow streak.", "marketContextSummary": "The ETF-flow report is relevant market context, but the available evidence does not establish that it caused Bitcoin’s options repricing.", "marketContext": [ { "title": "ETF-flow report and Bitcoin skew", "explanation": "The ETF-flow report fell within the observation window, but no measured BTC-specific reaction links it directly to the two-week RR25 move toward puts.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 33.98%, 3.14 volatility points below seven-day realised volatility of 37.12%; 24-hour realised volatility was 25.73% and 30-day realised volatility was 37.29%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.37 volatility points to 33.90% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 38.50% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.67 volatility points to -0.85% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.11 volatility points to 1.94% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.85 volatility points at 2W, to 33.70%.", "tenor": "2W", "value": -0.85 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "BTC", "GLOBAL", "MACRO" ], "completedScopes": [ "BTC", "GLOBAL", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 9, "hasMore": false, "nextCursor": null, "resultSha256": "e70d5e0c928fb3226f407548b801821f6fc4e2d50cbeb28d0efd00f7b4515d54" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fe58ed8fbad2bff917f38a3c8a1abe70fd02d372e58003e794c8d368721af3af" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "9ad5f5180a9c910cad2d29ebd9e992a5fb4e9937d4ed4861865f75a071a9c6ac" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "0508f87831c0525c7c7db38d993d467a0ee376db6a533bef1b7f2ebe3b36abd3" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "7b919a27f5896e1aae106a25bd807e00ffaec15798a00c68f2ca351845913be1" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 28, "hasMore": false, "nextCursor": null, "resultSha256": "a8966c151e873f19d740bb4d72f1df88752135b8cd3bf203c5a5a7f818288966" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 238, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Block’s in-window ETF-flow report is explicitly relevant to BTC and meets the media reliability and source-quality requirements. It is retained as context only: the event’s modest classification scores and lack of measured BTC-specific reaction evidence do not establish causation.", "eventsSelected": 1 }, "items": [ { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" } ], "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD", "ATM IV 2W: down 0.85 points to 33.70%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -639.28 USD (-0.78%) to 81212.63 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "2W RR25 moved 1.28 volatility points toward puts to -0.26%, leaving puts richer than calls; this was a notable move at the 80th percentile among 149 comparable historical observations. At the cutoff, realised volatility measured 25.73% over 24 hours, 37.12% over seven days and 37.29% over 30 days. Front-end ATM IV averaged 33.90%, -0.37 points from the prior snapshot, while the long end averaged 38.50%, +0.24 points. 2W ATM IV fell 0.85 volatility points to 33.70%. 2W BF25 fell 0.14 volatility points to 1.68%. The nearest eligible forward, 23SEP26, fell $639.28 (-0.78%) to $81,212.63. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 33.98%, 3.14 volatility points below seven-day realised volatility of 37.12%; 24-hour realised volatility was 25.73% and 30-day realised volatility was 37.29%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.37 volatility points to 33.90% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 38.50% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.67 volatility points to -0.85% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.11 volatility points to 1.94% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.85 volatility points at 2W, to 33.70%.", "tenor": "2W", "value": -0.85 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.12, "rr25Change": -0.67, "bf25Change": -0.11, "largestAtmMove": { "tenor": "2W", "current": 33.7, "previous": 34.55, "change": -0.85, "historicalSignificance": { "absoluteMove": 0.85, "movePercentile30d": 33.3, "movePercentileFullHistory": 38.9, "currentLevelPercentileFullHistory": 23.3, "classificationPercentile": 38.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } }, "frontEndAverageAtm": { "current": 33.9, "previous": 34.28, "change": -0.37 }, "longEndAverageAtm": { "current": 38.5, "previous": 38.26, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "2W", "current": -0.26, "previous": 1.02, "change": -1.28, "historicalSignificance": { "absoluteMove": 1.28, "movePercentile30d": 70.0, "movePercentileFullHistory": 80.5, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 80.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.68, "previous": 1.82, "change": -0.14, "historicalSignificance": { "absoluteMove": 0.14, "movePercentile30d": 43.3, "movePercentileFullHistory": 49.7, "currentLevelPercentileFullHistory": 18.7, "classificationPercentile": 49.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } }, "nearestEligibleForwardMove": { "label": "23SEP26", "daysToExpiry": 2.646, "current": 81212.63, "previous": 81851.91, "change": -639.28, "percentChange": -0.78 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790526600846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.98, "previous": 34.28, "change": -0.3, "percentChange": -0.88 }, "rr25": { "current": -0.11, "previous": 0.97, "change": -1.08, "percentChange": -111.34 }, "bf25": { "current": 1.81, "previous": 1.91, "change": -0.1, "percentChange": -5.24 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 0.0, "movePercentileFullHistory": 8.7, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 8.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 1.08, "movePercentile30d": 46.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 86.7, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 26.7, "movePercentileFullHistory": 36.9, "currentLevelPercentileFullHistory": 42.7, "classificationPercentile": 36.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "2W", "targetExpiry": 1791131400846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.7, "previous": 34.55, "change": -0.85, "percentChange": -2.46 }, "rr25": { "current": -0.26, "previous": 1.02, "change": -1.28, "percentChange": -125.49 }, "bf25": { "current": 1.68, "previous": 1.82, "change": -0.14, "percentChange": -7.69 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.85, "movePercentile30d": 33.3, "movePercentileFullHistory": 38.9, "currentLevelPercentileFullHistory": 23.3, "classificationPercentile": 38.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 1.28, "movePercentile30d": 70.0, "movePercentileFullHistory": 80.5, "currentLevelPercentileFullHistory": 87.3, "classificationPercentile": 80.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.14, "movePercentile30d": 43.3, "movePercentileFullHistory": 49.7, "currentLevelPercentileFullHistory": 18.7, "classificationPercentile": 49.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "1M", "targetExpiry": 1792513800846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.03, "previous": 34.0, "change": 0.03, "percentChange": 0.09 }, "rr25": { "current": -1.27, "previous": -0.42, "change": -0.85, "percentChange": -202.38 }, "bf25": { "current": 1.77, "previous": 1.88, "change": -0.11, "percentChange": -5.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.03, "movePercentile30d": 0.0, "movePercentileFullHistory": 2.0, "currentLevelPercentileFullHistory": 18.7, "classificationPercentile": 2.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 0.85, "movePercentile30d": 66.7, "movePercentileFullHistory": 76.5, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 76.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 50.0, "movePercentileFullHistory": 58.4, "currentLevelPercentileFullHistory": 1.3, "classificationPercentile": 58.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "3M", "targetExpiry": 1797784200846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.04, "previous": 36.74, "change": 0.3, "percentChange": 0.82 }, "rr25": { "current": -1.6, "previous": -1.39, "change": -0.21, "percentChange": -15.11 }, "bf25": { "current": 2.04, "previous": 2.13, "change": -0.09, "percentChange": -4.23 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 33.3, "movePercentileFullHistory": 45.0, "currentLevelPercentileFullHistory": 10.0, "classificationPercentile": 45.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 0.21, "movePercentile30d": 36.7, "movePercentileFullHistory": 37.6, "currentLevelPercentileFullHistory": 81.3, "classificationPercentile": 37.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 43.3, "movePercentileFullHistory": 61.1, "currentLevelPercentileFullHistory": 9.3, "classificationPercentile": 61.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "6M", "targetExpiry": 1805646600846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.5, "previous": 38.26, "change": 0.24, "percentChange": 0.63 }, "rr25": { "current": -0.99, "previous": -1.07, "change": 0.08, "percentChange": 7.48 }, "bf25": { "current": 2.41, "previous": 2.51, "change": -0.1, "percentChange": -3.98 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 40.0, "movePercentileFullHistory": 52.3, "currentLevelPercentileFullHistory": 2.7, "classificationPercentile": 52.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 0.08, "movePercentile30d": 6.7, "movePercentileFullHistory": 17.4, "currentLevelPercentileFullHistory": 83.3, "classificationPercentile": 17.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 76.7, "movePercentileFullHistory": 70.5, "currentLevelPercentileFullHistory": 20.0, "classificationPercentile": 76.7, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "9M", "targetExpiry": 1813509000846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.59, "previous": 39.53, "change": 0.06, "percentChange": 0.15 }, "rr25": { "current": -0.78, "previous": -0.77, "change": -0.01, "percentChange": -1.3 }, "bf25": { "current": 2.48, "previous": 2.57, "change": -0.09, "percentChange": -3.5 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.06, "movePercentile30d": 6.7, "movePercentileFullHistory": 18.1, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 18.1, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 6.7, "movePercentileFullHistory": 3.4, "currentLevelPercentileFullHistory": 86.7, "classificationPercentile": 6.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 70.0, "movePercentileFullHistory": 71.1, "currentLevelPercentileFullHistory": 36.7, "classificationPercentile": 71.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } }, { "tenor": "1Y", "targetExpiry": 1821457800846, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "21SEP26", "expiry": 1789977600000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 81176.35, "previous": 81826.06, "change": -649.71, "percentChange": -0.79 }, "atmIv": { "current": 30.91, "previous": 23.93, "change": 6.98, "percentChange": 29.17 }, "rr25": { "current": -0.31, "previous": 1.04, "change": -1.35, "percentChange": -129.81 }, "bf25": { "current": 2.33, "previous": 1.42, "change": 0.91, "percentChange": 64.08 }, "svi": { "a": { "current": -0.0098, "previous": -0.0192, "change": 0.0094, "percentChange": 49.14 }, "b": { "current": 0.0558, "previous": 0.07, "change": -0.0142, "percentChange": -20.31 }, "rho": { "current": -0.012, "previous": 0.0789, "change": -0.0909, "percentChange": -115.21 }, "m": { "current": -0.0015, "previous": 0.0183, "change": -0.0197, "percentChange": -108.02 }, "sigma": { "current": 0.1778, "previous": 0.2784, "change": -0.1006, "percentChange": -36.13 } }, "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": [ 235.7705, 226.9254, 217.8588, 208.5594, 199.0156, 189.216, 179.1496, 168.8064, 158.1782, 147.2599, 136.0512, 124.5589, 112.8011, 100.813, 88.6568, 76.4395, 64.3483, 52.7263, 42.2448, 34.2442, 30.9127, 33.7162, 41.367, 51.6342, 63.1024, 75.0622, 87.155, 99.1879, 111.0521, 122.6854, 134.0531, 145.1378, 155.9331, 166.44, 176.6639, 186.6132, 196.2981, 205.7297, 214.9195, 223.879, 232.6194 ], "previous": [ 138.6748, 132.9659, 127.1534, 121.2358, 115.2124, 109.0832, 102.8494, 96.5138, 90.0812, 83.5594, 76.9602, 70.3011, 63.6081, 56.9201, 50.2964, 43.8307, 37.676, 32.0896, 27.5011, 24.5528, 23.9195, 25.8078, 29.7543, 35.0665, 41.2031, 47.8228, 54.7206, 61.7703, 68.8909, 76.0283, 83.1447, 90.2134, 97.215, 104.1354, 110.9645, 117.6954, 124.3231, 130.8447, 137.2587, 143.5646, 149.7628 ], "change": [ 97.0957, 93.9595, 90.7054, 87.3236, 83.8032, 80.1328, 76.3002, 72.2926, 68.097, 63.7005, 59.091, 54.2578, 49.193, 43.8929, 38.3604, 32.6088, 26.6723, 20.6367, 14.7437, 9.6914, 6.9932, 7.9084, 11.6127, 16.5677, 21.8993, 27.2394, 32.4344, 37.4176, 42.1612, 46.6571, 50.9084, 54.9244, 58.7181, 62.3046, 65.6994, 68.9178, 71.975, 74.885, 77.6608, 80.3144, 82.8566 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 38.998, "rotation": -8.183, "wingChange": 48.006, "rmsChange": 58.923 } }, { "label": "22SEP26", "expiry": 1790064000000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 81197.34, "previous": 81837.98, "change": -640.64, "percentChange": -0.78 }, "atmIv": { "current": 31.64, "previous": 28.99, "change": 2.65, "percentChange": 9.14 }, "rr25": { "current": 0.46, "previous": 1.5, "change": -1.04, "percentChange": -69.33 }, "bf25": { "current": 1.88, "previous": 1.96, "change": -0.08, "percentChange": -4.08 }, "svi": { "a": { "current": -0.0303, "previous": -0.0335, "change": 0.0032, "percentChange": 9.56 }, "b": { "current": 0.0877, "previous": 0.098, "change": -0.0104, "percentChange": -10.59 }, "rho": { "current": 0.0192, "previous": 0.0685, "change": -0.0492, "percentChange": -71.94 }, "m": { "current": 0.0053, "previous": 0.0179, "change": -0.0127, "percentChange": -70.61 }, "sigma": { "current": 0.3507, "previous": 0.3485, "change": 0.0022, "percentChange": 0.62 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 148.6171, 142.3223, 135.9458, 129.4897, 122.9574, 116.3534, 109.684, 102.9575, 96.1852, 89.3822, 82.5685, 75.7712, 69.0278, 62.3903, 55.9333, 49.7652, 44.0469, 39.015, 35.0021, 32.4183, 31.6356, 32.792, 35.6982, 39.9647, 45.192, 51.0659, 57.3654, 63.9405, 70.6892, 77.541, 84.446, 91.3684, 98.2815, 105.1653, 112.005, 118.7891, 125.5089, 132.1579, 138.7313, 145.2256, 151.6383 ], "previous": [ 121.1153, 116.0104, 110.8397, 105.6054, 100.3104, 94.959, 89.557, 84.1124, 78.6358, 73.1416, 67.6493, 62.1851, 56.7854, 51.5012, 46.4045, 41.599, 37.2334, 33.5157, 30.7159, 29.129, 28.9768, 30.2944, 32.9107, 36.546, 40.922, 45.815, 51.0619, 56.5474, 62.1901, 67.9322, 73.7314, 79.5567, 85.3844, 91.1966, 96.9795, 102.7224, 108.4171, 114.0571, 119.6375, 125.1548, 130.6063 ], "change": [ 27.5018, 26.3119, 25.1061, 23.8843, 22.647, 21.3944, 20.127, 18.8451, 17.5494, 16.2406, 14.9192, 13.5861, 12.2424, 10.8891, 9.5288, 8.1662, 6.8135, 5.4993, 4.2862, 3.2893, 2.6588, 2.4976, 2.7875, 3.4187, 4.27, 5.2509, 6.3035, 7.3931, 8.4991, 9.6088, 10.7146, 11.8117, 12.8971, 13.9687, 15.0255, 16.0667, 17.0918, 18.1008, 19.0938, 20.0708, 21.032 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 9.431, "rotation": -4.205, "wingChange": 10.158, "rmsChange": 14.945 } }, { "label": "23SEP26", "expiry": 1790150400000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81212.63, "previous": 81851.91, "change": -639.28, "percentChange": -0.78 }, "atmIv": { "current": 32.7, "previous": 30.99, "change": 1.71, "percentChange": 5.52 }, "rr25": { "current": -0.26, "previous": 1.44, "change": -1.7, "percentChange": -118.06 }, "bf25": { "current": 2.08, "previous": 2.04, "change": 0.04, "percentChange": 1.96 }, "svi": { "a": { "current": -0.0471, "previous": -0.0446, "change": -0.0025, "percentChange": -5.57 }, "b": { "current": 0.1131, "previous": 0.1116, "change": 0.0015, "percentChange": 1.34 }, "rho": { "current": -0.0113, "previous": 