{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:43:38+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "Major-coin one-week ATM IV dispersion widened by 1.09 volatility points to 24.35 points, with Solana at 63.31% and Bitcoin at 38.96% at the cutoff. Derivasys data show Solana also posted the largest one-week ATM IV increase, 5.85 volatility points, while Ether’s 2.65-point increase was smallest. The one-week RR25 gap widened as Solana became more call-rich relative to Bitcoin.", "marketSummary": "Solana’s 63.31% one-week ATM IV exceeded Bitcoin’s 38.96% by 24.35 volatility points, widening the cross-major gap by 1.09 points. Solana’s 5.85-point one-week ATM IV increase led Bitcoin’s 4.76-point move and Ether’s 2.65-point move.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-21", "artifactId": "sha256:061c5914a1f88a2a6abca37eb1f30b31cc0d86e869689580b2011537f89751b2", "contentSha256": "a75194dfdd1d2d97af15ccb12f730a12cf3a74a5348810618ddd1c844e1ef2da", "currentSnapshotId": 436253, "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotId": 427787, "previousSnapshotAt": "2026-09-20T18:42:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-21", "artifactId": "sha256:2eb6b7fd772849ec74432750f6f88c2db5e5a62558c09985efe5c5b1a69c7f44", "contentSha256": "ba29d1c69eb8ad56f098adaec5744a91170047127f5dd703925627215f3c3c34", "currentSnapshotId": 436254, "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotId": 427788, "previousSnapshotAt": "2026-09-20T18:42:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-21", "artifactId": "sha256:779a46f2e4c57bdeb576ad66409168c577f7e18bc8040d0c016a737dfd1ec4be", "contentSha256": "731c0fac39bbbefc7150fa1e5bc2f66c6a0a57a5f9f21d221e7ad90879571b5e", "currentSnapshotId": 436257, "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotId": 427786, "previousSnapshotAt": "2026-09-20T18:42:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:42:59+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436253, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427787, "timestamp": "2026-09-20T18:42:00+00:00" } }, "windowHours": 24.0, "currency": "BTC", "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-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 changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical BTC index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.21436084, "previousObjective": 0.08168674, "currentLiveError": 140.25702718, "previousLiveError": 110.58986028 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin one-week volatility posts a large upward repricing", "executiveSummary": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96%, placing the move at the 91.3 percentile of 150 comparable observations. The front-end ATM IV average increased 3.54 volatility points to 37.58%, against a 0.93-point rise in the long-end ATM IV average to 39.46%.", "evidenceIds": [ "largest-standard-tenor", "rr25" ], "newsSummary": "News check: The Defiant reported that Bitcoin reached its highest level since January. The report is context only, not an established explanation for the options repricing.", "marketContextSummary": "The retained Bitcoin price report coincided with the observation window, but no measured event reaction establishes a direct link to the volatility repricing.", "marketContext": [ { "title": "Bitcoin price report and volatility repricing", "explanation": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96%, while The Defiant reported a January-high Bitcoin print. The timing is contextual only; the available evidence does not establish causation.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "largest-standard-tenor" ], "newsEvidenceIds": [ "8239be5f-867d-4c94-94a3-c038ff264ca9" ] } ], "newsEvidenceIds": [ "8239be5f-867d-4c94-94a3-c038ff264ca9" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +3.54 volatility points to 37.58% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.93 volatility points to 39.46% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.66 volatility points to -0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.29 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.76 volatility points at 1W, to 38.96%.", "tenor": "1W", "value": 4.76 } ] }, "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": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 27, "hasMore": false, "nextCursor": null, "resultSha256": "4f67434fad5a80a894c82b12dc82c30a63effa770288e51c95d32cc537c6ee30" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] }, { "arguments": { "assets": [ "BTC" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 27, "hasMore": false, "nextCursor": null, "resultSha256": "4f67434fad5a80a894c82b12dc82c30a63effa770288e51c95d32cc537c6ee30" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 4, "macroQueries": 18, "canonicalEventsConsidered": 4, "publishersRepresented": 3, "discoveryEventsScanned": 1140, "upstreamFeedCount": null, "coverageNote": "The local news MCP exposes canonical events, not its upstream feed inventory; legacy feed-count fields below describe the single MCP endpoint and are not comparable with the former RSS collector." }, "selection": { "feedsQueried": 1, "publishersQueried": 3, "feedEntriesScanned": 7, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 4, "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": "8239be5f-867d-4c94-94a3-c038ff264ca9", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "c7007b2d-2313-45ec-9539-92a1b94ef328", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" }, { "eventId": "298cf57d-cb84-4f9b-ae2d-9f29d9a11f12", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" }, { "eventId": "8bdcd0ef-1c5a-4405-90e3-b01be61b547c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "5e829829-7e61-4e10-96e6-5b9a3e19186c", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Defiant’s single-source report links BTC’s January-high print with an 8% crude decline, making it useful context. It is not treated as a driver: catalyst score is below the possible-driver threshold and no measured event reaction was requested.", "eventsSelected": 1 }, "items": [ { "id": "8239be5f-867d-4c94-94a3-c038ff264ca9", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00", "summary": "Bitcoin traded as high as $86,355 on Coinbase, its best level since Jan. 29, in a leg that started in the 8 a.m.", "matchedTerms": [ "BTC", "Bitcoin", "Coinbase", "Nasdaq Composite", "West Texas Intermediate" ], "topics": [ "exchange", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 43, "quality": { "eligible": true, "score": 42.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.534, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1354, "effectiveCatalystScore": 0.1354, "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 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f14cea3ad037" } ], "events": [ { "event_cluster_id": "market-event-f14cea3ad037", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "8239be5f-867d-4c94-94a3-c038ff264ca9", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00", "summary": "Bitcoin traded as high as $86,355 on Coinbase, its best level since Jan. 29, in a leg that started in the 8 a.m.", "matchedTerms": [ "BTC", "Bitcoin", "Coinbase", "Nasdaq Composite", "West Texas Intermediate" ], "topics": [ "exchange", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 43, "quality": { "eligible": true, "score": 42.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.534, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1354, "effectiveCatalystScore": 0.1354, "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 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f14cea3ad037" }, "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-f14cea3ad037", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "8239be5f-867d-4c94-94a3-c038ff264ca9", "sourceId": "the_defiant", "publisher": "The Defiant", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00", "summary": "Bitcoin traded as high as $86,355 on Coinbase, its best level since Jan. 29, in a leg that started in the 8 a.m.", "matchedTerms": [ "BTC", "Bitcoin", "Coinbase", "Nasdaq Composite", "West Texas Intermediate" ], "topics": [ "exchange", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 43, "quality": { "eligible": true, "score": 42.9, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.69, "importance": 0.534, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.1354, "effectiveCatalystScore": 0.1354, "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 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD", "ATM IV 1W: up 4.76 points to 38.96%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 24SEP26: +4715.63 USD (+5.80%) to 85954.72 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-f14cea3ad037" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV rose 4.76 volatility points to 38.96%, a large move at the 91st percentile among 150 comparable historical observations. Front-end ATM IV averaged 37.58%, +3.54 points from the prior snapshot, while the long end averaged 39.46%, +0.93 points. 3M RR25 moved 1.13 volatility points toward calls to -0.46%, leaving puts richer than calls. 2W BF25 rose 0.46 volatility points to 2.21%. The nearest eligible forward, 24SEP26, rose $4,715.63 (+5.80%) to $85,954.72. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 87, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "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 +3.54 volatility points to 37.58% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.93 volatility points to 39.46% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.66 volatility points to -0.29% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.29 volatility points to 2.26% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +4.76 volatility points at 1W, to 38.96%.", "tenor": "1W", "value": 4.76 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 2.65, "rr25Change": 0.66, "bf25Change": 0.29, "largestAtmMove": { "tenor": "1W", "current": 38.96, "previous": 34.2, "change": 4.76, "historicalSignificance": { "absoluteMove": 4.