0.0297, "change": -0.0411, "percentChange": -138.11 }, "m": { "current": -0.0032, "previous": 0.0054, "change": -0.0086, "percentChange": -160.62 }, "sigma": { "current": 0.4236, "previous": 0.4087, "change": 0.0149, "percentChange": 3.64 } }, "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": [ 127.2972, 121.8942, 116.446, 110.9567, 105.4312, 99.8761, 94.2993, 88.711, 83.124, 77.5544, 72.0232, 66.5577, 61.1936, 55.9789, 50.9784, 46.2803, 42.0043, 38.3084, 35.3889, 33.4601, 32.704, 33.2021, 34.8974, 37.6216, 41.1608, 45.3124, 49.91, 54.8269, 59.9694, 65.269, 70.6749, 76.1496, 81.6646, 87.1983, 92.7337, 98.2578, 103.7604, 109.2332, 114.6698, 120.065, 125.4149 ], "previous": [ 106.2876, 101.7832, 97.2415, 92.6665, 88.0635, 83.4389, 78.8009, 74.1601, 69.5298, 64.9271, 60.3741, 55.8997, 51.5417, 47.3505, 43.3928, 39.7567, 36.5562, 33.9312, 32.0377, 31.0213, 30.9756, 31.9083, 33.7377, 36.3247, 39.5142, 43.1641, 47.1575, 51.4029, 55.8309, 60.3889, 65.037, 69.7448, 74.4887, 79.2504, 84.0155, 88.7725, 93.5124, 98.2278, 102.9129, 107.5631, 112.1746 ], "change": [ 21.0096, 20.111, 19.2045, 18.2902, 17.3677, 16.4372, 15.4984, 14.5509, 13.5942, 12.6273, 11.6491, 10.658, 9.6519, 8.6284, 7.5856, 6.5236, 5.4481, 4.3772, 3.3512, 2.4388, 1.7284, 1.2938, 1.1597, 1.2969, 1.6466, 2.1483, 2.7525, 3.424, 4.1385, 4.8801, 5.6379, 6.4048, 7.1759, 7.9479, 8.7182, 9.4853, 10.248, 11.0054, 11.7569, 12.5019, 13.2403 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 6.338, "rotation": -6.011, "wingChange": 6.915, "rmsChange": 10.621 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81244.18, "previous": 81867.91, "change": -623.73, "percentChange": -0.76 }, "atmIv": { "current": 34.15, "previous": 34.0, "change": 0.15, "percentChange": 0.44 }, "rr25": { "current": -0.46, "previous": 0.83, "change": -1.29, "percentChange": -155.42 }, "bf25": { "current": 1.92, "previous": 1.99, "change": -0.07, "percentChange": -3.52 }, "svi": { "a": { "current": -0.0786, "previous": -0.0612, "change": -0.0174, "percentChange": -28.45 }, "b": { "current": 0.1383, "previous": 0.1255, "change": 0.0128, "percentChange": 10.21 }, "rho": { "current": -0.0517, "previous": -0.0839, "change": 0.0322, "percentChange": 38.38 }, "m": { "current": -0.0262, "previous": -0.0474, "change": 0.0212, "percentChange": 44.76 }, "sigma": { "current": 0.5799, "previous": 0.5037, "change": 0.0762, "percentChange": 15.13 } }, "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": [ 97.2445, 93.2322, 89.2193, 85.2112, 81.2142, 77.2357, 73.2846, 69.3716, 65.5097, 61.7145, 58.0052, 54.4054, 50.9442, 47.6572, 44.5883, 41.79, 39.3242, 37.2601, 35.6695, 34.6186, 34.157, 34.307, 35.058, 36.3691, 38.1781, 40.413, 43.0016, 45.878, 48.9852, 52.2756, 55.7101, 59.2571, 62.8912, 66.5916, 70.3418, 74.1281, 77.9393, 81.7664, 85.6018, 89.439, 93.273 ], "previous": [ 88.6821, 85.0303, 81.3795, 77.7355, 74.1055, 70.498, 66.9231, 63.393, 59.922, 56.5278, 53.2315, 50.0587, 47.0404, 44.2137, 41.6225, 39.3173, 37.3541, 35.791, 34.6826, 34.0724, 33.985, 34.4205, 35.3549, 36.7443, 38.5329, 40.6609, 43.0706, 45.7096, 48.5327, 51.5018, 54.5854, 57.7575, 60.997, 64.2866, 67.6121, 70.9621, 74.3269, 77.6988, 81.0712, 84.4389, 87.7974 ], "change": [ 8.5624, 8.2019, 7.8398, 7.4757, 7.1087, 6.7377, 6.3615, 5.9786, 5.5877, 5.1867, 4.7737, 4.3467, 3.9038, 3.4435, 2.9658, 2.4727, 1.9701, 1.4691, 0.9869, 0.5462, 0.172, -0.1135, -0.2969, -0.3752, -0.3548, -0.2479, -0.069, 0.1684, 0.4525, 0.7738, 1.1247, 1.4996, 1.8942, 2.305, 2.7297, 3.166, 3.6124, 4.0676, 4.5306, 5.0001, 5.4756 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 2.023, "rotation": -3.649, "wingChange": 2.777, "rmsChange": 4.177 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81320.03, "previous": 81955.34, "change": -635.31, "percentChange": -0.78 }, "atmIv": { "current": 33.84, "previous": 34.79, "change": -0.95, "percentChange": -2.73 }, "rr25": { "current": 0.17, "previous": 1.22, "change": -1.05, "percentChange": -86.07 }, "bf25": { "current": 1.73, "previous": 1.78, "change": -0.05, "percentChange": -2.81 }, "svi": { "a": { "current": -0.108, "previous": -0.0834, "change": -0.0246, "percentChange": -29.52 }, "b": { "current": 0.1616, "previous": 0.1441, "change": 0.0175, "percentChange": 12.12 }, "rho": { "current": -0.1884, "previous": -0.2024, "change": 0.014, "percentChange": 6.91 }, "m": { "current": -0.1353, "previous": -0.1413, "change": 0.006, "percentChange": 4.22 }, "sigma": { "current": 0.7038, "previous": 0.6205, "change": 0.0832, "percentChange": 13.41 } }, "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": [ 65.704, 63.3115, 60.9493, 58.6228, 56.3379, 54.1013, 51.9205, 49.804, 47.7615, 45.8036, 43.9423, 42.1908, 40.5633, 39.0753, 37.7427, 36.582, 35.6087, 34.8372, 34.2794, 33.9438, 33.8348, 33.9519, 34.2901, 34.84, 35.5887, 36.5208, 37.6195, 38.8673, 40.247, 41.7424, 43.3383, 45.0208, 46.7775, 48.5973, 50.4705, 52.3885, 54.344, 56.3302, 58.3417, 60.3734, 62.421 ], "previous": [ 62.4839, 60.2517, 58.0538, 55.8961, 53.7853, 51.7287, 49.7347, 47.8124, 45.972, 44.2245, 42.5821, 41.0578, 39.6651, 38.4181, 37.3308, 36.4163, 35.6865, 35.1512, 34.8173, 34.6879, 34.7628, 35.0376, 35.5044, 36.1524, 36.9687, 37.9387, 39.0475, 40.28, 41.6216, 43.0586, 44.5782, 46.1691, 47.8208, 49.5241, 51.2707, 53.0536, 54.8663, 56.7033, 58.5597, 60.4314, 62.3147 ], "change": [ 3.2201, 3.0598, 2.8955, 2.7267, 2.5526, 2.3726, 2.1858, 1.9916, 1.7895, 1.5791, 1.3602, 1.133, 0.8982, 0.6572, 0.4119, 0.1657, -0.0778, -0.314, -0.5379, -0.7441, -0.928, -1.0857, -1.2143, -1.3124, -1.38, -1.4179, -1.428, -1.4127, -1.3746, -1.3162, -1.2399, -1.1483, -1.0433, -0.9268, -0.8002, -0.6651, -0.5223, -0.3731, -0.218, -0.058, 0.1063 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": -0.269, "rotation": -2.6, "wingChange": 0.988, "rmsChange": 1.488 } }, { "label": "9OCT26", "expiry": 1791532800000, "tauYears": 0.05108449, "daysToExpiry": 18.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81392.66, "previous": 82023.36, "change": -630.7, "percentChange": -0.77 }, "atmIv": { "current": 33.53, "previous": 33.88, "change": -0.35, "percentChange": -1.03 }, "rr25": { "current": -0.8, "previous": 0.44, "change": -1.24, "percentChange": -281.82 }, "bf25": { "current": 1.62, "previous": 1.96, "change": -0.34, "percentChange": -17.35 }, "svi": { "a": { "current": -0.1331, "previous": -0.0831, "change": -0.05, "percentChange": -60.2 }, "b": { "current": 0.1812, "previous": 0.1619, "change": 0.0193, "percentChange": 11.92 }, "rho": { "current": -0.2706, "previous": -0.2902, "change": 0.0196, "percentChange": 6.76 }, "m": { "current": -0.2085, "previous": -0.1779, "change": -0.0306, "percentChange": -17.19 }, "sigma": { "current": 0.7956, "previous": 0.5759, "change": 0.2197, "percentChange": 38.15 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 56.9104, 55.1264, 53.3755, 51.6614, 49.9885, 48.3612, 46.7844, 45.2636, 43.8045, 42.4133, 41.0966, 39.8613, 38.7146, 37.6639, 36.7164, 35.8794, 35.1595, 34.5627, 34.094, 33.7571, 33.5542, 33.4859, 33.5512, 33.7473, 34.0698, 34.5131, 35.0706, 35.7348, 36.4977, 37.3511, 38.2871, 39.2975, 40.3749, 41.512, 42.7023, 43.9394, 45.2179, 46.5324, 47.8786, 49.252, 50.6489 ], "previous": [ 57.8253, 55.8992, 54.0078, 52.1564, 50.3505, 48.5964, 46.9008, 45.271, 43.7146, 42.2402, 40.8563, 39.5721, 38.397, 37.34, 36.4102, 35.6158, 34.9639, 34.4603, 34.1091, 33.912, 33.8687, 33.9766, 34.2308, 34.6246, 35.1499, 35.7973, 36.5568, 37.4181, 38.371, 39.4054, 40.5118, 41.6815, 42.9062, 44.1785, 45.4916, 46.8395, 48.2168, 49.6187, 51.0409, 52.4797, 53.9316 ], "change": [ -0.9149, -0.7728, -0.6323, -0.495, -0.362, -0.2352, -0.1164, -0.0074, 0.0899, 0.1731, 0.2403, 0.2892, 0.3176, 0.3239, 0.3062, 0.2636, 0.1956, 0.1024, -0.0151, -0.1549, -0.3145, -0.4907, -0.6796, -0.8773, -1.0801, -1.2842, -1.4862, -1.6833, -1.8733, -2.0543, -2.2247, -2.384, -2.5313, -2.6665, -2.7893, -2.9001, -2.9989, -3.0863, -3.1623, -3.2277, -3.2827 ], "classification": [ "rotation towards puts", "wing flattening" ], "parallelShift": -0.766, "rotation": -2.465, "wingChange": -0.678, "rmsChange": 1.639 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10861873, "daysToExpiry": 39.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81655.54, "previous": 82280.1, "change": -624.56, "percentChange": -0.76 }, "atmIv": { "current": 34.23, "previous": 34.06, "change": 0.17, "percentChange": 0.5 }, "rr25": { "current": -1.46, "previous": -0.84, "change": -0.62, "percentChange": -73.81 }, "bf25": { "current": 1.82, "previous": 1.84, "change": -0.02, "percentChange": -1.09 }, "svi": { "a": { "current": -0.1221, "previous": -0.1027, "change": -0.0193, "percentChange": -18.81 }, "b": { "current": 0.1889, "previous": 0.1912, "change": -0.0023, "percentChange": -1.22 }, "rho": { "current": -0.3001, "previous": -0.3988, "change": 0.0987, "percentChange": 24.74 }, "m": { "current": -0.1992, "previous": -0.2642, "change": 0.065, "percentChange": 24.61 }, "sigma": { "current": 0.7475, "previous": 0.6594, "change": 0.0881, "percentChange": 13.36 } }, "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": [ 49.0467, 47.906, 46.7923, 45.708, 44.6555, 43.6373, 42.6561, 41.7145, 40.8153, 39.9613, 39.1553, 38.4001, 37.6985, 37.0531, 36.4664, 35.9408, 35.4782, 35.0804, 34.7489, 34.4846, 34.2883, 34.16, 34.0994, 34.1059, 34.1782, 34.3148, 34.5135, 34.7723, 35.0885, 35.4593, 35.8817, 36.3529, 36.8696, 37.4288, 38.0275, 38.6626, 39.3312, 40.0305, 40.758, 41.511, 42.2872 ], "previous": [ 48.5635, 47.3779, 46.2251, 45.1078, 44.0286, 42.9904, 41.9959, 41.0479, 40.1494, 39.3031, 38.5118, 37.7781, 37.1046, 36.4935, 35.947, 35.4667, 35.0541, 34.7103, 34.4357, 34.2307, 34.0948, 34.0273, 34.0269, 34.092, 34.2206, 34.4104, 34.6585, 34.9622, 35.3185, 35.7241, 36.1759, 36.6707, 37.2053, 37.7766, 38.3815, 39.0173, 39.6811, 40.3705, 41.0828, 41.8159, 42.5676 ], "change": [ 0.4832, 0.5281, 0.5672, 0.6002, 0.6269, 0.6469, 0.6602, 0.6666, 0.6659, 0.6582, 0.6435, 0.622, 0.5939, 0.5596, 0.5194, 0.4741, 0.4241, 0.3701, 0.3132, 0.2539, 0.1935, 0.1327, 0.0725, 0.0139, -0.0424, -0.0956, -0.145, -0.1899, -0.23, -0.2648, -0.2942, -0.3178, -0.3357, -0.3478, -0.354, -0.3547, -0.3499, -0.34, -0.3248, -0.3049, -0.2804 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.181, "rotation": -0.938, "wingChange": -0.019, "rmsChange": 0.432 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.18533106, "daysToExpiry": 67.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 81951.56, "previous": 82602.66, "change": -651.1, "percentChange": -0.79 }, "atmIv": { "current": 36.25, "previous": 35.98, "change": 0.27, "percentChange": 0.75 }, "rr25": { "current": -1.41, "previous": -1.08, "change": -0.33, "percentChange": -30.56 }, "bf25": { "current": 1.91, "previous": 1.94, "change": -0.03, "percentChange": -1.55 }, "svi": { "a": { "current": -0.1531, "previous": -0.1083, "change": -0.0448, "percentChange": -41.31 }, "b": { "current": 0.2461, "previous": 0.2235, "change": 0.0226, "percentChange": 10.13 }, "rho": { "current": -0.4623, "previous": -0.4856, "change": 0.0233, "percentChange": 4.79 }, "m": { "current": -0.374, "previous": -0.3385, "change": -0.0355, "percentChange": -10.5 }, "sigma": { "current": 0.8125, "previous": 0.6788, "change": 0.1337, "percentChange": 19.7 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 46.0303, 45.2391, 44.4744, 43.7374, 43.0292, 42.3509, 41.7035, 41.088, 40.5055, 39.9568, 39.4428, 38.9644, 38.5222, 38.1168, 37.7487, 37.4184, 37.126, 36.8719, 36.6559, 36.4781, 36.3381, 36.2356, 36.1701, 36.1411, 36.1478, 36.1893, 36.2648, 36.3733, 36.5137, 36.6848, 36.8854, 37.1144, 37.3704, 37.6523, 37.9587, 38.2884, 38.6401, 39.0125, 39.4045, 39.8149, 40.2425 ], "previous": [ 45.7808, 44.9597, 44.1676, 43.4056, 42.6752, 41.9776, 41.3139, 40.6853, 40.0928, 39.5375, 39.0203, 38.5417, 38.1027, 37.7036, 37.3448, 37.0266, 36.7491, 36.5122, 36.3157, 36.1593, 36.0424, 35.9644, 35.9245, 35.9218, 35.9552, 36.0237, 36.1261, 36.261, 36.4271, 36.6231, 36.8476, 37.0991, 37.3762, 37.6776, 38.0017, 38.3473, 38.7129, 39.0974, 39.4994, 39.9177, 40.3512 ], "change": [ 0.2495, 0.2794, 0.3068, 0.3318, 0.354, 0.3733, 0.3896, 0.4027, 0.4127, 0.4193, 0.4225, 0.4227, 0.4195, 0.4132, 0.4039, 0.3918, 0.3769, 0.3597, 0.3402, 0.3188, 0.2957, 0.2712, 0.2456, 0.2193, 0.1926, 0.1656, 0.1387, 0.1123, 0.0866, 0.0617, 0.0378, 0.0153, -0.0058, -0.0253, -0.043, -0.0589, -0.0728, -0.0849, -0.0949, -0.1028, -0.1087 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.252, "rotation": -0.385, "wingChange": -0.066, "rmsChange": 0.28 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.26204339, "daysToExpiry": 95.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 82318.38, "previous": 82936.5, "change": -618.12, "percentChange": -0.75 }, "atmIv": { "current": 37.15, "previous": 36.87, "change": 0.28, "percentChange": 0.76 }, "rr25": { "current": -1.63, "previous": -1.44, "change": -0.19, "percentChange": -13.19 }, "bf25": { "current": 2.05, "previous": 2.18, "change": -0.13, "percentChange": -5.96 }, "svi": { "a": { "current": -0.2326, "previous": -0.205, "change": -0.0276, "percentChange": -13.46 }, "b": { "current": 0.288, "previous": 0.2752, "change": 0.0127, "percentChange": 4.62 }, "rho": { "current": -0.387, "previous": -0.3504, "change": -0.0366, "percentChange": -10.45 }, "m": { "current": -0.3566, "previous": -0.291, "change": -0.0656, "percentChange": -22.53 }, "sigma": { "current": 1.011, "previous": 0.9339, "change": 0.0771, "percentChange": 8.26 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 44.857, 44.2582, 43.679, 43.1201, 42.5821, 42.0657, 41.5717, 41.1005, 40.6528, 40.2292, 39.8302, 39.4564, 39.1081, 38.7858, 38.4898, 38.2205, 37.9781, 37.7627, 37.5745, 37.4135, 37.2797, 37.1731, 37.0934, 37.0404, 37.0139, 37.0135, 37.0388, 37.0893, 37.1645, 37.2638, 37.3867, 37.5325, 37.7004, 37.8899, 38.1002, 38.3304, 38.58, 38.848, 39.1338, 39.4366, 39.7556 ], "previous": [ 44.7232, 44.1054, 43.5076, 42.9306, 42.3753, 41.8424, 41.3327, 40.8469, 40.3858, 39.9501, 39.5405, 39.1574, 38.8016, 38.4734, 38.1734, 37.9019, 37.6591, 37.4454, 37.2609, 37.1056, 36.9795, 36.8826, 36.8146, 36.7752, 36.7643, 36.7812, 36.8256, 36.8969, 36.9944, 37.1176, 37.2657, 37.4379, 37.6335, 37.8516, 38.0915, 38.3522, 38.6328, 38.9326, 39.2506, 39.586, 39.9379 ], "change": [ 0.1338, 0.1528, 0.1714, 0.1895, 0.2068, 0.2233, 0.239, 0.2536, 0.267, 0.2791, 0.2897, 0.299, 0.3065, 0.3124, 0.3164, 0.3186, 0.319, 0.3173, 0.3136, 0.3079, 0.3002, 0.2905, 0.2788, 0.2652, 0.2496, 0.2323, 0.2132, 0.1924, 0.1701, 0.1462, 0.121, 0.0946, 0.0669, 0.0383, 0.0087, -0.0218, -0.0528, -0.0846, -0.1168, -0.1494, -0.1823 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.237, "rotation": -0.169, "wingChange": -0.095, "rmsChange": 0.227 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.51135846, "daysToExpiry": 186.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 83320.95, "previous": 83923.75, "change": -602.8, "percentChange": -0.72 }, "atmIv": { "current": 38.54, "previous": 38.31, "change": 0.23, "percentChange": 0.6 }, "rr25": { "current": -0.97, "previous": -1.06, "change": 0.09, "percentChange": 8.49 }, "bf25": { "current": 2.41, "previous": 2.52, "change": -0.11, "percentChange": -4.37 }, "svi": { "a": { "current": -0.2367, "previous": -0.2357, "change": -0.001, "percentChange": -0.41 }, "b": { "current": 0.3103, "previous": 0.3081, "change": 0.0022, "percentChange": 0.71 }, "rho": { "current": -0.2873, "previous": -0.2278, "change": -0.0595, "percentChange": -26.12 }, "m": { "current": -0.2419, "previous": -0.1674, "change": -0.0745, "percentChange": -44.49 }, "sigma": { "current": 1.0512, "previous": 1.0364, "change": 0.0148, "percentChange": 1.43 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 43.1528, 42.7977, 42.4548, 42.1246, 41.8073, 41.5033, 41.2127, 40.9359, 40.6732, 40.4247, 40.1908, 39.9715, 39.7671, 39.5778, 39.4036, 39.2446, 39.1011, 38.9729, 38.8602, 38.763, 38.6812, 38.6148, 38.5637, 38.5279, 38.5072, 38.5014, 38.5104, 38.5341, 38.5722, 38.6244, 38.6906, 38.7704, 38.8637, 38.97, 39.0891, 39.2207, 39.3645, 39.5201, 39.6872, 39.8654, 40.0544 ], "previous": [ 43.1168, 42.7529, 42.4009, 42.0612, 41.7342, 41.4202, 41.1196, 40.8326, 40.5596, 40.301, 40.0569, 39.8276, 39.6134, 39.4145, 39.2311, 39.0634, 38.9114, 38.7754, 38.6554, 38.5514, 38.4636, 38.3919, 38.3362, 38.2966, 38.2729, 38.265, 38.2729, 38.2962, 38.335, 38.3888, 38.4575, 38.5409, 38.6386, 38.7504, 38.876, 39.015, 39.1671, 39.3319, 39.5091, 39.6984, 39.8993 ], "change": [ 0.036, 0.0448, 0.0539, 0.0634, 0.0731, 0.0831, 0.0931, 0.1033, 0.1136, 0.1237, 0.1339, 0.1439, 0.1537, 0.1633, 0.1725, 0.1812, 0.1897, 0.1975, 0.2048, 0.2116, 0.2176, 0.2229, 0.2275, 0.2313, 0.2343, 0.2364, 0.2375, 0.2379, 0.2372, 0.2356, 0.2331, 0.2295, 0.2251, 0.2196, 0.2131, 0.2057, 0.1974, 0.1882, 0.1781, 0.167, 0.1551 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.195, "rotation": 0.099, "wingChange": -0.034, "rmsChange": 0.183 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.76067353, "daysToExpiry": 277.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 84333.11, "previous": 84954.33, "change": -621.22, "percentChange": -0.73 }, "atmIv": { "current": 39.63, "previous": 39.58, "change": 0.05, "percentChange": 0.13 }, "rr25": { "current": -0.78, "previous": -0.76, "change": -0.02, "percentChange": -2.63 }, "bf25": { "current": 2.48, "previous": 2.58, "change": -0.1, "percentChange": -3.88 }, "svi": { "a": { "current": -0.2379, "previous": -0.2377, "change": -0.0002, "percentChange": -0.09 }, "b": { "current": 0.3308, "previous": 0.3356, "change": -0.0048, "percentChange": -1.43 }, "rho": { "current": -0.2724, "previous": -0.2662, "change": -0.0062, "percentChange": -2.32 }, "m": { "current": -0.2244, "previous": -0.2135, "change": -0.0109, "percentChange": -5.09 }, "sigma": { "current": 1.1223, "previous": 1.1041, "change": 0.0183, "percentChange": 1.65 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 43.0557, 42.8028, 42.5585, 42.3232, 42.0968, 41.8797, 41.6718, 41.4735, 41.2847, 41.1056, 40.9364, 40.7771, 40.6278, 40.4885, 40.3594, 40.2405, 40.1318, 40.0334, 39.9452, 39.8673, 39.7997, 39.7422, 39.695, 39.6579, 39.6309, 39.6139, 39.6068, 39.6095, 39.622, 39.644, 39.6756, 39.7164, 39.7665, 39.8256, 39.8937, 39.9704, 40.0557, 40.1494, 40.2513, 40.3613, 40.479 ], "previous": [ 43.0831, 42.824, 42.5738, 42.3327, 42.1008, 41.8783, 41.6654, 41.4622, 41.2688, 41.0854, 40.9121, 40.749, 40.5962, 40.4538, 40.3218, 40.2003, 40.0894, 39.989, 39.8993, 39.8201, 39.7515, 39.6935, 39.646, 39.609, 39.5824, 39.5661, 39.5601, 39.5642, 39.5784, 39.6025, 39.6363, 39.6799, 39.7329, 39.7952, 39.8667, 39.9472, 40.0366, 40.1346, 40.241, 40.3556, 40.4784 ], "change": [ -0.0274, -0.0212, -0.0153, -0.0095, -0.004, 0.0014, 0.0064, 0.0113, 0.0159, 0.0202, 0.0243, 0.0281, 0.0316, 0.0347, 0.0376, 0.0402, 0.0424, 0.0444, 0.0459, 0.0472, 0.0482, 0.0487, 0.049, 0.0489, 0.0485, 0.0478, 0.0467, 0.0453, 0.0436, 0.0415, 0.0393, 0.0365, 0.0336, 0.0304, 0.027, 0.0232, 0.0191, 0.0148, 0.0103, 0.0057, 0.0006 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.037, "rotation": 0.015, "wingChange": -0.016, "rmsChange": 0.033 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "23SEP26", "value": -6.011, "score": 6.011, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": -1.28, "score": 1.28, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": -0.85, "score": 0.85, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "9OCT26", "value": 0.2197, "score": 0.2197, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": -0.14, "score": 0.14, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "30OCT26", "value": 0.0987, "score": 0.0987, "unit": "parameter units" } ], "expiryEffects": [ { "label": "21SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -8.183, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "22SEP26", "daysToExpiry": 1.646, "metric": "Smile rotation", "value": -4.205, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 289.0825481, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "21SEP26", "expiry": 1789977600000, "value": 0.000377969647, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "21SEP26", "expiry": 1789977600000, "value": -325.98011974, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00171393, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -21.78633908, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "21SEP26", "values": [ 97.0957, 93.9595, 90.7054, 87.3236, 83.8032, 80.1328, 76.3002, 72.2926, 68.097, 63.7005, 59.091, 54.2578, 49.193, 43.8929, 38.3604, 32.6088, 26.6723, 20.6367, 14.7437, 9.6914, 6.9932, 7.9084, 11.6127, 16.5677, 21.8993, 27.2394, 32.4344, 37.4176, 42.1612, 46.6571, 50.9084, 54.9244, 58.7181, 62.3046, 65.6994, 68.9178, 71.975, 74.885, 77.6608, 80.3144, 82.8566 ] }, { "label": "22SEP26", "values": [ 27.5018, 26.3119, 25.1061, 23.8843, 22.647, 21.3944, 20.127, 18.8451, 17.5494, 16.2406, 14.9192, 13.5861, 12.2424, 10.8891, 9.5288, 8.1662, 6.8135, 5.4993, 4.2862, 3.2893, 2.6588, 2.4976, 2.7875, 3.4187, 4.27, 5.2509, 6.3035, 7.3931, 8.4991, 9.6088, 10.7146, 11.8117, 12.8971, 13.9687, 15.0255, 16.0667, 17.0918, 18.1008, 19.0938, 20.0708, 21.032 ] }, { "label": "23SEP26", "values": [ 21.0096, 20.111, 19.2045, 18.2902, 17.3677, 16.4372, 15.4984, 14.5509, 13.5942, 12.6273, 11.6491, 10.658, 9.6519, 8.6284, 7.5856, 6.5236, 5.4481, 4.3772, 3.3512, 2.4388, 1.7284, 1.2938, 1.1597, 1.2969, 1.6466, 2.1483, 2.7525, 3.424, 4.1385, 4.8801, 5.6379, 6.4048, 7.1759, 7.9479, 8.7182, 9.4853, 10.248, 11.0054, 11.7569, 12.5019, 13.2403 ] }, { "label": "25SEP26", "values": [ 8.5624, 8.2019, 7.8398, 7.4757, 7.1087, 6.7377, 6.3615, 5.9786, 5.5877, 5.1867, 4.7737, 4.3467, 3.9038, 3.4435, 2.9658, 2.4727, 1.9701, 1.4691, 0.9869, 0.5462, 0.172, -0.1135, -0.2969, -0.3752, -0.3548, -0.2479, -0.069, 0.1684, 0.4525, 0.7738, 1.1247, 1.4996, 1.8942, 2.305, 2.7297, 3.166, 3.6124, 4.0676, 4.5306, 5.0001, 5.4756 ] }, { "label": "2OCT26", "values": [ 3.2201, 3.0598, 2.8955, 2.7267, 2.5526, 2.3726, 2.1858, 1.9916, 1.7895, 1.5791, 1.3602, 1.133, 0.8982, 0.6572, 0.4119, 0.1657, -0.0778, -0.314, -0.5379, -0.7441, -0.928, -1.0857, -1.2143, -1.3124, -1.38, -1.4179, -1.428, -1.4127, -1.3746, -1.3162, -1.2399, -1.1483, -1.0433, -0.9268, -0.8002, -0.6651, -0.5223, -0.3731, -0.218, -0.058, 0.1063 ] }, { "label": "9OCT26", "values": [ -0.9149, -0.7728, -0.6323, -0.495, -0.362, -0.2352, -0.1164, -0.0074, 0.0899, 0.1731, 0.2403, 0.2892, 0.3176, 0.3239, 0.3062, 0.2636, 0.1956, 0.1024, -0.0151, -0.1549, -0.3145, -0.4907, -0.6796, -0.8773, -1.0801, -1.2842, -1.4862, -1.6833, -1.8733, -2.0543, -2.2247, -2.384, -2.5313, -2.6665, -2.7893, -2.9001, -2.9989, -3.0863, -3.1623, -3.2277, -3.2827 ] }, { "label": "30OCT26", "values": [ 0.4832, 0.5281, 0.5672, 0.6002, 0.6269, 0.6469, 0.6602, 0.6666, 0.6659, 0.6582, 0.6435, 0.622, 0.5939, 0.5596, 0.5194, 0.4741, 0.4241, 0.3701, 0.3132, 0.2539, 0.1935, 0.1327, 0.0725, 0.0139, -0.0424, -0.0956, -0.145, -0.1899, -0.23, -0.2648, -0.2942, -0.3178, -0.3357, -0.3478, -0.354, -0.3547, -0.3499, -0.34, -0.3248, -0.3049, -0.2804 ] }, { "label": "27NOV26", "values": [ 0.2495, 0.2794, 0.3068, 0.3318, 0.354, 0.3733, 0.3896, 0.4027, 0.4127, 0.4193, 0.4225, 0.4227, 0.4195, 0.4132, 0.4039, 0.3918, 0.3769, 0.3597, 0.3402, 0.3188, 0.2957, 0.2712, 0.2456, 0.2193, 0.1926, 0.1656, 0.1387, 0.1123, 0.0866, 0.0617, 0.0378, 0.0153, -0.0058, -0.0253, -0.043, -0.0589, -0.0728, -0.0849, -0.0949, -0.1028, -0.1087 ] }, { "label": "25DEC26", "values": [ 0.1338, 0.1528, 0.1714, 0.1895, 0.2068, 0.2233, 0.239, 0.2536, 0.267, 0.2791, 0.2897, 0.299, 0.3065, 0.3124, 0.3164, 0.3186, 0.319, 0.3173, 0.3136, 0.3079, 0.3002, 0.2905, 0.2788, 0.2652, 0.2496, 0.2323, 0.2132, 0.1924, 0.1701, 0.1462, 0.121, 0.0946, 0.0669, 0.0383, 0.0087, -0.0218, -0.0528, -0.0846, -0.1168, -0.1494, -0.1823 ] }, { "label": "26MAR27", "values": [ 0.036, 0.0448, 0.0539, 0.0634, 0.0731, 0.0831, 0.0931, 0.1033, 0.1136, 0.1237, 0.1339, 0.1439, 0.1537, 0.1633, 0.1725, 0.1812, 0.1897, 0.1975, 0.2048, 0.2116, 0.2176, 0.2229, 0.2275, 0.2313, 0.2343, 0.2364, 0.2375, 0.2379, 0.2372, 0.2356, 0.2331, 0.2295, 0.2251, 0.2196, 0.2131, 0.2057, 0.1974, 0.1882, 0.1781, 0.167, 0.1551 ] }, { "label": "25JUN27", "values": [ -0.0274, -0.0212, -0.0153, -0.0095, -0.004, 0.0014, 0.0064, 0.0113, 0.0159, 0.0202, 0.0243, 0.0281, 0.0316, 0.0347, 0.0376, 0.0402, 0.0424, 0.0444, 0.0459, 0.0472, 0.0482, 0.0487, 0.049, 0.0489, 0.0485, 0.0478, 0.0467, 0.0453, 0.0436, 0.0415, 0.0393, 0.0365, 0.0336, 0.0304, 0.027, 0.0232, 0.0191, 0.0148, 0.0103, 0.0057, 0.0006 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "headline": "Bitcoin options turn defensive as two-week skew swings toward puts", "standfirst": "Bitcoin two-week RR25 fell 1.28 volatility points to -0.26% at the 16:30 UTC cutoff, moving from call-rich to put-rich pricing and marking a notable 80.5 percentile move in comparable history. Bitcoin two-week ATM IV simultaneously fell 0.85 points to 33.70%, while Bitcoin’s 24-hour spot-index return was -0.83%. Derivasys data show one-week ATM IV at 33.98%, 3.14 points below seven-day realised volatility of 37.12%.", "days": [ { "reportDate": "2026-09-20", "headline": "Bitcoin skew shifts toward puts", "summary": "Bitcoin two-week RR25 crossed below zero as short-dated implied volatility softened at the cutoff.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "The Block reported Friday net inflows into Bitcoin ETFs and an end to Ether funds’ four-week inflow streak.", "events": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as two-week skew swings toward puts", "standfirst": "Bitcoin two-week RR25 fell 1.28 volatility points to -0.26% at the 16:30 UTC cutoff, moving from call-rich to put-rich pricing and marking a notable 80.5 percentile move in comparable history. Bitcoin two-week ATM IV simultaneously fell 0.85 points to 33.70%, while Bitcoin’s 24-hour spot-index return was -0.83%. Derivasys data show one-week ATM IV at 33.98%, 3.14 points below seven-day realised volatility of 37.12%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-to-SPX realised-volatility ratio was 4.51, at the 82.7 percentile across 237 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 4.51, at the 82.7 percentile across 237 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 34.22, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 19.4099995803833, "ivRatio": 2.310600879840195, "cryptoRealisedVol20d": 42.3021912695404, "spxRealisedVol20": 9.376313403524426, "rvSpread": 32.92587786601597, "rvRatio": 4.511601676373104, "rvSpreadPercentile": 67.9324894514768, "rvSpreadPercentileSampleCount": 237, "rvRatioPercentile": 82.70042194092827, "rvRatioPercentileSampleCount": 237, "returnCorrelation30": 0.2650908950241892, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.26986705348583195, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790526600846, "availability": "available", "unavailableReason": null, "atmIv": { "current": 33.98, "previous": 34.28, "change": -0.3, "percentChange": -0.88 }, "rr25": { "current": -0.11, "previous": 0.97, "change": -1.08, "percentChange": -111.34 }, "bf25": { "current": 1.81, "previous": 1.91, "change": -0.1, "percentChange": -5.24 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.3, "movePercentile30d": 0.0, "movePercentileFullHistory": 8.7, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 8.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "rr25": { "absoluteMove": 1.08, "movePercentile30d": 46.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 86.7, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 }, "bf25": { "absoluteMove": 0.1, "movePercentile30d": 26.7, "movePercentileFullHistory": 36.9, "currentLevelPercentileFullHistory": 42.7, "classificationPercentile": 36.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 149, "levelObservationsFullHistory": 150 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:31:12+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426862, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416835, "timestamp": "2026-09-19T16:30:00+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": "2026-09-20T16:30:00+00:00", "spotWindowStart": "2026-09-19T16:30:00+00:00", "spotMetric": "spot-index return", "spotUnit": "percent", "spotMove24hPercent": -1.03, "rv24hPercent": 41.69, "rv7dPercent": 52.4, "rv30dPercent": 52.12, "observations": { "24h": 1440, "7d": 10080, "30d": 43200 }, "oneWeekAtmIvPercent": 48.08, "oneWeekIvMinus7dRvPoints": -4.32, "oneWeekIvMinus24hRvPoints": 6.39, "oneWeekIvMinus30dRvPoints": -4.04 }, "fitQuality": { "currentObjective": 0.14844116, "previousObjective": 0.43549541, "currentLiveError": 47.71985298, "previousLiveError": 344.97745824 }, "coverage": { "currentListedExpiries": 12, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether skew softens while realised volatility stays higher", "executiveSummary": "Ether one-week RR25 fell 1.99 volatility points to 0.82%, reducing but preserving the relative richness of call-side volatility. One-week implied volatility remained below the seven-day realised-volatility reading at the cutoff.", "evidenceIds": [ "rr25", "realised-vol" ], "newsSummary": "The Block reported a $433 million Friday net inflow for Bitcoin ETFs and said Ether funds snapped a four-week inflow streak.", "marketContextSummary": "The fund-flow report is relevant context for Ether, but it does not demonstrate an explanation for the options-surface change.", "marketContext": [ { "title": "Fund-flow report and Ether skew", "explanation": "The report covers Ether funds within the observation window, but no measured ETH-specific reaction establishes a direct link to the one-week RR25 decline.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "rr25" ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ], "takeaways": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 48.08%, 4.32 volatility points below seven-day realised volatility of 52.40%; 24-hour realised volatility was 41.69% and 30-day realised volatility was 52.12%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 47.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.23 volatility points to 0.93% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.56 volatility points at 2W, to 47.36%.", "tenor": "2W", "value": -0.56 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "ETH", "GLOBAL", "MACRO" ], "completedScopes": [ "ETH", "GLOBAL", "MACRO" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 1, "hasMore": false, "nextCursor": null, "resultSha256": "6a1905c7a4902be735165c0cabe74b4bfbccc911aefd9598070194c151c74478" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fe58ed8fbad2bff917f38a3c8a1abe70fd02d372e58003e794c8d368721af3af" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "9ad5f5180a9c910cad2d29ebd9e992a5fb4e9937d4ed4861865f75a071a9c6ac" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "0508f87831c0525c7c7db38d993d467a0ee376db6a533bef1b7f2ebe3b36abd3" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "7b919a27f5896e1aae106a25bd807e00ffaec15798a00c68f2ca351845913be1" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 28, "hasMore": false, "nextCursor": null, "resultSha256": "a8966c151e873f19d740bb4d72f1df88752135b8cd3bf203c5a5a7f818288966" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 238, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 1, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Block’s in-window ETF-flow report explicitly covers ether funds and its named media source meets the selection requirements. No measured ETH-specific reaction supports a causal claim, so it is context rather than a possible driver.", "eventsSelected": 1 }, "items": [ { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" } ], "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "market-event-e8bec3b936c3", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "778fac37-92fe-4da0-b881-d566c653f62a", "sourceId": "the_block", "publisher": "The Block", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00", "summary": "Fidelity's FBTC accounted for $310.7 million of Friday’s overall $433 million net inflow, helping offset earlier withdrawals.", "matchedTerms": [ "BTC", "ETH" ], "topics": [ "institutional", "etf_flow" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 34, "quality": { "eligible": true, "score": 34.4, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5934, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5934, "effectiveSourceQuality": 0.5934, "catalystScore": 0.0736, "effectiveCatalystScore": 0.0736, "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 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "778fac37-92fe-4da0-b881-d566c653f62a", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD", "ATM IV 2W: down 0.56 points to 47.36%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 23SEP26: -28.81 USD (-1.09%) to 2620.86 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-e8bec3b936c3" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 1.99 volatility points toward puts to 0.82%, leaving calls richer than puts; this was a routine move at the 67th percentile among 33 comparable historical observations. At the cutoff, realised volatility measured 41.69% over 24 hours, 52.40% over seven days and 52.12% over 30 days. Front-end ATM IV averaged 47.97%, -0.33 points from the prior snapshot, while the long end averaged 54.47%, +0.24 points. 