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 79.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } }, "frontEndAverageAtm": { "current": 37.58, "previous": 34.04, "change": 3.54 }, "longEndAverageAtm": { "current": 39.46, "previous": 38.53, "change": 0.93 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "3M", "current": -0.46, "previous": -1.59, "change": 1.13, "historicalSignificance": { "absoluteMove": 1.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.7, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 92.7, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "direction": "toward calls", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 2.21, "previous": 1.75, "change": 0.46, "historicalSignificance": { "absoluteMove": 0.46, "movePercentile30d": 90.0, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 70.2, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } }, "nearestEligibleForwardMove": { "label": "24SEP26", "daysToExpiry": 2.554, "current": 85954.72, "previous": 81239.09, "change": 4715.63, "percentChange": 5.8 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.96, "previous": 34.2, "change": 4.76, "percentChange": 13.92 }, "rr25": { "current": -0.22, "previous": -0.61, "change": 0.39, "percentChange": 63.93 }, "bf25": { "current": 2.22, "previous": 1.83, "change": 0.39, "percentChange": 21.31 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 79.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 30.0, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 84.8, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 80.0, "movePercentileFullHistory": 78.0, "currentLevelPercentileFullHistory": 74.2, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "2W", "targetExpiry": 1791225720052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.49, "previous": 33.83, "change": 3.66, "percentChange": 10.82 }, "rr25": { "current": 0.23, "previous": -0.45, "change": 0.68, "percentChange": 151.11 }, "bf25": { "current": 2.21, "previous": 1.75, "change": 0.46, "percentChange": 26.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.66, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.0, "currentLevelPercentileFullHistory": 71.5, "classificationPercentile": 92.0, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.68, "movePercentile30d": 46.7, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 89.4, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.46, "movePercentile30d": 90.0, "movePercentileFullHistory": 88.0, "currentLevelPercentileFullHistory": 70.2, "classificationPercentile": 90.0, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "1M", "targetExpiry": 1792608120052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.3, "previous": 34.09, "change": 2.21, "percentChange": 6.48 }, "rr25": { "current": -0.56, "previous": -1.22, "change": 0.66, "percentChange": 54.1 }, "bf25": { "current": 2.18, "previous": 1.8, "change": 0.38, "percentChange": 21.11 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.21, "movePercentile30d": 83.3, "movePercentileFullHistory": 89.3, "currentLevelPercentileFullHistory": 47.7, "classificationPercentile": 89.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.66, "movePercentile30d": 56.7, "movePercentileFullHistory": 64.7, "currentLevelPercentileFullHistory": 88.1, "classificationPercentile": 64.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.38, "movePercentile30d": 93.3, "movePercentileFullHistory": 90.7, "currentLevelPercentileFullHistory": 51.0, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "3M", "targetExpiry": 1797878520052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.66, "previous": 36.98, "change": 1.68, "percentChange": 4.54 }, "rr25": { "current": -0.46, "previous": -1.59, "change": 1.13, "percentChange": 71.07 }, "bf25": { "current": 2.2, "previous": 2.03, "change": 0.17, "percentChange": 8.37 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.68, "movePercentile30d": 90.0, "movePercentileFullHistory": 94.0, "currentLevelPercentileFullHistory": 49.7, "classificationPercentile": 94.0, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 1.13, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.7, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 92.7, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.17, "movePercentile30d": 83.3, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 25.2, "classificationPercentile": 84.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "6M", "targetExpiry": 1805740920052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.46, "previous": 38.53, "change": 0.93, "percentChange": 2.41 }, "rr25": { "current": -0.46, "previous": -0.88, "change": 0.42, "percentChange": 47.73 }, "bf25": { "current": 2.48, "previous": 2.42, "change": 0.06, "percentChange": 2.48 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.93, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.3, "currentLevelPercentileFullHistory": 6.6, "classificationPercentile": 93.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.42, "movePercentile30d": 70.0, "movePercentileFullHistory": 78.0, "currentLevelPercentileFullHistory": 92.7, "classificationPercentile": 78.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 46.7, "movePercentileFullHistory": 49.3, "currentLevelPercentileFullHistory": 37.7, "classificationPercentile": 49.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "9M", "targetExpiry": 1813603320052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 40.37, "previous": 39.64, "change": 0.73, "percentChange": 1.84 }, "rr25": { "current": -0.28, "previous": -0.73, "change": 0.45, "percentChange": 61.64 }, "bf25": { "current": 2.56, "previous": 2.49, "change": 0.07, "percentChange": 2.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.73, "movePercentile30d": 86.7, "movePercentileFullHistory": 92.7, "currentLevelPercentileFullHistory": 6.0, "classificationPercentile": 92.7, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.45, "movePercentile30d": 73.3, "movePercentileFullHistory": 85.3, "currentLevelPercentileFullHistory": 93.4, "classificationPercentile": 85.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 63.3, "movePercentileFullHistory": 61.3, "currentLevelPercentileFullHistory": 44.4, "classificationPercentile": 63.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } }, { "tenor": "1Y", "targetExpiry": 1821552120052, "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": "22SEP26", "expiry": 1790064000000, "tauYears": 0.00151829, "daysToExpiry": 0.554, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 85931.11, "previous": 81221.7, "change": 4709.41, "percentChange": 5.8 }, "atmIv": { "current": 33.24, "previous": 32.97, "change": 0.27, "percentChange": 0.82 }, "rr25": { "current": 0.0, "previous": -1.32, "change": 1.32, "percentChange": 100.0 }, "bf25": { "current": 1.64, "previous": 2.18, "change": -0.54, "percentChange": -24.77 }, "svi": { "a": { "current": -0.0534, "previous": -0.0269, "change": -0.0265, "percentChange": -98.66 }, "b": { "current": 0.1057, "previous": 0.087, "change": 0.0187, "percentChange": 21.54 }, "rho": { "current": -0.0009, "previous": -0.0542, "change": 0.0533, "percentChange": 98.36 }, "m": { "current": -0.0004, "previous": -0.0125, "change": 0.0121, "percentChange": 97.17 }, "sigma": { "current": 0.5063, "previous": 0.3146, "change": 0.1918, "percentChange": 60.96 } }, "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": [ 241.6776, 230.6054, 219.4416, 208.1901, 196.8561, 185.4454, 173.9655, 162.4255, 150.8367, 139.2135, 127.5742, 115.9433, 104.3541, 92.8541, 81.5142, 70.446, 59.8354, 50.0097, 41.5628, 35.5212, 33.2422, 35.4641, 41.4646, 49.8863, 59.6965, 70.2965, 81.3567, 92.6898, 104.1836, 115.7669, 127.3918, 139.0251, 150.642, 162.2244, 173.7577, 185.2308, 196.6344, 207.9612, 219.2051, 230.3613, 241.4258 ], "previous": [ 164.8004, 157.9739, 151.0479, 144.0239, 136.9047, 129.6945, 122.3992, 115.0272, 107.5895, 100.101, 92.5817, 85.0584, 77.5674, 70.1585, 62.9025, 55.9011, 49.3047, 43.3377, 38.3287, 34.7187, 32.9804, 33.4025, 35.8905, 40.0334, 45.3459, 51.4295, 58.0031, 64.8791, 71.9329, 79.0807, 86.2649, 93.4451, 100.5927, 107.687, 114.7132, 121.6605, 128.5214, 135.2906, 141.9647, 148.5417, 155.0204 ], "change": [ 76.8772, 72.6315, 68.3937, 64.1662, 59.9514, 55.7509, 51.5663, 47.3983, 43.2472, 39.1125, 34.9925, 30.8849, 26.7867, 22.6956, 18.6117, 14.5449, 10.5307, 6.672, 3.2341, 0.8025, 0.2618, 2.0616, 5.5741, 9.8529, 14.3506, 18.867, 23.3536, 27.8107, 32.2507, 36.6862, 41.1269, 45.58, 50.0493, 54.5374, 59.0445, 63.5703, 68.113, 72.6706, 77.2404, 81.8196, 86.4054 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 25.46, "rotation": 6.134, "wingChange": 37.798, "rmsChange": 46.942 } }, { "label": "23SEP26", "expiry": 1790150400000, "tauYears": 0.00425802, "daysToExpiry": 1.554, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 85951.77, "previous": 81230.1, "change": 4721.67, "percentChange": 5.81 }, "atmIv": { "current": 38.41, "previous": 33.46, "change": 4.95, "percentChange": 14.79 }, "rr25": { "current": -1.32, "previous": -1.9, "change": 0.58, "percentChange": 30.53 }, "bf25": { "current": 1.98, "previous": 2.08, "change": -0.1, "percentChange": -4.81 }, "svi": { "a": { "current": -0.0643, "previous": -0.048, "change": -0.0164, "percentChange": -34.1 }, "b": { "current": 0.1194, "previous": 0.1126, "change": 0.0068, "percentChange": 6.08 }, "rho": { "current": -0.0631, "previous": -0.0702, "change": 0.0071, "percentChange": 10.14 }, "m": { "current": -0.0286, "previous": -0.0215, "change": -0.007, "percentChange": -32.62 }, "sigma": { "current": 0.545, "previous": 0.4341, "change": 0.1109, "percentChange": 25.55 } }, "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": [ 156.4572, 149.6002, 142.7142, 135.8048, 128.8787, 121.9439, 115.0099, 108.0885, 101.1942, 94.3447, 87.563, 80.8781, 74.3283, 67.9644, 61.8551, 56.0939, 50.8086, 46.1702, 42.3964, 39.7364, 38.4208, 38.5826, 40.1962, 43.0887, 47.0128, 51.7213, 57.0065, 62.7089, 68.7105, 74.9254, 81.291, 87.7609, 94.3006, 100.8839, 107.4904, 114.1044, 120.7134, 127.3075, 133.8787, 140.4205, 146.9276 ], "previous": [ 132.4896, 126.9119, 121.2926, 115.6358, 109.947, 104.2328, 98.5013, 92.7624, 87.0286, 81.3155, 75.6425, 70.0348, 64.5247, 59.1551, 53.9828, 49.0847, 44.5641, 40.5585, 37.2426, 34.8186, 33.4811, 33.3568, 34.4506, 36.6419, 39.7356, 43.524, 47.8257, 52.4976, 57.4321, 62.5504, 67.7942, 73.1205, 78.4973, 83.9002, 89.3108, 94.7146, 100.1005, 105.4598, 110.7856, 116.0726, 121.3164 ], "change": [ 23.9676, 22.6883, 21.4216, 20.169, 18.9317, 17.7111, 16.5086, 15.3261, 14.1656, 13.0292, 11.9205, 10.8433, 9.8036, 8.8093, 7.8723, 7.0092, 6.2445, 5.6117, 5.1538, 4.9178, 4.9397, 5.2258, 5.7456, 6.4468, 7.2772, 8.1973, 9.1808, 10.2113, 11.2784, 12.375, 13.4968, 14.6404, 15.8033, 16.9837, 18.1796, 19.3898, 20.6129, 21.8477, 23.0931, 24.3479, 25.6112 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 10.119, "rotation": 1.576, "wingChange": 7.769, "rmsChange": 14.989 } }, { "label": "24SEP26", "expiry": 1790236800000, "tauYears": 0.00699774, "daysToExpiry": 2.