2W ATM IV fell 0.56 volatility points to 47.36%. 6M BF25 rose 0.17 volatility points to 3.32%. The nearest eligible forward, 23SEP26, fell $28.81 (-1.09%) to $2,620.86. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 108, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "realisedVolatility.rv24hPercent", "realisedVolatility.rv7dPercent", "realisedVolatility.rv30dPercent", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "realised-vol", "label": "Implied versus realised", "text": "At the 16:30 UTC cutoff, 1W ATM IV was 48.08%, 4.32 volatility points below seven-day realised volatility of 52.40%; 24-hour realised volatility was 41.69% and 30-day realised volatility was 52.12%." }, { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -0.33 volatility points to 47.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.24 volatility points to 54.47% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.23 volatility points to 0.93% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging -0.01 volatility points to 3.06% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -0.56 volatility points at 2W, to 47.36%.", "tenor": "2W", "value": -0.56 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.2, "rr25Change": -1.23, "bf25Change": -0.01, "largestAtmMove": { "tenor": "2W", "current": 47.36, "previous": 47.92, "change": -0.56, "historicalSignificance": { "absoluteMove": 0.56, "movePercentile30d": 17.2, "movePercentileFullHistory": 24.2, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 24.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } }, "frontEndAverageAtm": { "current": 47.97, "previous": 48.31, "change": -0.33 }, "longEndAverageAtm": { "current": 54.47, "previous": 54.23, "change": 0.24 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.82, "previous": 2.81, "change": -1.99, "historicalSignificance": { "absoluteMove": 1.99, "movePercentile30d": 65.5, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 66.7, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "6M", "current": 3.32, "previous": 3.15, "change": 0.17, "historicalSignificance": { "absoluteMove": 0.17, "movePercentile30d": 69.0, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 94.4, "classificationPercentile": 69.0, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } }, "nearestEligibleForwardMove": { "label": "23SEP26", "daysToExpiry": 2.646, "current": 2620.86, "previous": 2649.67, "change": -28.81, "percentChange": -1.09 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790526600574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.08, "previous": 48.42, "change": -0.34, "percentChange": -0.7 }, "rr25": { "current": 0.82, "previous": 2.81, "change": -1.99, "percentChange": -70.82 }, "bf25": { "current": 2.9, "previous": 2.93, "change": -0.03, "percentChange": -1.02 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.34, "movePercentile30d": 6.9, "movePercentileFullHistory": 9.1, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 9.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 1.99, "movePercentile30d": 65.5, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 66.7, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 6.9, "movePercentileFullHistory": 9.1, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 9.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "2W", "targetExpiry": 1791131400574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 47.36, "previous": 47.92, "change": -0.56, "percentChange": -1.17 }, "rr25": { "current": 1.38, "previous": 3.24, "change": -1.86, "percentChange": -57.41 }, "bf25": { "current": 3.06, "previous": 3.22, "change": -0.16, "percentChange": -4.97 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.56, "movePercentile30d": 17.2, "movePercentileFullHistory": 24.2, "currentLevelPercentileFullHistory": 19.4, "classificationPercentile": 24.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 1.86, "movePercentile30d": 72.4, "movePercentileFullHistory": 75.8, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 75.8, "label": "notable", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.16, "movePercentile30d": 20.7, "movePercentileFullHistory": 21.2, "currentLevelPercentileFullHistory": 72.2, "classificationPercentile": 21.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "1M", "targetExpiry": 1792513800574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.48, "previous": 48.58, "change": -0.1, "percentChange": -0.21 }, "rr25": { "current": 0.85, "previous": 1.96, "change": -1.11, "percentChange": -56.63 }, "bf25": { "current": 2.85, "previous": 2.92, "change": -0.07, "percentChange": -2.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.1, "movePercentile30d": 6.9, "movePercentileFullHistory": 9.1, "currentLevelPercentileFullHistory": 8.3, "classificationPercentile": 9.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 1.11, "movePercentile30d": 69.0, "movePercentileFullHistory": 72.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 72.7, "label": "notable", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 24.1, "movePercentileFullHistory": 27.3, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 27.3, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "3M", "targetExpiry": 1797784200574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 52.22, "previous": 52.45, "change": -0.23, "percentChange": -0.44 }, "rr25": { "current": 0.38, "previous": 1.19, "change": -0.81, "percentChange": -68.07 }, "bf25": { "current": 3.16, "previous": 3.13, "change": 0.03, "percentChange": 0.96 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.23, "movePercentile30d": 34.5, "movePercentileFullHistory": 36.4, "currentLevelPercentileFullHistory": 27.8, "classificationPercentile": 36.4, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 0.81, "movePercentile30d": 79.3, "movePercentileFullHistory": 75.8, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 79.3, "label": "notable", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 6.9, "movePercentileFullHistory": 12.1, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 12.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "6M", "targetExpiry": 1805646600574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.47, "previous": 54.23, "change": 0.24, "percentChange": 0.44 }, "rr25": { "current": 1.24, "previous": 1.61, "change": -0.37, "percentChange": -22.98 }, "bf25": { "current": 3.32, "previous": 3.15, "change": 0.17, "percentChange": 5.4 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.24, "movePercentile30d": 48.3, "movePercentileFullHistory": 48.5, "currentLevelPercentileFullHistory": 38.9, "classificationPercentile": 48.5, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 0.37, "movePercentile30d": 72.4, "movePercentileFullHistory": 69.7, "currentLevelPercentileFullHistory": 91.7, "classificationPercentile": 72.4, "label": "notable", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 69.0, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 94.4, "classificationPercentile": 69.0, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "9M", "targetExpiry": 1813509000574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.31, "previous": 55.56, "change": -0.25, "percentChange": -0.45 }, "rr25": { "current": 1.58, "previous": 1.64, "change": -0.06, "percentChange": -3.66 }, "bf25": { "current": 2.84, "previous": 2.88, "change": -0.04, "percentChange": -1.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.25, "movePercentile30d": 58.6, "movePercentileFullHistory": 57.6, "currentLevelPercentileFullHistory": 25.0, "classificationPercentile": 58.6, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 0.06, "movePercentile30d": 24.1, "movePercentileFullHistory": 24.2, "currentLevelPercentileFullHistory": 94.4, "classificationPercentile": 24.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 20.7, "movePercentileFullHistory": 21.2, "currentLevelPercentileFullHistory": 77.8, "classificationPercentile": 21.2, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } }, { "tenor": "1Y", "targetExpiry": 1821457800574, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "21SEP26", "expiry": 1789977600000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2619.55, "previous": 2647.95, "change": -28.4, "percentChange": -1.07 }, "atmIv": { "current": 44.0, "previous": 33.18, "change": 10.82, "percentChange": 32.61 }, "rr25": { "current": 2.47, "previous": 3.83, "change": -1.36, "percentChange": -35.51 }, "bf25": { "current": 1.99, "previous": 0.93, "change": 1.06, "percentChange": 113.98 }, "svi": { "a": { "current": -0.1006, "previous": -0.1053, "change": 0.0046, "percentChange": 4.4 }, "b": { "current": 0.1382, "previous": 0.1068, "change": 0.0314, "percentChange": 29.36 }, "rho": { "current": 0.0142, "previous": -0.0126, "change": 0.0268, "percentChange": 212.58 }, "m": { "current": 0.0028, "previous": -0.0466, "change": 0.0494, "percentChange": 105.94 }, "sigma": { "current": 0.7305, "previous": 0.9893, "change": -0.2587, "percentChange": -26.15 } }, "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": [ 213.7135, 203.5908, 193.4391, 183.2648, 173.0752, 162.8792, 152.6878, 142.5147, 132.3768, 122.2966, 112.3031, 102.4359, 92.7498, 83.3226, 74.2677, 65.754, 58.0345, 51.4814, 46.6014, 43.9644, 43.9817, 46.6526, 51.5654, 58.1513, 65.9053, 74.4567, 83.5533, 93.027, 102.7645, 112.6882, 122.7433, 132.8902, 143.0996, 153.3493, 163.6217, 173.9032, 184.1827, 194.4509, 204.7004, 214.9246, 225.1182 ], "previous": [ 96.4314, 91.6353, 86.8595, 82.1105, 77.3963, 72.7268, 68.1142, 63.574, 59.1261, 54.7958, 50.6163, 46.6312, 42.8972, 39.4882, 36.4976, 34.0377, 32.2316, 31.1939, 31.0021, 31.6713, 33.1483, 35.3307, 38.0957, 41.3245, 44.9149, 48.7846, 52.8698, 57.1217, 61.5028, 65.9846, 70.5452, 75.1673, 79.8374, 84.5447, 89.2805, 94.0376, 98.8102, 103.5935, 108.3832, 113.1758, 117.9685 ], "change": [ 117.2821, 111.9555, 106.5796, 101.1543, 95.6789, 90.1524, 84.5736, 78.9407, 73.2507, 67.5008, 61.6868, 55.8047, 49.8526, 43.8344, 37.7701, 31.7163, 25.8029, 20.2875, 15.5993, 12.2931, 10.8334, 11.3219, 13.4697, 16.8268, 20.9904, 25.6721, 30.6835, 35.9053, 41.2617, 46.7036, 52.1981, 57.7229, 63.2622, 68.8046, 74.3412, 79.8656, 85.3725, 90.8574, 96.3172, 101.7488, 107.1497 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 41.573, "rotation": -9.489, "wingChange": 46.109, "rmsChange": 67.168 } }, { "label": "22SEP26", "expiry": 1790064000000, "tauYears": 0.00450915, "daysToExpiry": 1.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2620.32, "previous": 2648.71, "change": -28.39, "percentChange": -1.07 }, "atmIv": { "current": 47.73, "previous": 40.83, "change": 6.9, "percentChange": 16.9 }, "rr25": { "current": 0.2, "previous": 4.14, "change": -3.94, "percentChange": -95.17 }, "bf25": { "current": 2.34, "previous": 2.98, "change": -0.64, "percentChange": -21.48 }, "svi": { "a": { "current": -0.1032, "previous": -0.0446, "change": -0.0586, "percentChange": -131.4 }, "b": { "current": 0.147, "previous": 0.1158, "change": 0.0312, "percentChange": 26.95 }, "rho": { "current": 0.0016, "previous": 0.0632, "change": -0.0616, "percentChange": -97.5 }, "m": { "current": 0.0007, "previous": 0.0091, "change": -0.0083, "percentChange": -91.87 }, "sigma": { "current": 0.7089, "previous": 0.3959, "change": 0.3129, "percentChange": 79.04 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 148.5359, 142.131, 135.728, 129.3343, 122.9583, 116.6104, 110.303, 104.0512, 97.8736, 91.7932, 85.8387, 80.0463, 74.4619, 69.1439, 64.1662, 59.6214, 55.6225, 52.3006, 49.7964, 48.2411, 47.7297, 48.2962, 49.9032, 52.4534, 55.8146, 59.8463, 64.418, 69.418, 74.7546, 80.3546, 86.1606, 92.127, 98.2181, 104.4054, 110.6663, 116.9823, 123.3385, 129.7225, 136.1241, 142.5348, 148.9473 ], "previous": [ 124.9364, 119.6182, 114.2581, 108.8618, 103.4368, 97.9924, 92.5407, 87.0969, 81.6806, 76.3171, 71.0389, 65.8884, 60.9211, 56.2094, 51.8474, 47.955, 44.6784, 42.1832, 40.6321, 40.1492, 40.7826, 42.4872, 45.1424, 48.589, 52.6649, 57.2263, 62.1549, 67.357, 72.7601, 78.3079, 83.9571, 89.6736, 95.4308, 101.2077, 106.9872, 112.756, 118.5032, 124.2201, 129.8996, 135.5361, 141.1251 ], "change": [ 23.5995, 22.5128, 21.4699, 20.4725, 19.5215, 18.618, 17.7623, 16.9543, 16.193, 15.4761, 14.7998, 14.1579, 13.5408, 12.9345, 12.3188, 11.6664, 10.9441, 10.1174, 9.1643, 8.0919, 6.9471, 5.809, 4.7608, 3.8644, 3.1497, 2.62, 2.2631, 2.061, 1.9945, 2.0467, 2.2035, 2.4534, 2.7873, 3.1977, 3.6791, 4.2263, 4.8353, 5.5024, 6.2245, 6.9987, 7.8222 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 7.983, "rotation": -12.596, "wingChange": 1.555, "rmsChange": 11.711 } }, { "label": "23SEP26", "expiry": 1790150400000, "tauYears": 0.00724887, "daysToExpiry": 2.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2620.86, "previous": 2649.67, "change": -28.81, "percentChange": -1.09 }, "atmIv": { "current": 47.74, "previous": 44.16, "change": 3.58, "percentChange": 8.11 }, "rr25": { "current": 1.07, "previous": 3.9, "change": -2.83, "percentChange": -72.56 }, "bf25": { "current": 2.75, "previous": 3.22, "change": -0.47, "percentChange": -14.6 }, "svi": { "a": { "current": -0.097, "previous": -0.0584, "change": -0.0386, "percentChange": -66.16 }, "b": { "current": 0.1545, "previous": 0.1334, "change": 0.0212, "percentChange": 15.87 }, "rho": { "current": -0.0024, "previous": -0.007, "change": 0.0046, "percentChange": 65.53 }, "m": { "current": -0.0059, "previous": -0.0204, "change": 0.0145, "percentChange": 70.94 }, "sigma": { "current": 0.6385, "previous": 0.452, "change": 0.1864, "percentChange": 41.24 } }, "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": [ 127.1555, 121.8667, 116.5858, 111.3208, 106.0806, 100.8765, 95.7215, 90.6316, 85.6257, 80.7274, 75.9651, 71.3736, 66.9958, 62.8835, 59.0993, 55.7164, 52.8178, 50.4921, 48.8249, 47.8878, 47.7254, 48.3455, 49.7177, 51.7801, 54.4511, 57.6419, 61.2666, 65.2475, 69.5179, 74.0214, 78.7117, 83.551, 88.5084, 93.5584, 98.6803, 103.8571, 109.0746, 114.321, 119.5863, 124.8623, 130.1419 ], "previous": [ 113.0252, 108.2957, 103.5564, 98.8155, 94.0826, 89.3697, 84.6912, 80.0648, 75.5122, 71.0601, 66.7412, 62.5961, 58.6744, 55.0361, 51.753, 48.9072, 46.5884, 44.8857, 43.8762, 43.6109, 44.1036, 45.3276, 47.2217, 49.7032, 52.6815, 56.0685, 59.7851, 63.7633, 67.9464, 72.2879, 76.7501, 81.3022, 85.9195, 90.5817, 95.2724, 99.978, 104.6876, 109.3921, 114.084, 118.7572, 123.4066 ], "change": [ 14.1303, 13.571, 13.0294, 12.5053, 11.998, 11.5068, 11.0303, 10.5668, 10.1135, 9.6673, 9.2239, 8.7775, 8.3214, 7.8474, 7.3463, 6.8092, 6.2294, 5.6064, 4.9487, 4.2769, 3.6218, 3.0179, 2.496, 2.0769, 1.7696, 1.5734, 1.4815, 1.4842, 1.5715, 1.7335, 1.9616, 2.2488, 2.5889, 2.9767, 3.4079, 3.8791, 4.387, 4.9289, 5.5023, 6.1051, 6.7353 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 4.936, "rotation": -7.262, "wingChange": 1.971, "rmsChange": 7.288 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2622.34, "previous": 2650.44, "change": -28.1, "percentChange": -1.06 }, "atmIv": { "current": 49.29, "previous": 48.61, "change": 0.68, "percentChange": 1.4 }, "rr25": { "current": 0.16, "previous": 2.44, "change": -2.28, "percentChange": -93.44 }, "bf25": { "current": 2.7, "previous": 2.72, "change": -0.02, "percentChange": -0.74 }, "svi": { "a": { "current": -0.1258, "previous": -0.0946, "change": -0.0312, "percentChange": -33.01 }, "b": { "current": 0.1752, "previous": 0.1546, "change": 0.0206, "percentChange": 13.31 }, "rho": { "current": -0.1194, "previous": -0.1326, "change": 0.0132, "percentChange": 9.93 }, "m": { "current": -0.0888, "previous": -0.1022, "change": 0.0135, "percentChange": 13.17 }, "sigma": { "current": 0.7411, "previous": 0.6408, "change": 0.1003, "percentChange": 15.65 } }, "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": [ 103.4243, 99.5117, 95.6365, 91.8063, 88.03, 84.3177, 80.681, 77.1333, 73.6899, 70.3684, 67.189, 64.1746, 61.351, 58.7468, 56.3931, 54.3229, 52.5693, 51.1644, 50.136, 49.506, 49.2875, 49.483, 50.0847, 51.0745, 52.4269, 54.1103, 56.0909, 58.3339, 60.8058, 63.4753, 66.314, 69.2966, 72.4009, 75.6074, 78.8994, 82.2623, 85.6837, 89.1528, 92.6605, 96.1986, 99.7604 ], "previous": [ 92.2369, 88.7801, 85.3662, 82.004, 78.7033, 75.4757, 72.3339, 69.2927, 66.3685, 63.58, 60.948, 58.4953, 56.2469, 54.229, 52.4686, 50.9921, 49.8242, 48.9854, 48.491, 48.349, 48.5594, 49.1143, 49.9982, 51.1898, 52.6638, 54.3923, 56.3472, 58.5007, 60.8267, 63.3013, 65.9028, 68.6118, 71.4113, 74.2865, 77.2243, 80.2136, 83.2444, 86.3084, 89.3983, 92.5076, 95.6309 ], "change": [ 11.1874, 10.7316, 10.2703, 9.8023, 9.3267, 8.842, 8.3471, 7.8406, 7.3214, 6.7884, 6.241, 5.6793, 5.1041, 4.5178, 3.9245, 3.3308, 2.7451, 2.179, 1.645, 1.157, 0.7281, 0.3687, 0.0865, -0.1153, -0.2369, -0.282, -0.2563, -0.1668, -0.0209, 0.174, 0.4112, 0.6848, 0.9896, 1.3209, 1.6751, 2.0487, 2.4393, 2.8444, 3.2622, 3.691, 4.1295 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 2.46, "rotation": -5.83, "wingChange": 2.598, "rmsChange": 5.097 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2623.92, "previous": 2652.01, "change": -28.09, "percentChange": -1.06 }, "atmIv": { "current": 47.1, "previous": 48.06, "change": -0.96, "percentChange": -2.0 }, "rr25": { "current": 1.37, "previous": 3.52, "change": -2.15, "percentChange": -61.08 }, "bf25": { "current": 3.07, "previous": 3.32, "change": -0.25, "percentChange": -7.53 }, "svi": { "a": { "current": -0.1146, "previous": -0.0852, "change": -0.0293, "percentChange": -34.43 }, "b": { "current": 0.1892, "previous": 0.174, "change": 0.0153, "percentChange": 8.79 }, "rho": { "current": -0.1826, "previous": -0.2289, "change": 0.0463, "percentChange": 20.22 }, "m": { "current": -0.1306, "previous": -0.1575, "change": 0.0269, "percentChange": 17.11 }, "sigma": { "current": 0.6537, "previous": 0.5497, "change": 0.104, "percentChange": 18.92 } }, "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": [ 77.3225, 74.8493, 72.4216, 70.0461, 67.7302, 65.482, 63.3102, 61.2246, 59.2354, 57.3538, 55.5915, 53.9607, 52.4739, 51.1436, 49.9819, 49.0, 48.2081, 47.614, 47.2235, 47.0398, 47.0629, 47.29, 47.7153, 48.3307, 49.1258, 50.0889, 51.2072, 52.4673, 53.8559, 55.3599, 56.9667, 58.6647, 60.4427, 62.2908, 64.1997, 66.1612, 68.1678, 70.2128, 72.2902, 74.3946, 76.5213 ], "previous": [ 74.4874, 72.0863, 69.7387, 67.4528, 65.2371, 63.1011, 61.055, 59.1097, 57.2765, 55.5674, 53.9946, 52.5704, 51.3066, 50.2144, 49.304, 48.5836, 48.0596, 47.7358, 47.613, 47.6895, 47.9606, 48.419, 49.0554, 49.8587, 50.8165, 51.916, 53.144, 54.4873, 55.9335, 57.4705, 59.0873, 60.7734, 62.5196, 64.3173, 66.1588, 68.0372, 69.9464, 71.881, 73.8361, 75.8075, 77.7913 ], "change": [ 2.8351, 2.763, 2.6829, 2.5933, 2.4931, 2.3809, 2.2552, 2.1149, 1.9589, 1.7864, 1.5969, 1.3903, 1.1673, 0.9292, 0.6779, 0.4164, 0.1485, -0.1218, -0.3895, -0.6497, -0.8977, -1.129, -1.3401, -1.528, -1.6907, -1.8271, -1.9368, -2.02, -2.0776, -2.1106, -2.1206, -2.1087, -2.0769, -2.0265, -1.9591, -1.876, -1.7786, -1.6682, -1.5459, -1.4129, -1.27 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": -0.474, "rotation": -3.718, "wingChange": 0.636, "rmsChange": 1.792 } }, { "label": "9OCT26", "expiry": 1791532800000, "tauYears": 0.05108449, "daysToExpiry": 18.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2625.53, "previous": 2653.66, "change": -28.13, "percentChange": -1.06 }, "atmIv": { "current": 47.67, "previous": 47.55, "change": 0.12, "percentChange": 0.25 }, "rr25": { "current": 1.38, "previous": 2.5, "change": -1.12, "percentChange": -44.8 }, "bf25": { "current": 3.06, "previous": 2.92, "change": 0.14, "percentChange": 4.79 }, "svi": { "a": { "current": -0.1143, "previous": -0.1005, "change": -0.0137, "percentChange": -13.67 }, "b": { "current": 0.1914, "previous": 0.1888, "change": 0.0026, "percentChange": 1.4 }, "rho": { "current": -0.1917, "previous": -0.2893, "change": 0.0976, "percentChange": 33.73 }, "m": { "current": -0.1417, "previous": -0.2144, "change": 0.0727, "percentChange": 33.89 }, "sigma": { "current": 0.67, "previous": 0.623, "change": 0.047, "percentChange": 7.54 } }, "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": [ 67.5221, 65.7883, 64.0994, 62.4603, 60.8761, 59.3523, 57.8946, 56.509, 55.2015, 53.9784, 52.8458, 51.81, 50.8769, 50.0519, 49.3402, 48.7461, 48.2733, 47.9243, 47.7008, 47.6033, 47.6309, 47.7821, 48.0537, 48.442, 48.9422, 49.549, 50.2563, 51.058, 51.9474, 52.918, 53.9632, 55.0767, 56.2522, 57.4839, 58.7662, 60.0937, 61.4617, 62.8656, 64.3012, 65.7646, 67.2523 ], "previous": [ 65.1444, 63.4521, 61.814, 60.2353, 58.7213, 57.2776, 55.9098, 54.6238, 53.4252, 52.3198, 51.3128, 50.4095, 49.6144, 48.9315, 48.3643, 47.9151, 47.5855, 47.376, 47.286, 47.314, 47.4574, 47.7127, 48.0756, 48.5411, 49.1038, 49.7577, 50.4968, 51.3149, 52.2056, 53.1629, 54.1809, 55.2539, 56.3765, 57.5436, 58.7504, 59.9925, 61.2659, 62.5668, 63.8917, 65.2374, 66.6011 ], "change": [ 2.3777, 2.3362, 2.2854, 2.225, 2.1548, 2.0747, 1.9848, 1.8852, 1.7763, 1.6586, 1.533, 1.4005, 1.2625, 1.1204, 0.9759, 0.831, 0.6878, 0.5483, 0.4148, 0.2893, 0.1735, 0.0694, -0.0219, -0.0991, -0.1616, -0.2087, -0.2405, -0.2569, -0.2582, -0.2449, -0.2177, -0.1772, -0.1243, -0.0597, 0.0158, 0.1012, 0.1958, 0.2988, 0.4095, 0.5272, 0.6512 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.496, "rotation": -1.751, "wingChange": 0.484, "rmsChange": 1.158 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10861873, "daysToExpiry": 39.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2630.6, "previous": 2658.32, "change": -27.72, "percentChange": -1.04 }, "atmIv": { "current": 48.8, "previous": 49.09, "change": -0.29, "percentChange": -0.59 }, "rr25": { "current": 0.64, "previous": 1.7, "change": -1.06, "percentChange": -62.35 }, "bf25": { "current": 2.76, "previous": 2.9, "change": -0.14, "percentChange": -4.83 }, "svi": { "a": { "current": -0.1157, "previous": -0.0893, "change": -0.0264, "percentChange": -29.61 }, "b": { "current": 0.1915, "previous": 0.1891, "change": 0.0024, "percentChange": 1.27 }, "rho": { "current": -0.1917, "previous": -0.2904, "change": 0.0987, "percentChange": 33.99 }, "m": { "current": -0.1474, "previous": -0.2147, "change": 0.0672, "percentChange": 31.32 }, "sigma": { "current": 0.7534, "previous": 0.6411, "change": 0.1123, "percentChange": 17.52 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 58.4037, 57.5354, 56.6981, 55.8935, 55.1235, 54.3899, 53.6945, 53.0392, 52.4256, 51.8553, 51.33, 50.851, 50.4197, 50.0371, 49.7044, 49.4222, 49.1912, 49.0118, 48.8841, 48.8081, 48.7836, 48.81, 48.8868, 49.013, 49.1875, 49.4092, 49.6767, 49.9884, 50.3428, 50.7381, 51.1726, 51.6445, 52.1519, 52.693, 53.2659, 53.8687, 54.4996, 55.1569, 55.8388, 56.5437, 57.2698 ], "previous": [ 58.157, 57.2504, 56.3812, 55.5514, 54.7632, 54.0184, 53.3192, 52.6672, 52.0642, 51.5117, 51.0112, 50.5638, 50.1704, 49.8318, 49.5486, 49.3208, 49.1486, 49.0316, 48.9693, 48.9609, 49.0055, 49.1018, 49.2484, 49.4437, 49.686, 49.9735, 50.3041, 50.6759, 51.0869, 51.5348, 52.0176, 52.5333, 53.0797, 53.6549, 54.2568, 54.8835, 55.5333, 56.2043, 56.895, 57.6036, 58.3286 ], "change": [ 0.2467, 0.285, 0.3169, 0.3421, 0.3603, 0.3715, 0.3753, 0.372, 0.3614, 0.3436, 0.3188, 0.2872, 0.2493, 0.2053, 0.1558, 0.1014, 0.0426, -0.0198, -0.0852, -0.1528, -0.2219, -0.2918, -0.3616, -0.4307, -0.4985, -0.5643, -0.6274, -0.6875, -0.7441, -0.7967, -0.845, -0.8888, -0.9278, -0.9619, -0.9909, -1.0148, -1.0337, -1.0474, -1.0562, -1.0599, -1.0588 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.249, "rotation": -1.164, "wingChange": -0.041, "rmsChange": 0.613 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.18533106, "daysToExpiry": 67.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2640.33, "previous": 2667.95, "change": -27.62, "percentChange": -1.04 }, "atmIv": { "current": 51.7, "previous": 51.5, "change": 0.2, "percentChange": 0.39 }, "rr25": { "current": 0.35, "previous": 1.6, "change": -1.25, "percentChange": -78.12 }, "bf25": { "current": 3.15, "previous": 3.1, "change": 0.05, "percentChange": 1.61 }, "svi": { "a": { "current": -0.0957, "previous": -0.0699, "change": -0.0258, "percentChange": -36.93 }, "b": { "current": 0.2077, "previous": 0.1936, "change": 0.0141, "percentChange": 7.29 }, "rho": { "current": -0.2547, "previous": -0.2823, "change": 0.0276, "percentChange": 9.79 }, "m": { "current": -0.1765, "previous": -0.2059, "change": 0.0294, "percentChange": 14.3 }, "sigma": { "current": 0.723, "previous": 0.6437, "change": 0.0793, "percentChange": 12.33 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 58.3914, 57.7938, 57.2194, 56.6693, 56.1442, 55.6452, 55.173, 54.7286, 54.3125, 53.9256, 53.5685, 53.2416, 52.9454, 52.6804, 52.4469, 52.2449, 52.0747, 51.9362, 51.8295, 51.7542, 51.7101, 51.697, 51.7142, 51.7615, 51.8381, 51.9434, 52.0767, 52.2372, 52.4242, 52.6367, 52.874, 53.135, 53.4189, 53.7246, 54.0514, 54.3982, 54.764, 55.1481, 55.5493, 55.9668, 56.3998 ], "previous": [ 57.0413, 56.4761, 55.9367, 55.4239, 54.9389, 54.4824, 54.0552, 53.6582, 53.292, 52.9572, 52.6541, 52.3833, 52.1449, 51.9392, 51.7662, 51.6258, 51.5179, 51.4422, 51.3983, 51.3859, 51.4042, 51.4528, 51.5309, 51.6377, 51.7723, 51.934, 52.1218, 52.3346, 52.5716, 52.8317, 53.1139, 53.4172, 53.7405, 54.0829, 54.4433, 54.8209, 55.2145, 55.6233, 56.0464, 56.4829, 56.9319 ], "change": [ 1.3501, 1.3177, 1.2827, 1.2454, 1.2053, 1.1628, 1.1178, 1.0704, 1.0205, 0.9684, 0.9144, 0.8583, 0.8005, 0.7412, 0.6807, 0.6191, 0.5568, 0.494, 0.4312, 0.3683, 0.3059, 0.2442, 0.1833, 0.1238, 0.0658, 0.0094, -0.0451, -0.0974, -0.1474, -0.195, -0.2399, -0.2822, -0.3216, -0.3583, -0.3919, -0.4227, -0.4505, -0.4752, -0.4971, -0.5161, -0.5321 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.327, "rotation": -1.154, "wingChange": 0.031, "rmsChange": 0.709 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.26204339, "daysToExpiry": 95.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2649.95, "previous": 2677.03, "change": -27.08, "percentChange": -1.01 }, "atmIv": { "current": 52.29, "previous": 52.62, "change": -0.33, "percentChange": -0.63 }, "rr25": { "current": 0.39, "previous": 1.12, "change": -0.73, "percentChange": -65.18 }, "bf25": { "current": 3.17, "previous": 3.14, "change": 0.03, "percentChange": 0.96 }, "svi": { "a": { "current": -0.0795, "previous": -0.0505, "change": -0.029, "percentChange": -57.53 }, "b": { "current": 0.2139, "previous": 0.1981, "change": 0.0157, "percentChange": 7.94 }, "rho": { "current": -0.2692, "previous": -0.2979, "change": 0.0287, "percentChange": 9.64 }, "m": { "current": -0.1842, "previous": -0.2047, "change": 0.0204, "percentChange": 9.98 }, "sigma": { "current": 0.7337, "previous": 0.6535, "change": 0.0802, "percentChange": 12.27 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 57.2931, 56.8478, 56.4206, 56.012, 55.6226, 55.2529, 54.9034, 54.5746, 54.2668, 53.9805, 53.7159, 53.4733, 53.253, 53.055, 52.8796, 52.7268, 52.5965, 52.4888, 52.4035, 52.3404, 52.2995, 52.2803, 52.2826, 52.3061, 52.3504, 52.4151, 52.4996, 52.6036, 52.7265, 52.8677, 53.0268, 53.2031, 53.3961, 53.6052, 53.8298, 54.0692, 54.323, 54.5904, 54.871, 55.164, 55.4691 ], "previous": [ 56.9957, 56.5696, 56.1628, 55.7757, 55.4089, 55.063, 54.7384, 54.4356, 54.1548, 53.8964, 53.6607, 53.4478, 53.2577, 53.0907, 52.9467, 52.8256, 52.7272, 52.6514, 52.598, 52.5667, 52.557, 52.5686, 52.6011, 52.6539, 52.7266, 52.8187, 52.9295, 53.0584, 53.2049, 53.3684, 53.5481, 53.7436, 53.954, 54.1789, 54.4176, 54.6693, 54.9337, 55.2099, 55.4975, 55.7958, 56.1043 ], "change": [ 0.2974, 0.2782, 0.2578, 0.2363, 0.2137, 0.1899, 0.165, 0.139, 0.112, 0.0841, 0.0552, 0.0255, -0.0047, -0.0357, -0.0671, -0.0988, -0.1307, -0.1626, -0.1945, -0.2263, -0.2575, -0.2883, -0.3185, -0.3478, -0.3762, -0.4036, -0.4299, -0.4548, -0.4784, -0.5007, -0.5213, -0.5405, -0.5579, -0.5737, -0.5878, -0.6001, -0.6107, -0.6195, -0.6265, -0.6318, -0.6352 ], "classification": [ "rotation towards puts" ], "parallelShift": -0.241, "rotation": -0.576, "wingChange": 0.024, "rmsChange": 0.382 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.51135846, "daysToExpiry": 186.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2675.04, "previous": 2703.36, "change": -28.32, "percentChange": -1.05 }, "atmIv": { "current": 54.53, "previous": 54.28, "change": 0.25, "percentChange": 0.46 }, "rr25": { "current": 1.26, "previous": 1.62, "change": -0.36, "percentChange": -22.22 }, "bf25": { "current": 3.32, "previous": 3.16, "change": 0.16, "percentChange": 5.06 }, "svi": { "a": { "current": -0.0027, "previous": 0.015, "change": -0.0177, "percentChange": -118.1 }, "b": { "current": 0.2309, "previous": 0.2195, "change": 0.0113, "percentChange": 5.17 }, "rho": { "current": -0.3224, "previous": -0.3492, "change": 0.0268, "percentChange": 7.68 }, "m": { "current": -0.2239, "previous": -0.2484, "change": 0.0245, "percentChange": 9.84 }, "sigma": { "current": 0.706, "previous": 0.6595, "change": 0.0465, "percentChange": 7.04 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 57.1242, 56.8753, 56.6378, 56.412, 56.1981, 55.9961, 55.8064, 55.6289, 55.4638, 55.3111, 55.1709, 55.0432, 54.928, 54.8253, 54.735, 54.657, 54.5912, 54.5376, 54.4959, 54.4661, 54.4478, 54.4411, 54.4455, 54.461, 54.4872, 54.5239, 54.571, 54.628, 54.6948, 54.771, 54.8564, 54.9507, 55.0537, 55.1649, 55.2843, 55.4114, 55.5459, 55.6878, 55.8365, 55.9919, 56.1538 ], "previous": [ 56.514, 56.2778, 56.0535, 55.8414, 55.6415, 55.4541, 55.2791, 55.1168, 54.9671, 54.83, 54.7056, 54.5939, 54.4947, 54.4079, 54.3336, 54.2715, 54.2214, 54.1833, 54.1569, 54.142, 54.1383, 54.1457, 54.1638, 54.1925, 54.2314, 54.2802, 54.3387, 54.4065, 54.4834, 54.5691, 54.6633, 54.7657, 54.8759, 54.9937, 55.1188, 55.251, 55.3899, 55.5352, 55.6867, 55.8442, 56.0073 ], "change": [ 0.6102, 0.5975, 0.5843, 0.5706, 0.5566, 0.542, 0.5273, 0.5121, 0.4967, 0.4811, 0.4653, 0.4493, 0.4333, 0.4174, 0.4014, 0.3855, 0.3698, 0.3543, 0.339, 0.3241, 0.3095, 0.2954, 0.2817, 0.2685, 0.2558, 0.2437, 0.2323, 0.2215, 0.2114, 0.2019, 0.1931, 0.185, 0.1778, 0.1712, 0.1655, 0.1604, 0.156, 0.1526, 0.1498, 0.1477, 0.1465 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.323, "rotation": -0.272, "wingChange": 0.02, "rmsChange": 0.368 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.76067353, "daysToExpiry": 277.