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 85954.72, "previous": 81239.09, "change": 4715.63, "percentChange": 5.8 }, "atmIv": { "current": 39.31, "previous": 33.8, "change": 5.51, "percentChange": 16.3 }, "rr25": { "current": -0.28, "previous": -0.44, "change": 0.16, "percentChange": 36.36 }, "bf25": { "current": 2.58, "previous": 2.1, "change": 0.48, "percentChange": 22.86 }, "svi": { "a": { "current": -0.0625, "previous": -0.0688, "change": 0.0062, "percentChange": 9.05 }, "b": { "current": 0.1323, "previous": 0.1354, "change": -0.003, "percentChange": -2.22 }, "rho": { "current": -0.0155, "previous": -0.0278, "change": 0.0123, "percentChange": 44.29 }, "m": { "current": -0.0057, "previous": -0.0115, "change": 0.0057, "percentChange": 50.02 }, "sigma": { "current": 0.4808, "previous": 0.5165, "change": -0.0357, "percentChange": -6.91 } }, "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": [ 134.5261, 128.8419, 123.1277, 117.3891, 111.6329, 105.8674, 100.1027, 94.3515, 88.6293, 82.9557, 77.3552, 71.8595, 66.5089, 61.356, 56.4696, 51.9387, 47.8774, 44.4262, 41.7461, 39.9991, 39.3135, 39.7448, 41.2551, 43.7272, 47.002, 50.9153, 55.321, 60.0994, 65.1564, 70.4195, 75.8333, 81.3551, 86.9522, 92.5989, 98.2749, 103.9643, 109.6543, 115.3344, 120.9963, 126.6332, 132.2395 ], "previous": [ 112.8172, 108.0427, 103.2499, 98.4436, 93.6299, 88.816, 84.0107, 79.2248, 74.4714, 69.7669, 65.1322, 60.5931, 56.1833, 51.9455, 47.9354, 44.2241, 40.9016, 38.077, 35.874, 34.416, 33.8011, 34.0745, 35.2127, 37.1316, 39.7122, 42.8277, 46.3622, 50.2185, 54.3189, 58.6029, 63.0236, 67.5448, 72.1382, 76.7819, 81.4585, 86.1541, 90.8574, 95.5596, 100.2532, 104.9321, 109.5916 ], "change": [ 21.7089, 20.7992, 19.8778, 18.9455, 18.003, 17.0514, 16.092, 15.1267, 14.1579, 13.1888, 12.223, 11.2664, 10.3256, 9.4105, 8.5342, 7.7146, 6.9758, 6.3492, 5.8721, 5.5831, 5.5124, 5.6703, 6.0424, 6.5956, 7.2898, 8.0876, 8.9588, 9.8809, 10.8375, 11.8166, 12.8097, 13.8103, 14.814, 15.817, 16.8164, 17.8102, 18.7969, 19.7748, 20.7431, 21.7011, 22.6479 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 10.182, "rotation": 0.587, "wingChange": 7.004, "rmsChange": 14.118 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.00973747, "daysToExpiry": 3.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 85968.21, "previous": 81255.28, "change": 4712.93, "percentChange": 5.8 }, "atmIv": { "current": 40.0, "previous": 34.56, "change": 5.44, "percentChange": 15.74 }, "rr25": { "current": -1.56, "previous": -1.44, "change": -0.12, "percentChange": -8.33 }, "bf25": { "current": 2.34, "previous": 1.88, "change": 0.46, "percentChange": 24.47 }, "svi": { "a": { "current": -0.0798, "previous": -0.0831, "change": 0.0033, "percentChange": 4.02 }, "b": { "current": 0.1411, "previous": 0.1398, "change": 0.0013, "percentChange": 0.91 }, "rho": { "current": -0.005, "previous": -0.0518, "change": 0.0468, "percentChange": 90.35 }, "m": { "current": 0.0068, "previous": -0.0208, "change": 0.0276, "percentChange": 132.73 }, "sigma": { "current": 0.5764, "previous": 0.6058, "change": -0.0294, "percentChange": -4.86 } }, "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": [ 113.6185, 109.0718, 104.5194, 99.967, 95.421, 90.8895, 86.3817, 81.9089, 77.4848, 73.126, 68.8529, 64.6903, 60.6691, 56.8271, 53.2111, 49.8775, 46.8935, 44.3358, 42.2873, 40.8285, 40.027, 39.9236, 40.5237, 41.7955, 43.6777, 46.0919, 48.9548, 52.1873, 55.7192, 59.4911, 63.4536, 67.5665, 71.7971, 76.119, 80.5106, 84.9545, 89.4362, 93.944, 98.468, 102.9999, 107.533 ], "previous": [ 98.7971, 94.794, 90.791, 86.7929, 82.8058, 78.8365, 74.8932, 70.9859, 67.1263, 63.3287, 59.6107, 55.9935, 52.5034, 49.1724, 46.0401, 43.154, 40.5705, 38.3538, 36.5729, 35.2951, 34.5763, 34.4504, 34.9219, 35.9643, 37.5261, 39.5414, 41.9396, 44.6537, 47.6239, 50.7993, 54.138, 57.6053, 61.1734, 64.8198, 68.526, 72.2771, 76.0609, 79.8673, 83.6881, 87.5163, 91.3462 ], "change": [ 14.8214, 14.2778, 13.7284, 13.1741, 12.6152, 12.053, 11.4885, 10.923, 10.3585, 9.7973, 9.2422, 8.6968, 8.1657, 7.6547, 7.171, 6.7235, 6.323, 5.982, 5.7144, 5.5334, 5.4507, 5.4732, 5.6018, 5.8312, 6.1516, 6.5505, 7.0152, 7.5336, 8.0953, 8.6918, 9.3156, 9.9612, 10.6237, 11.2992, 11.9846, 12.6774, 13.3753, 14.0767, 14.7799, 15.4836, 16.1868 ], "classification": [ "parallel shift higher", "wing steepening" ], "parallelShift": 8.003, "rotation": 0.073, "wingChange": 3.828, "rmsChange": 10.297 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.02891555, "daysToExpiry": 10.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 86089.08, "previous": 81342.76, "change": 4746.32, "percentChange": 5.83 }, "atmIv": { "current": 38.59, "previous": 33.93, "change": 4.66, "percentChange": 13.73 }, "rr25": { "current": 0.27, "previous": 0.01, "change": 0.26, "percentChange": 2600.0 }, "bf25": { "current": 2.17, "previous": 1.79, "change": 0.38, "percentChange": 21.23 }, "svi": { "a": { "current": -0.1069, "previous": -0.1085, "change": 0.0016, "percentChange": 1.49 }, "b": { "current": 0.1664, "previous": 0.1634, "change": 0.003, "percentChange": 1.84 }, "rho": { "current": -0.1561, "previous": -0.1884, "change": 0.0323, "percentChange": 17.14 }, "m": { "current": -0.1077, "previous": -0.1326, "change": 0.0249, "percentChange": 18.78 }, "sigma": { "current": 0.6768, "previous": 0.6992, "change": -0.0224, "percentChange": -3.2 } }, "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": [ 72.3569, 69.8101, 67.2956, 64.8192, 62.3876, 60.0081, 57.689, 55.4397, 53.2706, 51.1933, 49.2207, 47.3668, 45.6468, 44.0767, 42.6733, 41.4532, 40.4325, 39.6256, 39.0445, 38.6977, 38.5895, 38.7196, 39.0831, 39.6707, 40.4697, 41.4647, 42.6386, 43.9739, 45.4529, 47.0585, 48.775, 50.5877, 52.4832, 54.4497, 56.4766, 58.5545, 60.6752, 62.8314, 65.0169, 67.226, 69.4541 ], "previous": [ 66.6731, 64.2408, 61.8382, 59.4703, 57.1432, 54.8636, 52.6389, 50.4777, 48.3896, 46.3854, 44.477, 42.6777, 41.0022, 39.466, 38.0857, 36.878, 35.8593, 35.0448, 34.4471, 34.0757, 33.9357, 34.0272, 34.3458, 34.882, 35.623, 36.553, 37.6546, 38.91, 40.3015, 41.8119, 43.4258, 45.1286, 46.9076, 48.7513, 50.6497, 52.5939, 54.5762, 56.5899, 58.6293, 60.6891, 62.7651 ], "change": [ 5.6838, 5.5693, 5.4574, 5.3489, 5.2444, 5.1445, 5.0501, 4.962, 4.881, 4.8079, 4.7437, 4.6891, 4.6446, 4.6107, 4.5876, 4.5752, 4.5732, 4.5808, 4.5974, 4.622, 4.6538, 4.6924, 4.7373, 4.7887, 4.8467, 4.9117, 4.984, 5.0639, 5.1514, 5.2466, 5.3492, 5.4591, 5.5756, 5.6984, 5.8269, 5.9606, 6.099, 6.2415, 6.3876, 6.5369, 6.689 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 4.916, "rotation": 0.605, "wingChange": 0.393, "rmsChange": 5.235 } }, { "label": "9OCT26", "expiry": 1791532800000, "tauYears": 0.04809364, "daysToExpiry": 17.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 86149.94, "previous": 81409.3, "change": 4740.64, "percentChange": 5.82 }, "atmIv": { "current": 36.79, "previous": 33.72, "change": 3.07, "percentChange": 9.1 }, "rr25": { "current": 0.2, "previous": -0.99, "change": 1.19, "percentChange": 120.2 }, "bf25": { "current": 2.24, "previous": 1.69, "change": 0.55, "percentChange": 32.54 }, "svi": { "a": { "current": -0.1029, "previous": -0.1264, "change": 0.0235, "percentChange": 18.6 }, "b": { "current": 0.1746, "previous": 0.1789, "change": -0.0043, "percentChange": -2.39 }, "rho": { "current": -0.1958, "previous": -0.2587, "change": 0.063, "percentChange": 24.34 }, "m": { "current": -0.127, "previous": -0.1876, "change": 0.0605, "percentChange": 32.28 }, "sigma": { "current": 0.6392, "previous": 0.7652, "change": -0.1259, "percentChange": -16.46 } }, "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": [ 62.1778, 60.1916, 58.238, 56.3221, 54.4494, 52.6259, 50.8584, 49.1542, 47.521, 45.9675, 44.5025, 43.1357, 41.877, 40.7363, 39.7236, 38.8484, 38.1192, 37.5436, 37.1273, 36.874, 36.7854, 36.8604, 37.0958, 37.4861, 38.024, 38.7006, 39.506, 40.4297, 41.461, 42.5891, 43.8038, 45.0952, 46.4543, 47.8726, 49.3424, 50.8567, 52.4092, 53.9942, 55.6067, 57.2423, 58.8968 ], "previous": [ 57.9815, 56.1568, 54.3638, 52.6063, 50.8886, 49.2153, 47.5916, 46.0228, 44.515, 43.0745, 41.7083, 40.4234, 39.2275, 38.1283, 37.1336, 36.251, 35.4879, 34.8508, 34.3452, 33.9754, 33.7441, 33.6524, 33.6994, 33.8825, 34.1973, 34.6382, 35.1981, 35.8692, 36.6432, 37.5116, 38.4657, 39.4971, 40.5978, 41.7603, 42.9775, 44.243, 45.5508, 46.8955, 48.2723, 49.6767, 51.105 ], "change": [ 4.1963, 4.0348, 3.8742, 3.7158, 3.5608, 3.4106, 3.2668, 3.1314, 3.006, 2.893, 2.7942, 2.7123, 2.6495, 2.608, 2.59, 2.5974, 2.6313, 2.6928, 2.7821, 2.8986, 3.0413, 3.208, 3.3964, 3.6036, 3.8267, 4.0624, 4.3079, 4.5605, 4.8178, 5.0775, 5.3381, 5.5981, 5.8565, 6.1123, 6.3649, 6.6137, 6.8584, 7.0987, 7.3344, 7.5656, 7.7918 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 3.725, "rotation": 2.544, "wingChange": 1.025, "rmsChange": 4.543 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10562788, "daysToExpiry": 38.