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2701.05, "previous": 2729.41, "change": -28.36, "percentChange": -1.04 }, "atmIv": { "current": 55.34, "previous": 55.62, "change": -0.28, "percentChange": -0.5 }, "rr25": { "current": 1.6, "previous": 1.64, "change": -0.04, "percentChange": -2.44 }, "bf25": { "current": 2.82, "previous": 2.86, "change": -0.04, "percentChange": -1.4 }, "svi": { "a": { "current": 0.0148, "previous": -0.0563, "change": 0.0711, "percentChange": 126.2 }, "b": { "current": 0.3024, "previous": 0.3495, "change": -0.0471, "percentChange": -13.49 }, "rho": { "current": -0.4825, "previous": -0.4869, "change": 0.0043, "percentChange": 0.89 }, "m": { "current": -0.4432, "previous": -0.521, "change": 0.0778, "percentChange": 14.93 }, "sigma": { "current": 0.8187, "previous": 0.9536, "change": -0.1349, "percentChange": -14.15 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 56.7735, 56.6149, 56.4651, 56.3239, 56.1914, 56.0675, 55.9521, 55.8452, 55.7466, 55.6564, 55.5743, 55.5003, 55.4343, 55.3762, 55.3258, 55.283, 55.2477, 55.2197, 55.1989, 55.1851, 55.1782, 55.178, 55.1845, 55.1973, 55.2164, 55.2416, 55.2728, 55.3097, 55.3523, 55.4004, 55.4538, 55.5123, 55.5759, 55.6444, 55.7176, 55.7954, 55.8776, 55.9641, 56.0548, 56.1495, 56.248 ], "previous": [ 57.023, 56.8699, 56.7252, 56.5886, 56.4603, 56.3402, 56.2282, 56.1242, 56.0282, 55.9401, 55.8598, 55.7872, 55.7223, 55.6649, 55.6149, 55.5722, 55.5367, 55.5083, 55.4868, 55.4722, 55.4643, 55.4629, 55.4681, 55.4795, 55.4971, 55.5208, 55.5504, 55.5858, 55.6268, 55.6734, 55.7253, 55.7825, 55.8448, 55.912, 55.9842, 56.061, 56.1425, 56.2284, 56.3187, 56.4132, 56.5117 ], "change": [ -0.2495, -0.255, -0.2601, -0.2647, -0.2689, -0.2727, -0.2761, -0.279, -0.2816, -0.2837, -0.2855, -0.2869, -0.288, -0.2887, -0.2891, -0.2892, -0.289, -0.2886, -0.2879, -0.2871, -0.2861, -0.2849, -0.2836, -0.2822, -0.2807, -0.2792, -0.2776, -0.2761, -0.2745, -0.273, -0.2715, -0.2702, -0.2689, -0.2676, -0.2666, -0.2656, -0.2649, -0.2643, -0.2639, -0.2637, -0.2637 ], "classification": [ "parallel shift lower" ], "parallelShift": -0.281, "rotation": 0.014, "wingChange": 0.008, "rmsChange": 0.276 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "23SEP26", "value": -7.262, "score": 7.262, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -1.99, "score": 1.99, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "2W", "value": -0.56, "score": 0.56, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "23SEP26", "value": 0.1864, "score": 0.1864, "unit": "parameter units" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "6M", "value": 0.17, "score": 0.17, "unit": "volatility points" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "30OCT26", "value": 0.0987, "score": 0.0987, "unit": "parameter units" } ], "expiryEffects": [ { "label": "22SEP26", "daysToExpiry": 1.646, "metric": "Smile rotation", "value": -12.596, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "21SEP26", "daysToExpiry": 0.646, "metric": "ATM IV change", "value": 10.82, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25JUN27", "expiry": 1813910400000, "value": 9.12841391, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "21SEP26", "expiry": 1789977600000, "value": 0.008228045077, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "21SEP26", "expiry": 1789977600000, "value": -14.97381764, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00168979, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -0.96066682, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "21SEP26", "values": [ 117.2821, 111.9555, 106.5796, 101.1543, 95.6789, 90.1524, 84.5736, 78.9407, 73.2507, 67.5008, 61.6868, 55.8047, 49.8526, 43.8344, 37.7701, 31.7163, 25.8029, 20.2875, 15.5993, 12.2931, 10.8334, 11.3219, 13.4697, 16.8268, 20.9904, 25.6721, 30.6835, 35.9053, 41.2617, 46.7036, 52.1981, 57.7229, 63.2622, 68.8046, 74.3412, 79.8656, 85.3725, 90.8574, 96.3172, 101.7488, 107.1497 ] }, { "label": "22SEP26", "values": [ 23.5995, 22.5128, 21.4699, 20.4725, 19.5215, 18.618, 17.7623, 16.9543, 16.193, 15.4761, 14.7998, 14.1579, 13.5408, 12.9345, 12.3188, 11.6664, 10.9441, 10.1174, 9.1643, 8.0919, 6.9471, 5.809, 4.7608, 3.8644, 3.1497, 2.62, 2.2631, 2.061, 1.9945, 2.0467, 2.2035, 2.4534, 2.7873, 3.1977, 3.6791, 4.2263, 4.8353, 5.5024, 6.2245, 6.9987, 7.8222 ] }, { "label": "23SEP26", "values": [ 14.1303, 13.571, 13.0294, 12.5053, 11.998, 11.5068, 11.0303, 10.5668, 10.1135, 9.6673, 9.2239, 8.7775, 8.3214, 7.8474, 7.3463, 6.8092, 6.2294, 5.6064, 4.9487, 4.2769, 3.6218, 3.0179, 2.496, 2.0769, 1.7696, 1.5734, 1.4815, 1.4842, 1.5715, 1.7335, 1.9616, 2.2488, 2.5889, 2.9767, 3.4079, 3.8791, 4.387, 4.9289, 5.5023, 6.1051, 6.7353 ] }, { "label": "25SEP26", "values": [ 11.1874, 10.7316, 10.2703, 9.8023, 9.3267, 8.842, 8.3471, 7.8406, 7.3214, 6.7884, 6.241, 5.6793, 5.1041, 4.5178, 3.9245, 3.3308, 2.7451, 2.179, 1.645, 1.157, 0.7281, 0.3687, 0.0865, -0.1153, -0.2369, -0.282, -0.2563, -0.1668, -0.0209, 0.174, 0.4112, 0.6848, 0.9896, 1.3209, 1.6751, 2.0487, 2.4393, 2.8444, 3.2622, 3.691, 4.1295 ] }, { "label": "2OCT26", "values": [ 2.8351, 2.763, 2.6829, 2.5933, 2.4931, 2.3809, 2.2552, 2.1149, 1.9589, 1.7864, 1.5969, 1.3903, 1.1673, 0.9292, 0.6779, 0.4164, 0.1485, -0.1218, -0.3895, -0.6497, -0.8977, -1.129, -1.3401, -1.528, -1.6907, -1.8271, -1.9368, -2.02, -2.0776, -2.1106, -2.1206, -2.1087, -2.0769, -2.0265, -1.9591, -1.876, -1.7786, -1.6682, -1.5459, -1.4129, -1.27 ] }, { "label": "9OCT26", "values": [ 2.3777, 2.3362, 2.2854, 2.225, 2.1548, 2.0747, 1.9848, 1.8852, 1.7763, 1.6586, 1.533, 1.4005, 1.2625, 1.1204, 0.9759, 0.831, 0.6878, 0.5483, 0.4148, 0.2893, 0.1735, 0.0694, -0.0219, -0.0991, -0.1616, -0.2087, -0.2405, -0.2569, -0.2582, -0.2449, -0.2177, -0.1772, -0.1243, -0.0597, 0.0158, 0.1012, 0.1958, 0.2988, 0.4095, 0.5272, 0.6512 ] }, { "label": "30OCT26", "values": [ 0.2467, 0.285, 0.3169, 0.3421, 0.3603, 0.3715, 0.3753, 0.372, 0.3614, 0.3436, 0.3188, 0.2872, 0.2493, 0.2053, 0.1558, 0.1014, 0.0426, -0.0198, -0.0852, -0.1528, -0.2219, -0.2918, -0.3616, -0.4307, -0.4985, -0.5643, -0.6274, -0.6875, -0.7441, -0.7967, -0.845, -0.8888, -0.9278, -0.9619, -0.9909, -1.0148, -1.0337, -1.0474, -1.0562, -1.0599, -1.0588 ] }, { "label": "27NOV26", "values": [ 1.3501, 1.3177, 1.2827, 1.2454, 1.2053, 1.1628, 1.1178, 1.0704, 1.0205, 0.9684, 0.9144, 0.8583, 0.8005, 0.7412, 0.6807, 0.6191, 0.5568, 0.494, 0.4312, 0.3683, 0.3059, 0.2442, 0.1833, 0.1238, 0.0658, 0.0094, -0.0451, -0.0974, -0.1474, -0.195, -0.2399, -0.2822, -0.3216, -0.3583, -0.3919, -0.4227, -0.4505, -0.4752, -0.4971, -0.5161, -0.5321 ] }, { "label": "25DEC26", "values": [ 0.2974, 0.2782, 0.2578, 0.2363, 0.2137, 0.1899, 0.165, 0.139, 0.112, 0.0841, 0.0552, 0.0255, -0.0047, -0.0357, -0.0671, -0.0988, -0.1307, -0.1626, -0.1945, -0.2263, -0.2575, -0.2883, -0.3185, -0.3478, -0.3762, -0.4036, -0.4299, -0.4548, -0.4784, -0.5007, -0.5213, -0.5405, -0.5579, -0.5737, -0.5878, -0.6001, -0.6107, -0.6195, -0.6265, -0.6318, -0.6352 ] }, { "label": "26MAR27", "values": [ 0.6102, 0.5975, 0.5843, 0.5706, 0.5566, 0.542, 0.5273, 0.5121, 0.4967, 0.4811, 0.4653, 0.4493, 0.4333, 0.4174, 0.4014, 0.3855, 0.3698, 0.3543, 0.339, 0.3241, 0.3095, 0.2954, 0.2817, 0.2685, 0.2558, 0.2437, 0.2323, 0.2215, 0.2114, 0.2019, 0.1931, 0.185, 0.1778, 0.1712, 0.1655, 0.1604, 0.156, 0.1526, 0.1498, 0.1477, 0.1465 ] }, { "label": "25JUN27", "values": [ -0.2495, -0.255, -0.2601, -0.2647, -0.2689, -0.2727, -0.2761, -0.279, -0.2816, -0.2837, -0.2855, -0.2869, -0.288, -0.2887, -0.2891, -0.2892, -0.289, -0.2886, -0.2879, -0.2871, -0.2861, -0.2849, -0.2836, -0.2822, -0.2807, -0.2792, -0.2776, -0.2761, -0.2745, -0.273, -0.2715, -0.2702, -0.2689, -0.2676, -0.2666, -0.2656, -0.2649, -0.2643, -0.2639, -0.2637, -0.2637 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "headline": "Ether options lose call premium as one-week skew narrows sharply", "standfirst": "Ether one-week RR25 fell 1.99 volatility points to 0.82% at the 16:30 UTC cutoff, sharply narrowing call-side volatility’s premium over put-side volatility without reversing it. Ether two-week ATM IV fell 0.56 points to 47.36%, and Ether’s 24-hour spot-index return was -1.03%. Derivasys data show Ether one-week ATM IV at 48.08%, 4.32 points below seven-day realised volatility of 52.40%.", "days": [ { "reportDate": "2026-09-20", "headline": "Ether call premium narrows sharply", "summary": "Ether one-week RR25 moved toward puts while front-end implied volatility eased across short maturities.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "The Block reported Bitcoin ETF inflows and said Ether funds ended a four-week inflow streak.", "events": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Ether options lose call premium as one-week skew narrows sharply", "standfirst": "Ether one-week RR25 fell 1.99 volatility points to 0.82% at the 16:30 UTC cutoff, sharply narrowing call-side volatility’s premium over put-side volatility without reversing it. Ether two-week ATM IV fell 0.56 points to 47.36%, and Ether’s 24-hour spot-index return was -1.03%. Derivasys data show Ether one-week ATM IV at 48.08%, 4.32 points below seven-day realised volatility of 52.40%.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-minus-SPX realised-volatility spread was 41.25 points, at the 37.2 percentile across 234 prior observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 41.25 points, at the 37.2 percentile across 234 prior observations." ], "metrics": { "cryptoAtmIv30d": 48.5, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 33.6899995803833, "ivRatio": 3.274814221865852, "cryptoRealisedVol20d": 50.629902701660036, "spxRealisedVol20": 9.376313403524426, "rvSpread": 41.25358929813561, "rvRatio": 5.399766467130776, "rvSpreadPercentile": 37.17948717948718, "rvSpreadPercentileSampleCount": 234, "rvRatioPercentile": 56.41025641025641, "rvRatioPercentileSampleCount": 234, "returnCorrelation30": 0.19609110519225115, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2305227070319435, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790526600574, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.08, "previous": 48.42, "change": -0.34, "percentChange": -0.7 }, "rr25": { "current": 0.82, "previous": 2.81, "change": -1.99, "percentChange": -70.82 }, "bf25": { "current": 2.9, "previous": 2.93, "change": -0.03, "percentChange": -1.02 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.34, "movePercentile30d": 6.9, "movePercentileFullHistory": 9.1, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 9.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "rr25": { "absoluteMove": 1.99, "movePercentile30d": 65.5, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 61.1, "classificationPercentile": 66.7, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 }, "bf25": { "absoluteMove": 0.03, "movePercentile30d": 6.9, "movePercentileFullHistory": 9.1, "currentLevelPercentileFullHistory": 55.6, "classificationPercentile": 9.1, "label": "routine", "observations30d": 29, "observationsFullHistory": 33, "levelObservationsFullHistory": 36 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-20", "generatedAt": "2026-09-20T16:31:45+00:00", "currentSnapshotAt": "2026-09-20T16:30:00+00:00", "previousSnapshotAt": "2026-09-19T16:30:00+00:00", "sourceSnapshots": { "current": { "id": 426868, "timestamp": "2026-09-20T16:30:00+00:00" }, "previous": { "id": 416836, "timestamp": "2026-09-19T16:30:00+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": 0.0227697, "previousObjective": 0.0248143, "currentLiveError": 16.14788082, "previousLiveError": 14.12158999 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "22SEP26" ], "removedExpiries": [ "20SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana options add three-month convexity premium", "executiveSummary": "Solana three-month BF25 rose 0.88 volatility points to 5.36%, the most notable surface adjustment at the cutoff. Front-end ATM IV also increased, led by a 2.00-point rise in one-week ATM IV to 55.38%.", "evidenceIds": [ "bf25", "front-atm" ], "newsSummary": "No qualifying Solana-specific news context was retained.", "marketContextSummary": "No retained news item provides a market-context assessment for Solana’s options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.26 volatility points to 54.21% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.45 volatility points to 1.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.41 volatility points to 4.54% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.00 volatility points at 1W, to 55.38%.", "tenor": "1W", "value": 2.0 } ] }, "newsEvidence": { "schemaVersion": 1, "source": "local-news-mcp", "collection": { "schemaVersion": 1, "basis": "monitored-source-search", "status": "complete", "requiredScopes": [ "GLOBAL", "MACRO", "SOL" ], "completedScopes": [ "GLOBAL", "MACRO", "SOL" ], "missingScopes": [], "queries": [ { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 0, "hasMore": false, "nextCursor": null, "resultSha256": "e88f3a0a4478e2efd693ede0f6bdfc94bd69378c3e7a3cdc2473dfc26ed1a327" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-20T16:30:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-19T16:30:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fe58ed8fbad2bff917f38a3c8a1abe70fd02d372e58003e794c8d368721af3af" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTM6MTQ6MzYuMjg0MTIzKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImIyM2U2MGM3LWFhOWItNDg4Ni1iMzExLWQyZjU5NjIxMDg0ZiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "9ad5f5180a9c910cad2d29ebd9e992a5fb4e9937d4ed4861865f75a071a9c6ac" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDg6NTQ6MzAuMjE2ODQyKzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjliNWQzYTg4LTA5ZjgtNDNiMi1hMzRkLTFhNWMzNDNiMTgwOCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "0508f87831c0525c7c7db38d993d467a0ee376db6a533bef1b7f2ebe3b36abd3" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMDI6MDU6NTMuMjM5MTY2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6IjZmYmMzZTBhLTVmMmEtNDE4Mi04Y2M3LTVjMTk0YjRkNzA1OSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "7b919a27f5896e1aae106a25bd807e00ffaec15798a00c68f2ca351845913be1" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMTlUMjA6MDM6MTQuNzMxMzc2KzAwOjAwIiwiZmlsdGVycyI6ImIzODlmOTc0OWNiNmYwNzQiLCJpZCI6ImQzYTA5ZDUzLWI5MjItNDUyYy05NWVjLTliYjFmOWEwMWEyNiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 28, "hasMore": false, "nextCursor": null, "resultSha256": "a8966c151e873f19d740bb4d72f1df88752135b8cd3bf203c5a5a7f818288966" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 2, "macroQueries": 6, "canonicalEventsConsidered": 0, "publishersRepresented": 0, "discoveryEventsScanned": 238, "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": 0, "feedEntriesScanned": 1, "articlesPassingTimeFilter": 1, "articlesPassingSourceRelevanceRules": 0, "articlesPassingSelectionThreshold": 0, "storiesSelected": 0, "selectedPublishers": 0, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "21a1a35c-eb98-4f71-b60f-1d9ee333cff3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": false, "reportRelevant": true, "decision": "ineligible" } ], "planRationale": "No in-window item met both explicit SOL relevance and context suitability. The Solana Foundation source was reviewed but is a routine promotional/interview-format crypto-security item tagged crypto_general, not a sufficiently relevant SOL-specific context item.", "eventsSelected": 0 }, "items": [], "events": [] }, "newsContext": { "outcome": "No sufficiently relevant context identified", "highest_causal_confidence": "low", "section_heading": "No sufficiently relevant context identified", "events": [], "coverage_status": "healthy", "coverage_basis": "monitored-source-search", "summary": "No qualifying context was found in the monitored news sources for this reporting window." }, "marketRead": { "text": "1W ATM IV rose 2.00 volatility points to 55.38%, a routine move at the 48th percentile among 23 comparable historical observations. Front-end ATM IV averaged 54.21%, +1.26 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 0.75 volatility points toward puts to 1.04%, leaving calls richer than puts. 3M BF25 rose 0.88 volatility points to 5.36%. The nearest eligible forward, 25SEP26, fell $2.26 (-2.02%) to $109.41. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 90, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.26 volatility points to 54.21% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.45 volatility points to 1.82% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.41 volatility points to 4.54% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.00 volatility points at 1W, to 55.38%.", "tenor": "1W", "value": 2.0 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.02, "rr25Change": -0.45, "bf25Change": 0.41, "largestAtmMove": { "tenor": "1W", "current": 55.38, "previous": 53.38, "change": 2.0, "historicalSignificance": { "absoluteMove": 2.0, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } }, "frontEndAverageAtm": { "current": 54.21, "previous": 52.95, "change": 1.26 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 1.04, "previous": 1.79, "change": -0.75, "historicalSignificance": { "absoluteMove": 0.75, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 5.36, "previous": 4.48, "change": 0.88, "historicalSignificance": { "absoluteMove": 0.88, "movePercentile30d": 87.0, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 87.0, "label": "notable", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 4.646, "current": 109.41, "previous": 111.67, "change": -2.26, "percentChange": -2.02 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790526601191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.38, "previous": 53.38, "change": 2.0, "percentChange": 3.75 }, "rr25": { "current": 1.04, "previous": 1.79, "change": -0.75, "percentChange": -41.9 }, "bf25": { "current": 4.36, "previous": 3.97, "change": 0.39, "percentChange": 9.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.0, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.75, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "2W", "targetExpiry": 1791131401191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.86, "previous": 52.55, "change": 1.31, "percentChange": 2.49 }, "rr25": { "current": 1.33, "previous": 1.9, "change": -0.57, "percentChange": -30.0 }, "bf25": { "current": 4.07, "previous": 4.06, "change": 0.01, "percentChange": 0.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.31, "movePercentile30d": 52.2, "movePercentileFullHistory": 52.2, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 52.2, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.57, "movePercentile30d": 13.0, "movePercentileFullHistory": 13.0, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 13.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 0.0, "currentLevelPercentileFullHistory": 54.2, "classificationPercentile": 0.0, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "1M", "targetExpiry": 1792513801191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.39, "previous": 52.92, "change": 0.47, "percentChange": 0.89 }, "rr25": { "current": 2.01, "previous": 2.53, "change": -0.52, "percentChange": -20.55 }, "bf25": { "current": 4.37, "previous": 4.03, "change": 0.34, "percentChange": 8.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.47, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.52, "movePercentile30d": 21.7, "movePercentileFullHistory": 21.7, "currentLevelPercentileFullHistory": 45.8, "classificationPercentile": 21.7, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.34, "movePercentile30d": 69.6, "movePercentileFullHistory": 69.6, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 69.6, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "3M", "targetExpiry": 1797784201191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.41, "previous": 54.1, "change": 0.31, "percentChange": 0.57 }, "rr25": { "current": 2.9, "previous": 2.86, "change": 0.04, "percentChange": 1.4 }, "bf25": { "current": 5.36, "previous": 4.48, "change": 0.88, "percentChange": 19.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.31, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 66.7, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 4.3, "movePercentileFullHistory": 4.3, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 4.3, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.88, "movePercentile30d": 87.0, "movePercentileFullHistory": 87.0, "currentLevelPercentileFullHistory": 70.8, "classificationPercentile": 87.0, "label": "notable", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } }, { "tenor": "6M", "targetExpiry": 1805646601191, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "9M", "targetExpiry": 1813509001191, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } }, { "tenor": "1Y", "targetExpiry": 1821457801191, "availability": "unavailable", "unavailableReason": "The target tenor falls outside the listed-expiry range at one or both snapshots; extrapolated values are suppressed.", "atmIv": { "current": null, "previous": null, "change": null, "percentChange": null }, "rr25": { "current": null, "previous": null, "change": null, "percentChange": null }, "bf25": { "current": null, "previous": null, "change": null, "percentChange": null }, "historicalSignificance": { "atmIv": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "rr25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 }, "bf25": { "absoluteMove": null, "movePercentile30d": null, "movePercentileFullHistory": null, "currentLevelPercentileFullHistory": null, "classificationPercentile": null, "label": "unavailable", "observations30d": 0, "observationsFullHistory": 0, "levelObservationsFullHistory": 0 } } } ], "listedExpiries": [ { "label": "21SEP26", "expiry": 1789977600000, "tauYears": 0.00176942, "daysToExpiry": 0.646, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 109.35, "previous": 111.67, "change": -2.32, "percentChange": -2.08 }, "atmIv": { "current": 56.02, "previous": 50.75, "change": 5.27, "percentChange": 10.38 }, "rr25": { "current": -0.77, "previous": 5.94, "change": -6.71, "percentChange": -112.96 }, "bf25": { "current": 5.15, "previous": 2.42, "change": 2.73, "percentChange": 112.81 }, "svi": { "a": { "current": -0.0227, "previous": -0.0937, "change": 0.071, "percentChange": 75.82 }, "b": { "current": 0.0937, "previous": 0.138, "change": -0.0444, "percentChange": -32.15 }, "rho": { "current": -0.0158, "previous": 0.2112, "change": -0.227, "percentChange": -107.5 }, "m": { "current": -0.0025, "previous": 0.1221, "change": -0.1245, "percentChange": -102.02 }, "sigma": { "current": 0.2478, "previous": 0.7023, "change": -0.4545, "percentChange": -64.72 } }, "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": [ 281.8641, 270.7118, 259.346, 247.7634, 235.9625, 223.9439, 211.711, 199.2709, 186.6362, 173.8262, 160.87, 147.8099, 134.7069, 121.6498, 108.7684, 96.2561, 84.4075, 73.675, 64.7398, 58.5319, 56.0281, 57.7277, 63.2655, 71.699, 82.0611, 93.6231, 105.8976, 118.5684, 131.4297, 144.3447, 157.2211, 169.9958, 182.6257, 195.0816, 207.344, 219.4007, 231.2446, 242.8726, 254.2844, 265.4816, 276.4675 ], "previous": [ 125.6422, 120.0899, 114.5457, 109.0191, 103.5214, 98.0667, 92.6723, 87.3595, 82.1551, 77.0927, 72.2142, 67.5724, 63.2327, 59.2756, 55.797, 52.9061, 50.7182, 49.3415, 48.8581, 49.3073, 50.6757, 52.9021, 55.8926, 59.5392, 63.7353, 68.384, 73.4028, 78.7232, 84.2893, 90.056, 95.987, 102.0527, 108.2291, 114.4962, 120.8376, 127.2394, 133.69, 140.1792, 146.6984, 153.2401, 159.7977 ], "change": [ 156.2219, 150.6219, 144.8003, 138.7443, 132.4411, 125.8772, 119.0387, 111.9114, 104.4811, 96.7335, 88.6558, 80.2375, 71.4742, 62.3742, 52.9714, 43.35, 33.6893, 24.3335, 15.8817, 9.2246, 5.3524, 4.8256, 7.3729, 12.1598, 18.3258, 25.2391, 32.4948, 39.8452, 47.1404, 54.2887, 61.2341, 67.9431, 74.3966, 80.5854, 86.5064, 92.1613, 97.5546, 102.6934, 107.586, 112.2415, 116.6698 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 51.747, "rotation": -27.422, "wingChange": 69.593, "rmsChange": 85.678 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.01272832, "daysToExpiry": 4.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 109.41, "previous": 111.67, "change": -2.26, "percentChange": -2.02 }, "atmIv": { "current": 57.04, "previous": 53.86, "change": 3.18, "percentChange": 5.9 }, "rr25": { "current": 0.99, "previous": 1.8, "change": -0.81, "percentChange": -45.0 }, "bf25": { "current": 4.83, "previous": 3.92, "change": 0.91, "percentChange": 23.21 }, "svi": { "a": { "current": -0.068, "previous": -0.0954, "change": 0.0274, "percentChange": 28.74 }, "b": { "current": 0.1643, "previous": 0.1738, "change": -0.0095, "percentChange": -5.46 }, "rho": { "current": -0.1781, "previous": -0.0316, "change": -0.1465, "percentChange": -463.56 }, "m": { "current": -0.0833, "previous": -0.0261, "change": -0.0572, "percentChange": -219.12 }, "sigma": { "current": 0.4462, "previous": 0.5751, "change": -0.1289, "percentChange": -22.42 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 124.8543, 120.0911, 115.3447, 110.6255, 105.9458, 101.3196, 96.7634, 92.2962, 87.9398, 83.7196, 79.6647, 75.8083, 72.1881, 68.8459, 65.8273, 63.1803, 60.9533, 59.1918, 57.9344, 57.2086, 57.0272, 57.3864, 58.2659, 59.6312, 61.4379, 63.6359, 66.1734, 69.0003, 72.0698, 75.34, 78.7742, 82.3402, 86.011, 89.7633, 93.5777, 97.4377, 101.3295, 105.2417, 109.1645, 113.09, 117.0114 ], "previous": [ 104.1619, 100.44, 96.7471, 93.0919, 89.4843, 85.9359, 82.4598, 79.071, 75.7869, 72.6271, 69.6139, 66.7724, 64.1303, 61.7178, 59.5669, 57.7103, 56.1802, 55.0061, 54.2126, 53.817, 53.8281, 54.2445, 55.0552, 56.2407, 57.7746, 59.6264, 61.7633, 64.152, 66.7607, 69.5594, 72.5209, 75.6205, 78.8366, 82.1499, 85.5439, 89.004, 92.5174, 96.0734, 99.6624, 103.2763, 106.9078 ], "change": [ 20.6924, 19.6511, 18.5976, 17.5336, 16.4615, 15.3837, 14.3036, 13.2252, 12.1529, 11.0925, 10.0508, 9.0359, 8.0578, 7.1281, 6.2604, 5.47, 4.7731, 4.1857, 3.7218, 3.3916, 3.1991, 3.1419, 3.2107, 3.3905, 3.6633, 4.0095, 4.4101, 4.8483, 5.3091, 5.7806, 6.2533, 6.7197, 7.1744, 7.6134, 8.0338, 8.4337, 8.8121, 9.1683, 9.5021, 9.8137, 10.1036 ], "classification": [ "rotation towards puts", "wing steepening" ], "parallelShift": 6.501, "rotation": -3.797, "wingChange": 4.953, "rmsChange": 9.895 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.03190641, "daysToExpiry": 11.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 109.47, "previous": 111.72, "change": -2.25, "percentChange": -2.01 }, "atmIv": { "current": 54.04, "previous": 52.48, "change": 1.56, "percentChange": 2.97 }, "rr25": { "current": 1.08, "previous": 1.77, "change": -0.69, "percentChange": -38.98 }, "bf25": { "current": 3.96, "previous": 4.05, "change": -0.09, "percentChange": -2.22 }, "svi": { "a": { "current": -0.0828, "previous": -0.0896, "change": 0.0067, "percentChange": 7.52 }, "b": { "current": 0.1712, "previous": 0.1786, "change": -0.0074, "percentChange": -4.13 }, "rho": { "current": -0.1302, "previous": -0.0579, "change": -0.0723, "percentChange": -124.88 }, "m": { "current": -0.0755, "previous": -0.0416, "change": -0.034, "percentChange": -81.72 }, "sigma": { "current": 0.5427, "previous": 0.5556, "change": -0.0129, "percentChange": -2.32 } }, "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": [ 84.4178, 81.9919, 79.6056, 77.2657, 74.9798, 72.7561, 70.6036, 68.5321, 66.5517, 64.6737, 62.9096, 61.2714, 59.7712, 58.4212, 57.2331, 56.2178, 55.3851, 54.743, 54.2975, 54.0524, 54.0087, 54.1649, 54.5169, 55.058, 55.7797, 56.6718, 57.7227, 58.9203, 60.252, 61.7052, 63.2676, 64.9274, 66.6735, 68.4953, 70.3834, 72.3288, 74.3236, 76.3604, 78.4326, 80.5345, 82.6607 ], "previous": [ 80.6987, 78.4168, 76.1718, 73.9703, 71.8195, 69.7275, 67.7029, 65.7552, 63.8944, 62.1315, 60.4778, 58.9453, 57.5461, 56.2924, 55.1958, 54.2675, 53.5174, 52.9538, 52.583, 52.409, 52.4331, 52.6542, 53.0684, 53.6695, 54.4491, 55.3974, 56.5032, 57.7546, 59.1391, 60.6446, 62.2589, 63.9705, 65.7682, 67.6419, 69.582, 71.5798, 73.6274, 75.7174, 77.8434, 79.9995, 82.1804 ], "change": [ 3.7191, 3.5751, 3.4338, 3.2954, 3.1603, 3.0286, 2.9007, 2.7769, 2.6573, 2.5422, 2.4318, 2.3261, 2.2251, 2.1288, 2.0373, 1.9503, 1.8677, 1.7892, 1.7145, 1.6434, 1.5756, 1.5107, 1.4485, 1.3885, 1.3306, 1.2744, 1.2195, 1.1657, 1.1129, 1.0606, 1.0087, 0.9569, 0.9053, 0.8534, 0.8014, 0.749, 0.6962, 0.643, 0.5892, 0.535, 0.4803 ], "classification": [ "rotation towards puts" ], "parallelShift": 1.672, "rotation": -1.423, "wingChange": 0.145, "rmsChange": 1.994 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10861873, "daysToExpiry": 39.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 109.73, "previous": 111.95, "change": -2.22, "percentChange": -1.98 }, "atmIv": { "current": 53.29, "previous": 53.0, "change": 0.29, "percentChange": 0.55 }, "rr25": { "current": 2.15, "previous": 2.67, "change": -0.52, "percentChange": -19.48 }, "bf25": { "current": 4.43, "previous": 4.03, "change": 0.4, "percentChange": 9.93 }, "svi": { "a": { "current": -0.0653, "previous": -0.0885, "change": 0.0232, "percentChange": 26.18 }, "b": { "current": 0.1831, "previous": 0.2026, "change": -0.0195, "percentChange": -9.62 }, "rho": { "current": -0.059, "previous": -0.1694, "change": 0.1105, "percentChange": 65.2 }, "m": { "current": -0.0439, "previous": -0.1273, "change": 0.0834, "percentChange": 65.52 }, "sigma": { "current": 0.5254, "previous": 0.5987, "change": -0.0733, "percentChange": -12.24 } }, "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": [ 63.9784, 63.0093, 62.0687, 61.1594, 60.2843, 59.4462, 58.6481, 57.8931, 57.1842, 56.5243, 55.9164, 55.3633, 54.8675, 54.4315, 54.0575, 53.7473, 53.5024, 53.324, 53.2129, 53.1694, 53.1935, 53.2846, 53.4419, 53.6641, 53.9495, 54.2963, 54.702, 55.1644, 55.6807, 56.248, 56.8636, 57.5245, 58.2276, 58.9699, 59.7487, 60.5609, 61.4039, 62.275, 63.1715, 64.0912, 65.0317 ], "previous": [ 62.6099, 61.6536, 60.7332, 59.8512, 59.0103, 58.213, 57.4618, 56.7592, 56.1076, 55.5093, 54.9663, 54.4805, 54.0537, 53.6871, 53.3819, 53.139, 52.9588, 52.8416, 52.787, 52.7947, 52.8639, 52.9933, 53.1817, 53.4273, 53.7283, 54.0826, 54.488, 54.942, 55.4424, 55.9865, 56.5718, 57.1958, 57.8559, 58.5498, 59.2749, 60.0289, 60.8095, 61.6147, 62.4422, 63.2902, 64.1567 ], "change": [ 1.3685, 1.3557, 1.3355, 1.3082, 1.274, 1.2332, 1.1863, 1.1339, 1.0766, 1.015, 0.9501, 0.8828, 0.8138, 0.7444, 0.6756, 0.6083, 0.5436, 0.4824, 0.4259, 0.3747, 0.3296, 0.2913, 0.2602, 0.2368, 0.2212, 0.2137, 0.214, 0.2224, 0.2383, 0.2615, 0.2918, 0.3287, 0.3717, 0.4201, 0.4738, 0.532, 0.5944, 0.6603, 0.7293, 0.801, 0.875 ], "classification": [ "rotation towards puts" ], "parallelShift": 0.524, "rotation": -0.658, "wingChange": 0.291, "rmsChange": 0.768 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.26204339, "daysToExpiry": 95.646, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 110.14, "previous": 112.34, "change": -2.2, "percentChange": -1.96 }, "atmIv": { "current": 54.45, "previous": 54.15, "change": 0.3, "percentChange": 0.55 }, "rr25": { "current": 2.93, "previous": 2.87, "change": 0.06, "percentChange": 2.09 }, "bf25": { "current": 5.39, "previous": 4.51, "change": 0.88, "percentChange": 19.51 }, "svi": { "a": { "current": -0.0151, "previous": -0.1097, "change": 0.0946, "percentChange": 86.22 }, "b": { "current": 0.1981, "previous": 0.2557, "change": -0.0575, "percentChange": -22.51 }, "rho": { "current": -0.0656, "previous": -0.0669, "change": 0.0013, "percentChange": 1.97 }, "m": { "current": -0.0431, "previous": -0.0691, "change": 0.026, "percentChange": 37.64 }, "sigma": { "current": 0.4667, "previous": 0.7321, "change": -0.2654, "percentChange": -36.25 } }, "smile": { "logMoneyness": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "current": [ 59.8206, 59.3095, 58.8157, 58.3404, 57.885, 57.4508, 57.0391, 56.6513, 56.2887, 55.9525, 55.6439, 55.3641, 55.1142, 54.895, 54.7073, 54.5519, 54.4294, 54.34, 54.2841, 54.2616, 54.2726, 54.3167, 54.3934, 54.5024, 54.6427, 54.8137, 55.0143, 55.2435, 55.5003, 55.7833, 56.0914, 56.4233, 56.7777, 57.1534, 57.549, 57.9632, 58.3949, 58.8427, 59.3056, 59.7823, 60.2719 ], "previous": [ 58.4615, 58.0154, 57.5887, 57.182, 56.7961, 56.432, 56.0902, 55.7715, 55.4766, 55.2061, 54.9606, 54.7406, 54.5466, 54.379, 54.2381, 54.1243, 54.0377, 53.9784, 53.9465, 53.942, 53.9648, 54.0147, 54.0915, 54.1947, 54.3242, 54.4793, 54.6596, 54.8646, 55.0937, 55.3461, 55.6212, 55.9183, 