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 86439.81, "previous": 81665.27, "change": 4774.54, "percentChange": 5.85 }, "atmIv": { "current": 36.14, "previous": 34.23, "change": 1.91, "percentChange": 5.58 }, "rr25": { "current": -0.8, "previous": -1.31, "change": 0.51, "percentChange": 38.93 }, "bf25": { "current": 2.16, "previous": 1.85, "change": 0.31, "percentChange": 16.76 }, "svi": { "a": { "current": -0.1069, "previous": -0.1218, "change": 0.0149, "percentChange": 12.25 }, "b": { "current": 0.1844, "previous": 0.1893, "change": -0.0049, "percentChange": -2.6 }, "rho": { "current": -0.2386, "previous": -0.2997, "change": 0.0611, "percentChange": 20.38 }, "m": { "current": -0.1448, "previous": -0.201, "change": 0.0561, "percentChange": 27.93 }, "sigma": { "current": 0.6737, "previous": 0.7442, "change": -0.0705, "percentChange": -9.47 } }, "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": [ 50.9643, 49.7878, 48.639, 47.5208, 46.436, 45.3876, 44.3788, 43.4128, 42.4928, 41.6224, 40.8047, 40.0431, 39.3409, 38.7012, 38.1269, 37.6205, 37.1845, 36.8207, 36.5306, 36.3151, 36.1747, 36.1093, 36.1182, 36.2002, 36.3535, 36.5761, 36.8653, 37.2183, 37.6319, 38.1027, 38.6272, 39.2019, 39.8233, 40.4877, 41.1919, 41.9323, 42.706, 43.5097, 44.3407, 45.1963, 46.0738 ], "previous": [ 48.9401, 47.7977, 46.6829, 45.5981, 44.5456, 43.5281, 42.5483, 41.6088, 40.7126, 39.8623, 39.061, 38.3114, 37.6163, 36.9783, 36.4, 35.8836, 35.4311, 35.0444, 34.7247, 34.473, 34.2898, 34.1753, 34.129, 34.1501, 34.2372, 34.3887, 34.6025, 34.8762, 35.2072, 35.5926, 36.0294, 36.5145, 37.0448, 37.6172, 38.2285, 38.8758, 39.5562, 40.2669, 41.0051, 41.7685, 42.5547 ], "change": [ 2.0242, 1.9901, 1.9561, 1.9227, 1.8904, 1.8595, 1.8305, 1.804, 1.7802, 1.7601, 1.7437, 1.7317, 1.7246, 1.7229, 1.7269, 1.7369, 1.7534, 1.7763, 1.8059, 1.8421, 1.8849, 1.934, 1.9892, 2.0501, 2.1163, 2.1874, 2.2628, 2.3421, 2.4247, 2.5101, 2.5978, 2.6874, 2.7785, 2.8705, 2.9634, 3.0565, 3.1498, 3.2428, 3.3356, 3.4278, 3.5191 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 2.075, "rotation": 0.854, "wingChange": 0.286, "rmsChange": 2.304 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.18234021, "daysToExpiry": 66.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 86782.54, "previous": 81988.52, "change": 4794.02, "percentChange": 5.85 }, "atmIv": { "current": 38.12, "previous": 36.22, "change": 1.9, "percentChange": 5.25 }, "rr25": { "current": -0.54, "previous": -1.25, "change": 0.71, "percentChange": 56.8 }, "bf25": { "current": 2.06, "previous": 1.87, "change": 0.19, "percentChange": 10.16 }, "svi": { "a": { "current": -0.1522, "previous": -0.1485, "change": -0.0037, "percentChange": -2.51 }, "b": { "current": 0.2473, "previous": 0.2341, "change": 0.0132, "percentChange": 5.63 }, "rho": { "current": -0.4322, "previous": -0.4336, "change": 0.0014, "percentChange": 0.33 }, "m": { "current": -0.3589, "previous": -0.3481, "change": -0.0108, "percentChange": -3.1 }, "sigma": { "current": 0.8013, "previous": 0.8184, "change": -0.0171, "percentChange": -2.09 } }, "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": [ 46.9445, 46.1807, 45.4454, 44.7398, 44.065, 43.4222, 42.8125, 42.2368, 41.696, 41.1912, 40.7231, 40.2923, 39.8996, 39.5453, 39.2299, 38.9536, 38.7166, 38.5187, 38.36, 38.24, 38.1583, 38.1145, 38.1079, 38.1376, 38.2028, 38.3025, 38.4356, 38.6011, 38.7976, 39.0241, 39.2791, 39.5615, 39.8699, 40.203, 40.5595, 40.9381, 41.3376, 41.7566, 42.1941, 42.6489, 43.1198 ], "previous": [ 45.6487, 44.8818, 44.1407, 43.4264, 42.74, 42.0828, 41.4557, 40.8598, 40.296, 39.7654, 39.2687, 38.8069, 38.3806, 37.9904, 37.6369, 37.3204, 37.0414, 36.7999, 36.596, 36.4296, 36.3006, 36.2085, 36.153, 36.1334, 36.149, 36.1991, 36.2827, 36.3988, 36.5465, 36.7246, 36.9318, 37.1671, 37.4292, 37.7168, 38.0287, 38.3637, 38.7204, 39.0977, 39.4944, 39.9093, 40.3412 ], "change": [ 1.2958, 1.2989, 1.3047, 1.3134, 1.325, 1.3394, 1.3568, 1.377, 1.4, 1.4258, 1.4544, 1.4854, 1.519, 1.5549, 1.593, 1.6332, 1.6752, 1.7188, 1.764, 1.8104, 1.8577, 1.906, 1.9549, 2.0042, 2.0538, 2.1034, 2.1529, 2.2023, 2.2511, 2.2995, 2.3473, 2.3944, 2.4407, 2.4862, 2.5308, 2.5744, 2.6172, 2.6589, 2.6997, 2.7396, 2.7786 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 1.886, "rotation": 0.893, "wingChange": 0.043, "rmsChange": 1.98 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.25905254, "daysToExpiry": 94.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 87175.33, "previous": 82327.64, "change": 4847.69, "percentChange": 5.89 }, "atmIv": { "current": 38.72, "previous": 37.08, "change": 1.64, "percentChange": 4.42 }, "rr25": { "current": -0.45, "previous": -1.64, "change": 1.19, "percentChange": 72.56 }, "bf25": { "current": 2.21, "previous": 2.06, "change": 0.15, "percentChange": 7.28 }, "svi": { "a": { "current": -0.1371, "previous": -0.2162, "change": 0.079, "percentChange": 36.55 }, "b": { "current": 0.2492, "previous": 0.2759, "change": -0.0267, "percentChange": -9.68 }, "rho": { "current": -0.4214, "previous": -0.3689, "change": -0.0524, "percentChange": -14.21 }, "m": { "current": -0.3325, "previous": -0.3224, "change": -0.0102, "percentChange": -3.15 }, "sigma": { "current": 0.7787, "previous": 0.9823, "change": -0.2036, "percentChange": -20.73 } }, "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": [ 45.5048, 44.9144, 44.3472, 43.8042, 43.2859, 42.7932, 42.3267, 41.8869, 41.4745, 41.0899, 40.7336, 40.4059, 40.1071, 39.8373, 39.5968, 39.3855, 39.2034, 39.0504, 38.9263, 38.8308, 38.7635, 38.724, 38.7118, 38.7264, 38.767, 38.8332, 38.924, 39.0388, 39.1768, 39.3372, 39.519, 39.7215, 39.9439, 40.1851, 40.4444, 40.7209, 41.0138, 41.3222, 41.6452, 41.9822, 42.3323 ], "previous": [ 44.8372, 44.2365, 43.655, 43.0936, 42.5529, 42.0337, 41.5367, 41.0625, 40.6117, 40.1849, 39.7828, 39.4059, 39.0547, 38.7295, 38.4308, 38.1589, 37.9141, 37.6966, 37.5066, 37.344, 37.2089, 37.1013, 37.0209, 36.9676, 36.941, 36.9409, 36.9668, 37.0182, 37.0947, 37.1956, 37.3203, 37.4682, 37.6386, 37.8307, 38.0439, 38.2773, 38.5301, 38.8016, 39.0911, 39.3976, 39.7205 ], "change": [ 0.6676, 0.6779, 0.6922, 0.7106, 0.733, 0.7595, 0.79, 0.8244, 0.8628, 0.905, 0.9508, 1.0, 1.0524, 1.1078, 1.166, 1.2266, 1.2893, 1.3538, 1.4197, 1.4868, 1.5546, 1.6227, 1.6909, 1.7588, 1.826, 1.8923, 1.9572, 2.0206, 2.0821, 2.1416, 2.1987, 2.2533, 2.3053, 2.3544, 2.4005, 2.4436, 2.4837, 2.5206, 2.5541, 2.5846, 2.6118 ], "classification": [ "rotation towards calls" ], "parallelShift": 1.568, "rotation": 1.248, "wingChange": 0.02, "rmsChange": 1.714 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.50836761, "daysToExpiry": 185.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 88186.34, "previous": 83321.88, "change": 4864.46, "percentChange": 5.84 }, "atmIv": { "current": 39.48, "previous": 38.57, "change": 0.91, "percentChange": 2.36 }, "rr25": { "current": -0.46, "previous": -0.86, "change": 0.4, "percentChange": 46.51 }, "bf25": { "current": 2.48, "previous": 2.42, "change": 0.06, "percentChange": 2.48 }, "svi": { "a": { "current": -0.1878, "previous": -0.2265, "change": 0.0387, "percentChange": 17.09 }, "b": { "current": 0.2832, "previous": 0.3067, "change": -0.0235, "percentChange": -7.67 }, "rho": { "current": -0.2505, "previous": -0.2855, "change": 0.035, "percentChange": 12.26 }, "m": { "current": -0.1973, "previous": -0.2382, "change": 0.0409, "percentChange": 17.16 }, "sigma": { "current": 0.974, "previous": 1.0288, "change": -0.0548, "percentChange": -5.33 } }, "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": [ 43.6455, 43.3112, 42.9892, 42.6796, 42.3829, 42.0994, 41.8293, 41.5729, 41.3305, 41.1024, 40.8886, 40.6895, 40.5053, 40.3359, 40.1817, 40.0427, 39.9189, 39.8104, 39.7173, 39.6395, 39.577, 39.5297, 39.4975, 39.4804, 39.4782, 39.4907, 39.5177, 39.5591, 39.6146, 39.6839, 39.7669, 39.8631, 39.9724, 40.0944, 40.2288, 40.3753, 40.5335, 40.7031, 40.8837, 41.0751, 41.2767 ], "previous": [ 43.1176, 42.763, 42.4209, 42.0916, 41.7753, 41.4725, 41.1834, 40.9082, 40.6474, 40.4009, 40.1692, 39.9524, 39.7507, 39.5643, 39.3931, 39.2375, 39.0974, 38.973, 38.8641, 38.7709, 38.6933, 38.6313, 38.5847, 38.5535, 38.5376, 38.5367, 38.5508, 38.5795, 38.6228, 38.6802, 38.7517, 38.8369, 38.9355, 39.0472, 39.1717, 39.3087, 39.4578, 39.6187, 39.7911, 39.9745, 40.1687 ], "change": [ 0.5279, 0.5482, 0.5683, 0.588, 0.6076, 0.6269, 0.6459, 0.6647, 0.6831, 0.7015, 0.7194, 0.7371, 0.7546, 0.7716, 0.7886, 0.8052, 0.8215, 0.8374, 0.8532, 0.8686, 0.8837, 0.8984, 0.9128, 0.9269, 0.9406, 0.954, 0.9669, 0.9796, 0.9918, 1.0037, 1.0152, 1.0262, 1.0369, 1.0472, 1.0571, 1.0666, 1.0757, 1.0844, 1.0926, 1.1006, 1.108 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.873, "rotation": 0.296, "wingChange": -0.016, "rmsChange": 0.878 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.75768268, "daysToExpiry": 276.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 89223.08, "previous": 84343.57, "change": 4879.51, "percentChange": 5.79 }, "atmIv": { "current": 40.39, "previous": 39.68, "change": 0.71, "percentChange": 1.79 }, "rr25": { "current": -0.27, "previous": -0.73, "change": 0.46, "percentChange": 63.01 }, "bf25": { "current": 2.57, "previous": 2.49, "change": 0.08, "percentChange": 3.21 }, "svi": { "a": { "current": -0.1503, "previous": -0.2274, "change": 0.0771, "percentChange": 33.9 }, "b": { "current": 0.2875, "previous": 0.3212, "change": -0.0337, "percentChange": -10.51 }, "rho": { "current": -0.232, "previous": -0.2401, "change": 0.0081, "percentChange": 3.36 }, "m": { "current": -0.1624, "previous": -0.1835, "change": 0.0211, "percentChange": 11.49 }, "sigma": { "current": 0.9795, "previous": 1.1128, "change": -0.1333, "percentChange": -11.98 } }, "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": [ 43.4769, 43.2382, 43.0081, 42.7867, 42.5743, 42.371, 42.177, 41.9925, 41.8175, 41.6523, 41.4969, 41.3514, 41.216, 41.0908, 40.9757, 40.8709, 40.7764, 40.6922, 40.6183, 40.5547, 40.5015, 40.4585, 40.4257, 40.4031, 40.3906, 40.3881, 40.3956, 40.4127, 40.4396, 40.476, 40.5218, 40.5768, 40.6409, 40.7139, 40.7956, 40.8859, 40.9845, 41.0913, 41.206, 41.3285, 41.4586 ], "previous": [ 43.0632, 42.8142, 42.5735, 42.3415, 42.1183, 41.904, 41.6989, 41.503, 41.3166, 41.1396, 40.9724, 40.8149, 40.6672, 40.5295, 40.4018, 40.2843, 40.1768, 40.0795, 39.9924, 39.9156, 39.8489, 39.7924, 39.7462, 39.71, 39.6839, 39.6679, 39.6618, 39.6655, 39.679, 39.7022, 39.7349, 39.777, 39.8284, 39.8889, 39.9584, 40.0367, 40.1237, 40.2192, 40.3229, 40.4348, 40.5546 ], "change": [ 0.4137, 0.424, 0.4346, 0.4452, 0.456, 0.467, 0.4781, 0.4895, 0.5009, 0.5127, 0.5245, 0.5365, 0.5488, 0.5613, 0.5739, 0.5866, 0.5996, 0.6127, 0.6259, 0.6391, 0.6526, 0.6661, 0.6795, 0.6931, 0.7067, 0.7202, 0.7338, 0.7472, 0.7606, 0.7738, 0.7869, 0.7998, 0.8125, 0.825, 0.8372, 0.8492, 0.8608, 0.8721, 0.8831, 0.8937, 0.904 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.655, "rotation": 0.262, "wingChange": 0.003, "rmsChange": 0.673 } } ], "events": [ { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 4.76, "score": 4.76, "unit": "volatility points" }, { "type": "rotation", "title": "Largest eligible smile rotation", "label": "9OCT26", "value": 2.544, "score": 2.544, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "3M", "value": 1.13, "score": 1.13, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "2W", "value": 0.46, "score": 0.46, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25DEC26", "value": -0.2036, "score": 0.2036, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "9OCT26", "value": 0.063, "score": 0.063, "unit": "parameter units" } ], "expiryEffects": [ { "label": "22SEP26", "daysToExpiry": 0.554, "metric": "Smile rotation", "value": 6.134, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "23SEP26", "daysToExpiry": 1.554, "metric": "ATM IV change", "value": 4.95, "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": 305.08499594, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "22SEP26", "expiry": 1790064000000, "value": 0.000358436128, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "22SEP26", "expiry": 1790064000000, "value": -400.60078028, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00170968, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -23.3411403, "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": "22SEP26", "values": [ 76.8772, 72.6315, 68.3937, 64.1662, 59.9514, 55.7509, 51.5663, 47.3983, 43.2472, 39.1125, 34.9925, 30.8849, 26.7867, 22.6956, 18.6117, 14.5449, 10.5307, 6.672, 3.2341, 0.8025, 0.2618, 2.0616, 5.5741, 9.8529, 14.3506, 18.867, 23.3536, 27.8107, 32.2507, 36.6862, 41.1269, 45.58, 50.0493, 54.5374, 59.0445, 63.5703, 68.113, 72.6706, 77.2404, 81.8196, 86.4054 ] }, { "label": "23SEP26", "values": [ 23.9676, 22.6883, 21.4216, 20.169, 18.9317, 17.7111, 16.5086, 15.3261, 14.1656, 13.0292, 11.9205, 10.8433, 9.8036, 8.8093, 7.8723, 7.0092, 6.2445, 5.6117, 5.1538, 4.9178, 4.9397, 5.2258, 5.7456, 6.4468, 7.2772, 8.1973, 9.1808, 10.2113, 11.2784, 12.375, 13.4968, 14.6404, 15.8033, 16.9837, 18.1796, 19.3898, 20.6129, 21.8477, 23.0931, 24.3479, 25.6112 ] }, { "label": "24SEP26", "values": [ 21.7089, 20.7992, 19.8778, 18.9455, 18.003, 17.0514, 16.092, 15.1267, 14.1579, 13.1888, 12.223, 11.2664, 10.3256, 9.4105, 8.5342, 7.7146, 6.9758, 6.3492, 5.8721, 5.5831, 5.5124, 5.6703, 6.0424, 6.5956, 7.2898, 8.0876, 8.9588, 9.8809, 10.8375, 11.8166, 12.8097, 13.8103, 14.814, 15.817, 16.8164, 17.8102, 18.7969, 19.7748, 20.7431, 21.7011, 22.6479 ] }, { "label": "25SEP26", "values": [ 14.8214, 14.2778, 13.7284, 13.1741, 12.6152, 12.053, 11.4885, 10.923, 10.3585, 9.7973, 9.2422, 8.6968, 8.1657, 7.6547, 7.171, 6.7235, 6.323, 5.982, 5.7144, 5.5334, 5.4507, 5.4732, 5.6018, 5.8312, 6.1516, 6.5505, 7.0152, 7.5336, 8.0953, 8.6918, 9.3156, 9.9612, 10.6237, 11.2992, 11.9846, 12.6774, 13.3753, 14.0767, 14.7799, 15.4836, 16.1868 ] }, { "label": "2OCT26", "values": [ 5.6838, 5.5693, 5.4574, 5.3489, 5.2444, 5.1445, 5.0501, 4.962, 4.881, 4.8079, 4.7437, 4.6891, 4.6446, 4.6107, 4.5876, 4.5752, 4.5732, 4.5808, 4.5974, 4.622, 4.6538, 4.6924, 4.7373, 4.7887, 4.8467, 4.9117, 4.984, 5.0639, 5.1514, 5.2466, 5.3492, 5.4591, 5.5756, 5.6984, 5.8269, 5.9606, 6.099, 6.2415, 6.3876, 6.5369, 6.689 ] }, { "label": "9OCT26", "values": [ 4.1963, 4.0348, 3.8742, 3.7158, 3.5608, 3.4106, 3.2668, 3.1314, 3.006, 2.893, 2.7942, 2.7123, 2.6495, 2.608, 2.59, 2.5974, 2.6313, 2.6928, 2.7821, 2.8986, 3.0413, 3.208, 3.3964, 3.6036, 3.8267, 4.0624, 4.3079, 4.5605, 4.8178, 5.0775, 5.3381, 5.5981, 5.8565, 6.1123, 6.3649, 6.6137, 6.8584, 7.0987, 7.3344, 7.5656, 7.7918 ] }, { "label": "30OCT26", "values": [ 2.0242, 1.9901, 1.9561, 1.9227, 1.8904, 1.8595, 1.8305, 1.804, 1.7802, 1.7601, 1.7437, 1.7317, 1.7246, 1.7229, 1.7269, 1.7369, 1.7534, 1.7763, 1.8059, 1.8421, 1.8849, 1.934, 1.9892, 2.0501, 2.1163, 2.1874, 2.2628, 2.3421, 2.4247, 2.5101, 2.5978, 2.6874, 2.7785, 2.8705, 2.9634, 3.0565, 3.1498, 3.2428, 3.3356, 3.4278, 3.5191 ] }, { "label": "27NOV26", "values": [ 1.2958, 1.2989, 1.3047, 1.3134, 1.325, 1.3394, 1.3568, 1.377, 1.4, 1.4258, 1.4544, 1.4854, 1.519, 1.5549, 1.593, 1.6332, 1.6752, 1.7188, 1.764, 1.8104, 1.8577, 1.906, 1.9549, 2.0042, 2.0538, 2.1034, 2.1529, 2.2023, 2.2511, 2.2995, 2.3473, 2.3944, 2.4407, 2.4862, 2.5308, 2.5744, 2.6172, 2.6589, 2.6997, 2.7396, 2.7786 ] }, { "label": "25DEC26", "values": [ 0.6676, 0.6779, 0.6922, 0.7106, 0.733, 0.7595, 0.79, 0.8244, 0.8628, 0.905, 0.9508, 1.0, 1.0524, 1.1078, 1.166, 1.2266, 1.2893, 1.3538, 1.4197, 1.4868, 1.5546, 1.6227, 1.6909, 1.7588, 1.826, 1.8923, 1.9572, 2.0206, 2.0821, 2.1416, 2.1987, 2.2533, 2.3053, 2.3544, 2.4005, 2.4436, 2.4837, 2.5206, 2.5541, 2.5846, 2.6118 ] }, { "label": "26MAR27", "values": [ 0.5279, 0.5482, 0.5683, 0.588, 0.6076, 0.6269, 0.6459, 0.6647, 0.6831, 0.7015, 0.7194, 0.7371, 0.7546, 0.7716, 0.7886, 0.8052, 0.8215, 0.8374, 0.8532, 0.8686, 0.8837, 0.8984, 0.9128, 0.9269, 0.9406, 0.954, 0.9669, 0.9796, 0.9918, 1.0037, 1.0152, 1.0262, 1.0369, 1.0472, 1.0571, 1.0666, 1.0757, 1.0844, 1.0926, 1.1006, 1.108 ] }, { "label": "25JUN27", "values": [ 0.4137, 0.424, 0.4346, 0.4452, 0.456, 0.467, 0.4781, 0.4895, 0.5009, 0.5127, 0.5245, 0.5365, 0.5488, 0.5613, 0.5739, 0.5866, 0.5996, 0.6127, 0.6259, 0.6391, 0.6526, 0.6661, 0.6795, 0.6931, 0.7067, 0.7202, 0.7338, 0.7472, 0.7606, 0.7738, 0.7869, 0.7998, 0.8125, 0.825, 0.8372, 0.8492, 0.8608, 0.8721, 0.8831, 0.8937, 0.904 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96% over the observation window, a large move at the 91.3 percentile of comparable history. The 24SEP26 Bitcoin forward-proxy price rose 5.80% to $85,954.72. Derivasys data also show the front-end ATM IV average rose faster than the long end, while three-month RR25 shifted toward calls but remained negative, leaving relative put-side volatility richer.", "days": [ { "reportDate": "2026-09-21", "headline": "Bitcoin volatility reprices higher", "summary": "Bitcoin one-week ATM IV jumped while reporting noted a January-high spot print.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Bitcoin reached its highest level since January as crude fell.", "events": [ { "eventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options reprice higher as one-week volatility jumps", "standfirst": "Bitcoin one-week ATM IV rose 4.76 volatility points to 38.96% over the observation window, a large move at the 91.3 percentile of comparable history. The 24SEP26 Bitcoin forward-proxy price rose 5.80% to $85,954.72. Derivasys data also show the front-end ATM IV average rose faster than the long end, while three-month RR25 shifted toward calls but remained negative, leaving relative put-side volatility richer.", "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 BTC context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790620920052, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.96, "previous": 34.2, "change": 4.76, "percentChange": 13.92 }, "rr25": { "current": -0.22, "previous": -0.61, "change": 0.39, "percentChange": 63.93 }, "bf25": { "current": 2.22, "previous": 1.83, "change": 0.39, "percentChange": 21.31 }, "historicalSignificance": { "atmIv": { "absoluteMove": 4.76, "movePercentile30d": 83.3, "movePercentileFullHistory": 91.3, "currentLevelPercentileFullHistory": 79.5, "classificationPercentile": 91.3, "label": "large", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "rr25": { "absoluteMove": 0.39, "movePercentile30d": 30.0, "movePercentileFullHistory": 26.7, "currentLevelPercentileFullHistory": 84.8, "classificationPercentile": 30.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 }, "bf25": { "absoluteMove": 0.39, "movePercentile30d": 80.0, "movePercentileFullHistory": 78.0, "currentLevelPercentileFullHistory": 74.2, "classificationPercentile": 80.