56.2366, 56.5754, 56.9339, 57.3113, 57.7067, 58.1194, 58.5486, 58.9934, 59.4532 ], "change": [ 1.3591, 1.2941, 1.227, 1.1584, 1.0889, 1.0188, 0.9489, 0.8798, 0.8121, 0.7464, 0.6833, 0.6235, 0.5676, 0.516, 0.4692, 0.4276, 0.3917, 0.3616, 0.3376, 0.3196, 0.3078, 0.302, 0.3019, 0.3077, 0.3185, 0.3344, 0.3547, 0.3789, 0.4066, 0.4372, 0.4702, 0.505, 0.5411, 0.578, 0.6151, 0.6519, 0.6882, 0.7233, 0.757, 0.7889, 0.8187 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.487, "rotation": -0.213, "wingChange": 0.269, "rmsChange": 0.695 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": -3.797, "score": 3.797, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 2.0, "score": 2.0, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": 0.88, "score": 0.88, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": -0.75, "score": 0.75, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": -0.2654, "score": 0.2654, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "25SEP26", "value": -0.1465, "score": 0.1465, "unit": "parameter units" } ], "expiryEffects": [ { "label": "21SEP26", "daysToExpiry": 0.646, "metric": "Smile rotation", "value": -27.422, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." } ], "ultraShortThresholdDays": 2.0, "greekCharacteristics": { "highestVega": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.22275331, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "21SEP26", "expiry": 1789977600000, "value": 0.154811276275, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "21SEP26", "expiry": 1789977600000, "value": -0.79579923, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00101123, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00794576, "metric": "volga", "availability": "available" } }, "heatmap": { "x": [ -0.3, -0.285, -0.27, -0.255, -0.24, -0.225, -0.21, -0.195, -0.18, -0.165, -0.15, -0.135, -0.12, -0.105, -0.09, -0.075, -0.06, -0.045, -0.03, -0.015, 0.0, 0.015, 0.03, 0.045, 0.06, 0.075, 0.09, 0.105, 0.12, 0.135, 0.15, 0.165, 0.18, 0.195, 0.21, 0.225, 0.24, 0.255, 0.27, 0.285, 0.3 ], "rows": [ { "label": "21SEP26", "values": [ 156.2219, 150.6219, 144.8003, 138.7443, 132.4411, 125.8772, 119.0387, 111.9114, 104.4811, 96.7335, 88.6558, 80.2375, 71.4742, 62.3742, 52.9714, 43.35, 33.6893, 24.3335, 15.8817, 9.2246, 5.3524, 4.8256, 7.3729, 12.1598, 18.3258, 25.2391, 32.4948, 39.8452, 47.1404, 54.2887, 61.2341, 67.9431, 74.3966, 80.5854, 86.5064, 92.1613, 97.5546, 102.6934, 107.586, 112.2415, 116.6698 ] }, { "label": "25SEP26", "values": [ 20.6924, 19.6511, 18.5976, 17.5336, 16.4615, 15.3837, 14.3036, 13.2252, 12.1529, 11.0925, 10.0508, 9.0359, 8.0578, 7.1281, 6.2604, 5.47, 4.7731, 4.1857, 3.7218, 3.3916, 3.1991, 3.1419, 3.2107, 3.3905, 3.6633, 4.0095, 4.4101, 4.8483, 5.3091, 5.7806, 6.2533, 6.7197, 7.1744, 7.6134, 8.0338, 8.4337, 8.8121, 9.1683, 9.5021, 9.8137, 10.1036 ] }, { "label": "2OCT26", "values": [ 3.7191, 3.5751, 3.4338, 3.2954, 3.1603, 3.0286, 2.9007, 2.7769, 2.6573, 2.5422, 2.4318, 2.3261, 2.2251, 2.1288, 2.0373, 1.9503, 1.8677, 1.7892, 1.7145, 1.6434, 1.5756, 1.5107, 1.4485, 1.3885, 1.3306, 1.2744, 1.2195, 1.1657, 1.1129, 1.0606, 1.0087, 0.9569, 0.9053, 0.8534, 0.8014, 0.749, 0.6962, 0.643, 0.5892, 0.535, 0.4803 ] }, { "label": "30OCT26", "values": [ 1.3685, 1.3557, 1.3355, 1.3082, 1.274, 1.2332, 1.1863, 1.1339, 1.0766, 1.015, 0.9501, 0.8828, 0.8138, 0.7444, 0.6756, 0.6083, 0.5436, 0.4824, 0.4259, 0.3747, 0.3296, 0.2913, 0.2602, 0.2368, 0.2212, 0.2137, 0.214, 0.2224, 0.2383, 0.2615, 0.2918, 0.3287, 0.3717, 0.4201, 0.4738, 0.532, 0.5944, 0.6603, 0.7293, 0.801, 0.875 ] }, { "label": "25DEC26", "values": [ 1.3591, 1.2941, 1.227, 1.1584, 1.0889, 1.0188, 0.9489, 0.8798, 0.8121, 0.7464, 0.6833, 0.6235, 0.5676, 0.516, 0.4692, 0.4276, 0.3917, 0.3616, 0.3376, 0.3196, 0.3078, 0.302, 0.3019, 0.3077, 0.3185, 0.3344, 0.3547, 0.3789, 0.4066, 0.4372, 0.4702, 0.505, 0.5411, 0.578, 0.6151, 0.6519, 0.6882, 0.7233, 0.757, 0.7889, 0.8187 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "headline": "Solana options price richer convexity as front-end volatility firms", "standfirst": "Solana three-month BF25 rose 0.88 volatility points to 5.36% at the 16:30 UTC cutoff, a notable 87th percentile move in comparable history that lifted the premium for wings relative to at-the-money volatility. Solana one-week ATM IV also rose 2.00 points to 55.38%, while front-end ATM IV averaged 54.21%, up 1.26 points. Solana’s 24-hour spot return was unavailable in the realised-volatility comparison.", "days": [ { "reportDate": "2026-09-20", "headline": "Solana convexity premium rises", "summary": "Solana three-month BF25 increased notably while one-week ATM implied volatility moved higher.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying Solana-specific crypto news context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options price richer convexity as front-end volatility firms", "standfirst": "Solana three-month BF25 rose 0.88 volatility points to 5.36% at the 16:30 UTC cutoff, a notable 87th percentile move in comparable history that lifted the premium for wings relative to at-the-money volatility. Solana one-week ATM IV also rose 2.00 points to 55.38%, while front-end ATM IV averaged 54.21%, up 1.26 points. Solana’s 24-hour spot return was unavailable in the realised-volatility comparison.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-18", "asOfTimestamp": "2026-09-18T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session context returned for the 2026-09-18 US close; requested as_of was 2026-09-20T16:30:00+00:00. The crypto-to-SPX realised-volatility ratio was 7.56, at the 74.0 percentile across 231 prior observations. The 60-session crypto-SPX return correlation was 0.28 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 7.56, at the 74.0 percentile across 231 prior observations.", "The 60-session crypto-SPX return correlation was 0.28 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 54.7, "vix": 14.8100004196167, "vix9d": 12.270000457763672, "vix3m": 18.239999771118164, "ivSpread": 39.889999580383304, "ivRatio": 3.69345026672293, "cryptoRealisedVol20d": 70.89198380461573, "spxRealisedVol20": 9.376313403524426, "rvSpread": 61.515670401091306, "rvRatio": 7.560752371819016, "rvSpreadPercentile": 47.18614718614719, "rvSpreadPercentileSampleCount": 231, "rvRatioPercentile": 74.02597402597402, "rvRatioPercentileSampleCount": 231, "returnCorrelation30": 0.39052830588581033, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2819583453579083, "returnCorrelation60SampleCount": 60 }, "methodology": "Derivasys cross-asset metrics at 2026-09-18T20:00:00Z; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790526601191, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.38, "previous": 53.38, "change": 2.0, "percentChange": 3.75 }, "rr25": { "current": 1.04, "previous": 1.79, "change": -0.75, "percentChange": -41.9 }, "bf25": { "current": 4.36, "previous": 3.97, "change": 0.39, "percentChange": 9.82 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.0, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 75.0, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "rr25": { "absoluteMove": 0.75, "movePercentile30d": 26.1, "movePercentileFullHistory": 26.1, "currentLevelPercentileFullHistory": 37.5, "classificationPercentile": 26.1, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 47.8, "movePercentileFullHistory": 47.8, "currentLevelPercentileFullHistory": 58.3, "classificationPercentile": 47.8, "label": "routine", "observations30d": 23, "observationsFullHistory": 23, "levelObservationsFullHistory": 24 } } } } ], "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": 55.38, "lowest": 33.98, "spread": 21.4, "highestToLowestRatio": 1.6298, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.38, "values": [ { "asset": "BTC", "value": 33.98 }, { "asset": "ETH", "value": 48.08 }, { "asset": "SOL", "value": 55.38 } ], "previousSpread": 19.1, "spreadChange": 2.3, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "ETH", "highest": 2.0, "lowest": -0.34, "spread": 2.34, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.0, "values": [ { "asset": "BTC", "value": -0.3 }, { "asset": "ETH", "value": -0.34 }, { "asset": "SOL", "value": 2.0 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 1.04, "lowest": -0.11, "spread": 1.15, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 1.04, "values": [ { "asset": "BTC", "value": -0.11 }, { "asset": "ETH", "value": 0.82 }, { "asset": "SOL", "value": 1.04 } ], "previousSpread": 1.84, "spreadChange": -0.69, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "SOL", "laggard": "ETH", "highest": -0.75, "lowest": -1.99, "spread": 1.24, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.99, "values": [ { "asset": "BTC", "value": -1.08 }, { "asset": "ETH", "value": -1.99 }, { "asset": "SOL", "value": -0.75 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": 2.0 }, "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": -3.14, "lowest": -4.32, "spread": 1.18, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -4.32, "values": [ { "asset": "BTC", "value": -3.14 }, { "asset": "ETH", "value": -4.32 }, { "asset": "SOL", "value": null } ] }, "spotPerformance24h": { "leader": "BTC", "laggard": "ETH", "highest": -0.83, "lowest": -1.03, "spread": 0.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.03, "values": [ { "asset": "BTC", "value": -0.83 }, { "asset": "ETH", "value": -1.03 }, { "asset": "SOL", "value": null } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 55.38, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 48.08, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 33.98, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": 2.0, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -0.3, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -0.34, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": 2.0, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -0.34, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "BTC", "value": -0.3, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "rank": 1, "asset": "BTC", "value": -3.14, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -4.32, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 1.04, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 0.82, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": -0.11, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -0.11, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 0.82, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "SOL", "value": 1.04, "previousRank": 2, "rankChange": -1 } ], "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": -0.83, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "ETH", "value": -1.03, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "SOL", "value": 2.0, "groupMedian": -0.3, "distanceFromMedian": 2.3 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 33.98, "groupMedian": 48.08, "distanceFromMedian": -14.1 }, { "metric": "1W RR25 level", "asset": "BTC", "value": -0.11, "groupMedian": 0.82, "distanceFromMedian": -0.93 } ], "relativeValueObservation": { "richestAsset": "BTC", "cheapestAsset": "ETH", "spread": 1.18, "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 1.18-point cross-sectional range." }, "historicalContext": { "minimumObservations": 20, "observations": 22, "oneWeekAtmIvLevelDispersionPercentile": 81.8, "oneWeekAtmIvChangeDispersionPercentile": 36.4, "oneWeekRr25LevelDispersionPercentile": 22.7, "termStructureDispersionPercentile": null, "ivMinusRealisedDispersionPercentile": 40.9, "availabilityNote": null }, "correlations": { "metric": "spotMove24hPercent", "minimumObservations": 10, "lookbackObservations": 30, "pairs": [ { "assets": [ "BTC", "ETH" ], "value": 0.8797, "observations": 23 }, { "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": 2.0, "lowest": -0.34, "spread": 2.34, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 2.0, "values": [ { "asset": "BTC", "value": -0.3 }, { "asset": "ETH", "value": -0.34 }, { "asset": "SOL", "value": 2.0 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 55.38, "lowest": 33.98, "spread": 21.4, "highestToLowestRatio": 1.6298, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 55.38, "values": [ { "asset": "BTC", "value": 33.98 }, { "asset": "ETH", "value": 48.08 }, { "asset": "SOL", "value": 55.38 } ], "previousSpread": 19.1, "spreadChange": 2.3, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 1.04, "lowest": -0.11, "spread": 1.15, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 1.04, "values": [ { "asset": "BTC", "value": -0.11 }, { "asset": "ETH", "value": 0.82 }, { "asset": "SOL", "value": 1.04 } ], "previousSpread": 1.84, "spreadChange": -0.69, "dispersionDirection": "compressing" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": "BTC", "laggard": "ETH", "highest": -3.14, "lowest": -4.32, "spread": 1.18, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -4.32, "values": [ { "asset": "BTC", "value": -3.14 }, { "asset": "ETH", "value": -4.32 }, { "asset": "SOL", "value": null } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage points", "leader": "BTC", "laggard": "ETH", "highest": -0.83, "lowest": -1.03, "spread": 0.2, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -1.03, "values": [ { "asset": "BTC", "value": -0.83 }, { "asset": "ETH", "value": -1.03 }, { "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": "2026-09-20T16:30:00+00:00", "window": { "startAt": "2026-09-19T16:30:00+00:00", "endAt": "2026-09-20T16:30:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Solana volatility pulls further above Bitcoin", "standfirst": "Major-coin one-week ATM IV dispersion widened 2.30 volatility points to 21.40 points at the cutoff, with Solana one-week ATM IV at 55.38% and Bitcoin one-week ATM IV at 33.98%. Solana also posted the largest one-week ATM IV change, rising 2.00 points, while Bitcoin and Ether one-week ATM IV each edged lower. The widening relative-volatility gap ranked at the 81.8 percentile of the available history.", "days": [ { "reportDate": "2026-09-20", "headline": "Solana extends major-coin volatility lead", "summary": "One-week implied-volatility dispersion widened as Solana rose while Bitcoin and Ether edged lower.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "The Block reported Bitcoin ETF inflows and a reversal in Ether fund-flow momentum.", "events": [ { "eventId": "778fac37-92fe-4da0-b881-d566c653f62a", "title": "Bitcoin ETFs eke out positive week with $433 million Friday inflow as ether funds snap four-week inflow streak", "publisher": "The Block", "url": "https://www.theblock.co/news/markets/2026-09-19-bitcoin-etfs-eke-out-positive-week-with-433-million-friday-inflow-as-ether-funds-snap-four-week-inflow-streak-415871", "publishedAt": "2026-09-19T18:01:09+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 0.2333333333333333, "rr25Change": -0.7833333333333333, "bf25Change": 0.09666666666666666 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana widens the major-coin volatility divide", "executiveSummary": "Solana’s 55.38% one-week ATM IV stood 21.40 volatility points above Bitcoin’s 33.98%, widening the major-coin level spread by 2.30 points. Solana’s 2.00-point one-week ATM IV increase contrasted with small declines for Bitcoin and Ether.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "The Block reported a $433 million Friday net inflow for Bitcoin ETFs and said Ether funds ended a four-week inflow streak.", "marketContextSummary": "The ETF-flow report offers context for Bitcoin and Ether, but it does not establish a direct explanation for the three-asset volatility dispersion.", "marketContext": [ { "title": "ETF flows and major-coin dispersion", "explanation": "The retained report concerns Bitcoin and Ether fund flows, whereas the measured one-week ATM IV gap is between Solana and Bitcoin; no direct explanatory link is established.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } ], "newsEvidenceIds": [ "778fac37-92fe-4da0-b881-d566c653f62a" ] } }