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 150, "levelObservationsFullHistory": 151 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:43:18+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436254, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427788, "timestamp": "2026-09-20T18:42:00+00:00" } }, "windowHours": 24.0, "currency": "ETH", "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-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 changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical ETH index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.09874496, "previousObjective": 0.26668934, "currentLiveError": 26.52856123, "previousLiveError": 133.20186868 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 12, "comparedListedExpiries": 11, "addedExpiries": [], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether one-month skew becomes more call-rich", "executiveSummary": "Ether one-month RR25 rose 1.22 volatility points to 2.03%, a notable shift toward relatively higher call-side volatility. One-week ATM IV rose 2.65 volatility points to 51.27%, a routine move, while the front-end ATM IV average increased 1.93 volatility points to 50.57%.", "evidenceIds": [ "rr25", "front-atm" ], "newsSummary": "News check: no qualifying in-window context was retained for the Ether options move.", "marketContextSummary": "No retained news item supports an assessment of a driver for the Ether options repricing.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.93 volatility points to 50.57% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.45 volatility points to 54.89% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.71% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.10 volatility points to 3.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.65 volatility points at 1W, to 51.27%.", "tenor": "1W", "value": 2.65 } ] }, "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": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 4, "hasMore": false, "nextCursor": null, "resultSha256": "d264c7340ee1d7c554ab0e7acd7fe83d29d806e09a0a66cebbd3745a74fd5476" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] }, { "arguments": { "assets": [ "ETH" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 4, "hasMore": false, "nextCursor": null, "resultSha256": "d264c7340ee1d7c554ab0e7acd7fe83d29d806e09a0a66cebbd3745a74fd5476" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 4, "macroQueries": 18, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1140, "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": 7, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 1, "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": "8239be5f-867d-4c94-94a3-c038ff264ca9", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c7007b2d-2313-45ec-9539-92a1b94ef328", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "298cf57d-cb84-4f9b-ae2d-9f29d9a11f12", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "8bdcd0ef-1c5a-4405-90e3-b01be61b547c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "5e829829-7e61-4e10-96e6-5b9a3e19186c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" } ], "planRationale": "Bitmine’s reported ETH purchase is routine corporate-treasury coverage with no validated relationship to the options move; other discovered ETH items were commentary or duplicate coverage. No eligible context selected.", "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 2.65 volatility points to 51.27%, a routine move at the 50th percentile among 34 comparable historical observations. Front-end ATM IV averaged 50.57%, +1.93 points from the prior snapshot, while the long end averaged 54.89%, +0.45 points. 1M RR25 moved 1.22 volatility points toward calls to 2.03%, leaving calls richer than puts. 3M BF25 rose 0.22 volatility points to 3.29%. The nearest eligible forward, 24SEP26, rose $114.88 (+4.36%) to $2,750.27. No sufficiently relevant context identified; the strongest assessed relationship has low causal confidence.", "wordCount": 86, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.longEndAverageAtm", "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 +1.93 volatility points to 50.57% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.45 volatility points to 54.89% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.41 volatility points to 1.71% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.10 volatility points to 3.15% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +2.65 volatility points at 1W, to 51.27%.", "tenor": "1W", "value": 2.65 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 1.43, "rr25Change": 0.41, "bf25Change": 0.1, "largestAtmMove": { "tenor": "1W", "current": 51.27, "previous": 48.62, "change": 2.65, "historicalSignificance": { "absoluteMove": 2.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } }, "frontEndAverageAtm": { "current": 50.57, "previous": 48.64, "change": 1.93 }, "longEndAverageAtm": { "current": 54.89, "previous": 54.44, "change": 0.45 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1M", "current": 2.03, "previous": 0.81, "change": 1.22, "historicalSignificance": { "absoluteMove": 1.22, "movePercentile30d": 73.3, "movePercentileFullHistory": 76.5, "currentLevelPercentileFullHistory": 89.2, "classificationPercentile": 76.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "3M", "current": 3.29, "previous": 3.07, "change": 0.22, "historicalSignificance": { "absoluteMove": 0.22, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 83.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } }, "nearestEligibleForwardMove": { "label": "24SEP26", "daysToExpiry": 2.554, "current": 2750.27, "previous": 2635.39, "change": 114.88, "percentChange": 4.36 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.27, "previous": 48.62, "change": 2.65, "percentChange": 5.45 }, "rr25": { "current": 1.97, "previous": 1.48, "change": 0.49, "percentChange": 33.11 }, "bf25": { "current": 3.11, "previous": 2.98, "change": 0.13, "percentChange": 4.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 26.7, "movePercentileFullHistory": 26.5, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 10.0, "movePercentileFullHistory": 11.8, "currentLevelPercentileFullHistory": 64.9, "classificationPercentile": 11.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "2W", "targetExpiry": 1791225720215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.12, "previous": 48.2, "change": 1.92, "percentChange": 3.98 }, "rr25": { "current": 2.05, "previous": 1.69, "change": 0.36, "percentChange": 21.3 }, "bf25": { "current": 3.13, "previous": 3.09, "change": 0.04, "percentChange": 1.29 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.92, "movePercentile30d": 60.0, "movePercentileFullHistory": 64.7, "currentLevelPercentileFullHistory": 59.5, "classificationPercentile": 64.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.36, "movePercentile30d": 30.0, "movePercentileFullHistory": 35.3, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 35.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 6.7, "movePercentileFullHistory": 8.8, "currentLevelPercentileFullHistory": 70.3, "classificationPercentile": 8.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "1M", "targetExpiry": 1792608120215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 50.31, "previous": 49.1, "change": 1.21, "percentChange": 2.46 }, "rr25": { "current": 2.03, "previous": 0.81, "change": 1.22, "percentChange": 150.62 }, "bf25": { "current": 2.85, "previous": 2.83, "change": 0.02, "percentChange": 0.71 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.21, "movePercentile30d": 60.0, "movePercentileFullHistory": 61.8, "currentLevelPercentileFullHistory": 43.2, "classificationPercentile": 61.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 1.22, "movePercentile30d": 73.3, "movePercentileFullHistory": 76.5, "currentLevelPercentileFullHistory": 89.2, "classificationPercentile": 76.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 0.0, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 48.6, "classificationPercentile": 5.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "3M", "targetExpiry": 1797878520215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 53.45, "previous": 52.54, "change": 0.91, "percentChange": 1.73 }, "rr25": { "current": 0.87, "previous": 0.91, "change": -0.04, "percentChange": -4.4 }, "bf25": { "current": 3.29, "previous": 3.07, "change": 0.22, "percentChange": 7.17 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.91, "movePercentile30d": 80.0, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 82.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.04, "movePercentile30d": 3.3, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 70.3, "classificationPercentile": 5.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.22, "movePercentile30d": 83.3, "movePercentileFullHistory": 82.4, "currentLevelPercentileFullHistory": 83.8, "classificationPercentile": 83.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "6M", "targetExpiry": 1805740920215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 54.89, "previous": 54.44, "change": 0.45, "percentChange": 0.83 }, "rr25": { "current": 1.64, "previous": 1.62, "change": 0.02, "percentChange": 1.23 }, "bf25": { "current": 3.36, "previous": 3.28, "change": 0.08, "percentChange": 2.44 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.45, "movePercentile30d": 73.3, "movePercentileFullHistory": 76.5, "currentLevelPercentileFullHistory": 67.6, "classificationPercentile": 76.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.02, "movePercentile30d": 3.3, "movePercentileFullHistory": 5.9, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 5.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 36.7, "movePercentileFullHistory": 38.2, "currentLevelPercentileFullHistory": 94.6, "classificationPercentile": 38.2, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "9M", "targetExpiry": 1813603320215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 55.68, "previous": 55.57, "change": 0.11, "percentChange": 0.2 }, "rr25": { "current": 1.8, "previous": 1.96, "change": -0.16, "percentChange": -8.16 }, "bf25": { "current": 2.98, "previous": 2.86, "change": 0.12, "percentChange": 4.2 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.11, "movePercentile30d": 30.0, "movePercentileFullHistory": 32.4, "currentLevelPercentileFullHistory": 62.2, "classificationPercentile": 32.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.16, "movePercentile30d": 36.7, "movePercentileFullHistory": 35.3, "currentLevelPercentileFullHistory": 97.3, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 66.7, "movePercentileFullHistory": 61.8, "currentLevelPercentileFullHistory": 89.2, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } }, { "tenor": "1Y", "targetExpiry": 1821552120215, "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": "22SEP26", "expiry": 1790064000000, "tauYears": 0.00151829, "daysToExpiry": 0.554, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2748.5, "previous": 2634.5, "change": 114.0, "percentChange": 4.33 }, "atmIv": { "current": 48.11, "previous": 48.36, "change": -0.25, "percentChange": -0.52 }, "rr25": { "current": 5.43, "previous": 0.09, "change": 5.34, "percentChange": 5933.33 }, "bf25": { "current": 2.07, "previous": 2.57, "change": -0.5, "percentChange": -19.46 }, "svi": { "a": { "current": -0.0559, "previous": -0.0981, "change": 0.0422, "percentChange": 42.99 }, "b": { "current": 0.1003, "previous": 0.149, "change": -0.0487, "percentChange": -32.67 }, "rho": { "current": 0.1879, "previous": -0.0006, "change": 0.1884, "percentChange": 32214.8 }, "m": { "current": 0.0915, "previous": -0.0003, "change": 0.0917, "percentChange": 36139.08 }, "sigma": { "current": 0.571, "previous": 0.6652, "change": -0.0942, "percentChange": -14.16 } }, "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": [ 201.0156, 191.6756, 182.2725, 172.8122, 163.3019, 153.7509, 144.1714, 134.5788, 124.9936, 115.4431, 105.9642, 96.608, 87.4464, 78.5831, 70.1699, 62.4311, 55.6937, 50.4081, 47.1132, 46.2806, 48.0771, 52.2638, 58.3526, 65.8359, 74.3063, 83.472, 93.1325, 103.1506, 113.4304, 123.904, 134.5212, 145.2444, 156.0443, 166.8979, 177.7862, 188.6937, 199.607, 210.515, 221.4078, 232.277, 243.115 ], "previous": [ 157.9181, 151.0767, 144.2295, 137.3838, 130.5482, 123.7332, 116.9512, 110.2177, 103.5514, 96.9758, 90.5205, 84.2228, 78.1307, 72.3059, 66.8277, 61.7974, 57.3412, 53.6099, 50.7698, 48.9805, 48.3618, 48.9587, 50.7276, 53.5499, 57.2661, 61.7099, 66.7301, 72.2001, 78.018, 84.1043, 90.397, 96.848, 103.4195, 110.0821, 116.8122, 123.5909, 130.4027, 137.2351, 144.0778, 150.922, 157.7604 ], "change": [ 43.0975, 40.5989, 38.043, 35.4284, 32.7537, 30.0177, 27.2202, 24.3611, 21.4422, 18.4673, 15.4437, 12.3852, 9.3157, 6.2772, 3.3422, 0.6337, -1.6475, -3.2018, -3.6566, -2.6999, -0.2847, 3.3051, 7.625, 12.286, 17.0402, 21.7621, 26.4024, 30.9505, 35.4124, 39.7997, 44.1242, 48.3964, 52.6248, 56.8158, 60.974, 65.1028, 69.2043, 73.2799, 77.33, 81.355, 85.3546 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 19.761, "rotation": 28.68, "wingChange": 30.069, "rmsChange": 39.707 } }, { "label": "23SEP26", "expiry": 1790150400000, "tauYears": 0.00425802, "daysToExpiry": 1.554, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 2749.56, "previous": 2635.0, "change": 114.56, "percentChange": 4.35 }, "atmIv": { "current": 51.96, "previous": 49.55, "change": 2.41, "percentChange": 4.86 }, "rr25": { "current": 4.91, "previous": 1.92, "change": 2.99, "percentChange": 155.73 }, "bf25": { "current": 2.65, "previous": 3.04, "change": -0.39, "percentChange": -12.83 }, "svi": { "a": { "current": -0.0929, "previous": -0.09, "change": -0.0029, "percentChange": -3.19 }, "b": { "current": 0.1393, "previous": 0.1531, "change": -0.0138, "percentChange": -9.0 }, "rho": { "current": 0.0692, "previous": 0.0073, "change": 0.0619, "percentChange": 853.87 }, "m": { "current": 0.0255, "previous": -0.0035, "change": 0.029, "percentChange": 825.76 }, "sigma": { "current": 0.6764, "previous": 0.5992, "change": 0.0771, "percentChange": 12.87 } }, "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": [ 141.5342, 135.2184, 128.9099, 122.6182, 116.3549, 110.1338, 103.9719, 97.8903, 91.915, 86.0785, 80.422, 74.997, 69.8686, 65.1179, 60.8445, 57.1662, 54.2142, 52.1212, 51.0011, 50.9244, 51.9008, 53.8763, 56.7482, 60.3892, 64.6684, 69.4659, 74.679, 80.2229, 86.0294, 92.0439, 98.223, 104.5319, 110.9427, 117.4327, 123.9835, 130.5797, 137.2087, 143.8597, 150.5237, 157.1931, 163.8611 ], "previous": [ 130.9196, 125.454, 119.9931, 114.5454, 109.1207, 103.7309, 98.3902, 93.1159, 87.9288, 82.8545, 77.9242, 73.1762, 68.6576, 64.4254, 60.5484, 57.1068, 54.191, 51.8957, 50.3109, 49.5085, 49.5283, 50.3698, 51.9921, 54.3228, 57.2719, 60.7446, 64.6514, 68.9122, 73.4589, 78.2348, 83.1931, 88.2959, 93.5119, 98.8159, 104.187, 109.608, 115.0647, 120.5453, 126.0397, 131.5397, 137.038 ], "change": [ 10.6146, 9.7644, 8.9168, 8.0728, 7.2342, 6.4029, 5.5817, 4.7744, 3.9862, 3.224, 2.4978, 1.8208, 1.211, 0.6925, 0.2961, 0.0594, 0.0232, 0.2255, 0.6902, 1.4159, 2.3725, 3.5065, 4.7561, 6.0664, 7.3965, 8.7213, 10.0276, 11.3107, 12.5705, 13.8091, 15.0299, 16.236, 17.4308, 18.6168, 19.7965, 20.9717, 22.144, 23.3144, 24.484, 25.6534, 26.8231 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 6.633, "rotation": 12.532, "wingChange": 6.391, "rmsChange": 12.404 } }, { "label": "24SEP26", "expiry": 1790236800000, "tauYears": 0.00699774, "daysToExpiry": 2.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2750.27, "previous": 2635.39, "change": 114.88, "percentChange": 4.36 }, "atmIv": { "current": 53.16, "previous": 49.89, "change": 3.27, "percentChange": 6.55 }, "rr25": { "current": 2.6, "previous": 0.52, "change": 2.08, "percentChange": 400.0 }, "bf25": { "current": 2.86, "previous": 3.14, "change": -0.28, "percentChange": -8.92 }, "svi": { "a": { "current": -0.1004, "previous": -0.1068, "change": 0.0064, "percentChange": 5.95 }, "b": { "current": 0.1514, "previous": 0.1702, "change": -0.0189, "percentChange": -11.08 }, "rho": { "current": -0.0161, "previous": -0.0561, "change": 0.04, "percentChange": 71.35 }, "m": { "current": -0.0235, "previous": -0.0376, "change": 0.014, "percentChange": 37.39 }, "sigma": { "current": 0.6766, "previous": 0.6426, "change": 0.034, "percentChange": 5.29 } }, "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": [ 124.5961, 119.4714, 114.3724, 109.3085, 104.2907, 99.3324, 94.449, 89.6591, 84.9848, 80.4524, 76.0935, 71.9457, 68.0531, 64.4676, 61.2478, 58.4587, 56.1681, 54.4417, 53.3363, 52.8918, 53.1248, 54.0252, 55.5589, 57.6725, 60.3015, 63.3778, 66.835, 70.6122, 74.6555, 78.9186, 83.3621, 87.9528, 92.6632, 97.4699, 102.3538, 107.2985, 112.2904, 117.3179, 122.3713, 127.4422, 132.5234 ], "previous": [ 119.3547, 114.5925, 109.8503, 105.1363, 100.46, 95.8327, 91.2676, 86.78, 82.3884, 78.1147, 73.9846, 70.0289, 66.2837, 62.7912, 59.6, 56.7643, 54.3425, 52.394, 50.974, 50.1274, 49.8825, 50.2461, 51.2023, 52.7151, 54.7341, 57.2006, 60.054, 63.2363, 66.6943, 70.3811, 74.2564, 78.2859, 82.4405, 86.6961, 91.0324, 95.4322, 99.8813, 104.3676, 108.881, 113.4128, 117.9558 ], "change": [ 5.2414, 4.8789, 4.5221, 4.1722, 3.8307, 3.4997, 3.1814, 2.8791, 2.5964, 2.3377, 2.1089, 1.9168, 1.7694, 1.6764, 1.6478, 1.6944, 1.8256, 2.0477, 2.3623, 2.7644, 3.2423, 3.7791, 4.3566, 4.9574, 5.5674, 6.1772, 6.781, 7.3759, 7.9612, 8.5375, 9.1057, 9.6669, 10.2227, 10.7738, 11.3214, 11.8663, 12.4091, 12.9503, 13.4903, 14.0294, 14.5676 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 4.819, "rotation": 6.997, "wingChange": 2.365, "rmsChange": 7.224 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.00973747, "daysToExpiry": 3.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2750.88, "previous": 2636.08, "change": 114.8, "percentChange": 4.35 }, "atmIv": { "current": 54.17, "previous": 50.13, "change": 4.04, "percentChange": 8.06 }, "rr25": { "current": 1.88, "previous": 0.5, "change": 1.38, "percentChange": 276.0 }, "bf25": { "current": 2.44, "previous": 2.8, "change": -0.36, "percentChange": -12.86 }, "svi": { "a": { "current": -0.1364, "previous": -0.1291, "change": -0.0073, "percentChange": -5.69 }, "b": { "current": 0.1642, "previous": 0.1782, "change": -0.014, "percentChange": -7.86 }, "rho": { "current": -0.0903, "previous": -0.098, "change": 0.0076, "percentChange": 7.8 }, "m": { "current": -0.0897, "previous": -0.0752, "change": -0.0145, "percentChange": -19.33 }, "sigma": { "current": 0.852, "previous": 0.7458, "change": 0.1062, "percentChange": 14.23 } }, "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": [ 104.9593, 101.0073, 97.1067, 93.2665, 89.4969, 85.8094, 82.2174, 78.7361, 75.3828, 72.177, 69.1411, 66.2996, 63.6798, 61.3109, 59.2236, 57.4487, 56.0158, 54.9512, 54.2754, 54.0019, 54.135, 54.6697, 55.5921, 56.8808, 58.5086, 60.4453, 62.6589, 65.1179, 67.7923, 70.6542, 73.6782, 76.8417, 80.1247, 83.5098, 86.9814, 90.5264, 94.1331, 97.7914, 101.4926, 105.229, 108.9939 ], "previous": [ 104.4192, 100.4707, 96.5597, 92.6941, 88.8831, 85.137, 81.4677, 77.8892, 74.4171, 71.0698, 67.8681, 64.8357, 61.9994, 59.3886, 57.0356, 54.9742, 53.2384, 51.8608, 50.8697, 50.2865, 50.1239, 50.3834, 51.0561, 52.1227, 53.5562, 55.3245, 57.3926, 59.7252, 62.2885, 65.0508, 67.9836, 71.0614, 74.2618, 77.5654, 80.9554, 84.4172, 87.9382, 91.5078, 95.1164, 98.7563, 102.4203 ], "change": [ 0.5401, 0.5366, 0.547, 0.5724, 0.6138, 0.6724, 0.7497, 0.8469, 0.9657, 1.1072, 1.273, 1.4639, 1.6804, 1.9223, 2.188, 2.4745, 2.7774, 3.0904, 3.4057, 3.7154, 4.0111, 4.2863, 4.536, 4.7581, 4.9524, 5.1208, 5.2663, 5.3927, 5.5038, 5.6034, 5.6946, 5.7803, 5.8629, 5.9444, 6.026, 6.1092, 6.1949, 6.2836, 6.3762, 6.4727, 6.5736 ], "classification": [ "rotation towards calls", "wing flattening" ], "parallelShift": 3.66, "rotation": 4.422, "wingChange": -0.527, "rmsChange": 4.217 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.02891555, "daysToExpiry": 10.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2752.45, "previous": 2638.0, "change": 114.45, "percentChange": 4.34 }, "atmIv": { "current": 50.23, "previous": 47.48, "change": 2.75, "percentChange": 5.79 }, "rr25": { "current": 2.01, "previous": 2.23, "change": -0.22, "percentChange": -9.87 }, "bf25": { "current": 3.35, "previous": 3.11, "change": 0.24, "percentChange": 7.72 }, "svi": { "a": { "current": -0.1048, "previous": -0.1209, "change": 0.0161, "percentChange": 13.33 }, "b": { "current": 0.1807, "previous": 0.193, "change": -0.0123, "percentChange": -6.39 }, "rho": { "current": -0.1467, "previous": -0.1666, "change": 0.0199, "percentChange": 11.93 }, "m": { "current": -0.1066, "previous": -0.1305, "change": 0.0239, "percentChange": 18.28 }, "sigma": { "current": 0.6267, "previous": 0.6723, "change": -0.0456, "percentChange": -6.78 } }, "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": [ 80.7967, 78.2563, 75.7624, 73.3223, 70.944, 68.6362, 66.4086, 64.2714, 62.2359, 60.314, 58.5183, 56.8619, 55.3582, 54.0204, 52.8612, 51.8923, 51.1241, 50.5646, 50.2195, 50.0915, 50.1801, 50.482, 50.9906, 51.6969, 52.5899, 53.6571, 54.8848, 56.2591, 57.7661, 59.392, 61.1238, 62.9493, 64.857, 66.8366, 68.8785, 70.974, 73.1155, 75.2959, 77.509, 79.7493, 82.0118 ], "previous": [ 76.2523, 73.8088, 71.4139, 69.0747, 66.7988, 64.5946, 62.4713, 60.4388, 58.5078, 56.6896, 54.9963, 53.4402, 52.0338, 50.7895, 49.7192, 48.8336, 48.1418, 47.6511, 47.366, 47.2884, 47.4171, 47.7481, 48.2745, 48.9873, 49.8755, 50.927, 52.1287, 53.4672, 54.9295, 56.5026, 58.1744, 59.9335, 61.7692, 63.6721, 65.6331, 67.6444, 69.6989, 71.79, 73.9121, 76.0602, 78.2295 ], "change": [ 4.5444, 4.4475, 4.3485, 4.2476, 4.1452, 4.0416, 3.9373, 3.8326, 3.7281, 3.6244, 3.522, 3.4217, 3.3244, 3.2309, 3.142, 3.0587, 2.9823, 2.9135, 2.8535, 2.8031, 2.763, 2.7339, 2.7161, 2.7096, 2.7144, 2.7301, 2.7561, 2.7919, 2.8366, 2.8894, 2.9494, 3.0158, 3.0878, 3.1645, 3.2454, 3.3296, 3.4166, 3.5059, 3.5969, 3.6891, 3.7823 ], "classification": [ "parallel shift higher", "rotation towards puts" ], "parallelShift": 3.078, "rotation": -0.573, "wingChange": 0.473, "rmsChange": 3.373 } }, { "label": "9OCT26", "expiry": 1791532800000, "tauYears": 0.04809364, "daysToExpiry": 17.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2754.56, "previous": 2639.28, "change": 115.28, "percentChange": 4.37 }, "atmIv": { "current": 50.05, "previous": 49.03, "change": 1.02, "percentChange": 2.08 }, "rr25": { "current": 2.08, "previous": 1.08, "change": 1.0, "percentChange": 92.59 }, "bf25": { "current": 3.0, "previous": 3.04, "change": -0.04, "percentChange": -1.32 }, "svi": { "a": { "current": -0.114, "previous": -0.1228, "change": 0.0088, "percentChange": 7.18 }, "b": { "current": 0.1832, "previous": 0.1934, "change": -0.0102, "percentChange": -5.27 }, "rho": { "current": -0.1582, "previous": -0.1646, "change": 0.0064, "percentChange": 3.88 }, "m": { "current": -0.1314, "previous": -0.1254, "change": -0.006, "percentChange": -4.78 }, "sigma": { "current": 0.6963, "previous": 0.7078, "change": -0.0115, "percentChange": -1.62 } }, "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": [ 67.8602, 66.2253, 64.6378, 63.1024, 61.624, 60.208, 58.8597, 57.5848, 56.3888, 55.2775, 54.2566, 53.3315, 52.5073, 51.7889, 51.1806, 50.6858, 50.3074, 50.0473, 49.9065, 49.885, 49.9818, 50.1948, 50.5212, 50.9573, 51.4987, 52.1403, 52.8769, 53.7025, 54.6115, 55.5977, 56.6553, 57.7785, 58.9617, 60.1994, 61.4865, 62.8181, 64.1898, 65.5973, 67.0366, 68.504, 69.9964 ], "previous": [ 68.3216, 66.6541, 65.0302, 63.4543, 61.9313, 60.4662, 59.0641, 57.7305, 56.4711, 55.2914, 54.1971, 53.1938, 52.287, 51.4817, 50.7827, 50.1941, 49.7193, 49.3611, 49.1211, 49.0002, 48.9982, 49.1138, 49.345, 49.6886, 50.1408, 50.697, 51.3522, 52.1009, 52.9372, 53.8554, 54.8493, 55.9132, 57.0412, 58.2277, 59.4675, 60.7555, 62.0869, 63.4572, 64.8623, 66.2983, 67.7617 ], "change": [ -0.4614, -0.4288, -0.3924, -0.3519, -0.3073, -0.2582, -0.2044, -0.1457, -0.0823, -0.0139, 0.0595, 0.1377, 0.2203, 0.3072, 0.3979, 0.4917, 0.5881, 0.6862, 0.7854, 0.8848, 0.9836, 1.081, 1.1762, 1.2687, 1.3579, 1.4433, 1.5247, 1.6016, 1.6743, 1.7423, 1.806, 1.8653, 1.9205, 1.9717, 2.019, 2.0626, 2.1029, 2.1401, 2.1743, 2.2057, 2.2347 ], "classification": [ "rotation towards calls" ], "parallelShift": 0.95, "rotation": 1.746, "wingChange": -0.051, "rmsChange": 1.304 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10562788, "daysToExpiry": 38.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2761.27, "previous": 2644.61, "change": 116.66, "percentChange": 4.41 }, "atmIv": { "current": 50.39, "previous": 49.13, "change": 1.26, "percentChange": 2.56 }, "rr25": { "current": 2.02, "previous": 0.71, "change": 1.31, "percentChange": 184.51 }, "bf25": { "current": 2.8, "previous": 2.75, "change": 0.05, "percentChange": 1.82 }, "svi": { "a": { "current": -0.1116, "previous": -0.123, "change": 0.0114, "percentChange": 9.25 }, "b": { "current": 0.1853, "previous": 0.1938, "change": -0.0085, "percentChange": -4.37 }, "rho": { "current": -0.1458, "previous": -0.1624, "change": 0.0166, "percentChange": 10.2 }, "m": { "current": -0.1377, "previous": -0.1296, "change": -0.0081, "percentChange": -6.23 }, "sigma": { "current": 0.754, "previous": 0.7799, "change": -0.0259, "percentChange": -3.32 } }, "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": [ 58.1422, 57.3518, 56.594, 55.8708, 55.1839, 54.535, 53.9259, 53.3582, 52.8336, 52.3534, 51.9192, 51.5321, 51.1932, 50.9035, 50.6636, 50.4742, 50.3355, 50.2477, 50.2108, 50.2244, 50.2881, 50.4011, 50.5627, 50.7717, 51.027, 51.3271, 51.6707, 52.0562, 52.4818, 52.946, 53.4468, 53.9825, 54.5513, 55.1514, 55.781, 56.4383, 57.1216, 57.8292, 58.5594, 59.3106, 60.0814 ], "previous": [ 58.4796, 57.6323, 56.8152, 56.0301, 55.2787, 54.5629, 53.8844, 53.2449, 52.6462, 52.0898, 51.5773, 51.1101, 50.6895, 50.3166, 49.9924, 49.7179, 49.4936, 49.32, 49.1973, 49.1255, 49.1045, 49.134, 49.2133, 49.3416, 49.518, 49.7414, 50.0104, 50.3238, 50.6799, 51.0772, 51.5139, 51.9884, 52.4988, 53.0434, 53.6202, 54.2277, 54.8638, 55.527, 56.2154, 56.9274, 57.6615 ], "change": [ -0.3374, -0.2805, -0.2212, -0.1593, -0.0948, -0.0279, 0.0415, 0.1133, 0.1874, 0.2636, 0.3419, 0.422, 0.5037, 0.5869, 0.6712, 0.7563, 0.8419, 0.9277, 1.0135, 1.0989, 1.1836, 1.2671, 1.3494, 1.4301, 1.509, 1.5857, 1.6603, 1.7324, 1.8019, 1.8688, 1.9329, 1.9941, 2.0525, 2.108, 2.1608, 2.2106, 2.2578, 2.3022, 2.344, 2.3832, 2.4199 ], "classification": [ "rotation towards calls" ], "parallelShift": 1.153, "rotation": 1.591, "wingChange": -0.046, "rmsChange": 1.428 } }, { "label": "27NOV26", "expiry": 1795766400000, "tauYears": 0.18234021, "daysToExpiry": 66.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2772.35, "previous": 2654.42, "change": 117.93, "percentChange": 4.44 }, "atmIv": { "current": 52.93, "previous": 51.95, "change": 0.98, "percentChange": 1.89 }, "rr25": { "current": 0.49, "previous": 0.81, "change": -0.32, "percentChange": -39.51 }, "bf25": { "current": 3.27, "previous": 3.33, "change": -0.06, "percentChange": -1.8 }, "svi": { "a": { "current": -0.0778, "previous": -0.0967, "change": 0.0189, "percentChange": 19.54 }, "b": { "current": 0.1888, "previous": 0.2128, "change": -0.0239, "percentChange": -11.25 }, "rho": { "current": -0.1502, "previous": -0.2368, "change": 0.0866, "percentChange": 36.56 }, "m": { "current": -0.0917, "previous": -0.1681, "change": 0.0764, "percentChange": 45.46 }, "sigma": { "current": 0.6902, "previous": 0.709, "change": -0.0188, "percentChange": -2.66 } }, "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": [ 59.3633, 58.7986, 58.2542, 57.7313, 57.2308, 56.7536, 56.3008, 55.8733, 55.4719, 55.0974, 54.7508, 54.4326, 54.1435, 53.8842, 53.655, 53.4565, 53.2888, 53.1523, 53.0471, 52.9731, 52.9303, 52.9186, 52.9377, 52.9872, 53.0667, 53.1756, 53.3134, 53.4794, 53.6729, 53.893, 54.139, 54.41, 54.705, 55.0232, 55.3636, 55.7252, 56.107, 56.5082, 56.9276, 57.3645, 57.8178 ], "previous": [ 58.5338, 57.9273, 57.3449, 56.7877, 56.2567, 55.7529, 55.2772, 54.8305, 54.4135, 54.0271, 53.6719, 53.3485, 53.0574, 52.799, 52.5736, 52.3815, 52.2227, 52.0972, 52.0051, 51.9459, 51.9196, 51.9256, 51.9634, 52.0326, 52.1324, 52.2621, 52.421, 52.6081, 52.8227, 53.0638, 53.3303, 53.6214, 53.9359, 54.273, 54.6315, 55.0105, 55.4089, 55.8258, 56.2601, 56.7109, 57.1772 ], "change": [ 0.8295, 0.8713, 0.9093, 0.9436, 0.9741, 1.0007, 1.0236, 1.0428, 1.0584, 1.0703, 1.0789, 1.0841, 1.0861, 1.0852, 1.0814, 1.075, 1.0661, 1.0551, 1.042, 1.0272, 1.0107, 0.993, 0.9743, 0.9546, 0.9343, 0.9135, 0.8924, 0.8713, 0.8502, 0.8292, 0.8087, 0.7886, 0.7691, 0.7502, 0.7321, 0.7147, 0.6981, 0.6824, 0.6675, 0.6536, 0.6406 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.966, "rotation": -0.27, "wingChange": -0.067, "rmsChange": 0.926 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.25905254, "daysToExpiry": 94.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2783.19, "previous": 2663.72, "change": 119.47, "percentChange": 4.49 }, "atmIv": { "current": 53.5, "previous": 52.62, "change": 0.88, "percentChange": 1.67 }, "rr25": { "current": 0.91, "previous": 0.92, "change": -0.01, "percentChange": -1.09 }, "bf25": { "current": 3.29, "previous": 3.04, "change": 0.25, "percentChange": 8.22 }, "svi": { "a": { "current": -0.0692, "previous": -0.0923, "change": 0.0231, "percentChange": 25.04 }, "b": { "current": 0.2048, "previous": 0.2162, "change": -0.0114, "percentChange": -5.29 }, "rho": { "current": -0.2162, "previous": -0.2487, "change": 0.0325, "percentChange": 13.07 }, "m": { "current": -0.1498, "previous": -0.1962, "change": 0.0464, "percentChange": 23.65 }, "sigma": { "current": 0.7164, "previous": 0.7864, "change": -0.07, "percentChange": -8.9 } }, "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": [ 58.0681, 57.6464, 57.2422, 56.856, 56.4885, 56.1402, 55.8116, 55.5032, 55.2154, 54.9486, 54.7032, 54.4795, 54.2777, 54.0981, 53.9407, 53.8057, 53.6931, 53.6029, 53.535, 53.4893, 53.4656, 53.4637, 53.4832, 53.5239, 53.5854, 53.6672, 53.769, 53.8903, 54.0304, 54.189, 54.3655, 54.5592, 54.7697, 54.9962, 55.2383, 55.4953, 55.7665, 56.0515, 56.3496, 56.6602, 56.9827 ], "previous": [ 56.9067, 56.5022, 56.1155, 55.7471, 55.3973, 55.0667, 54.7556, 54.4644, 54.1935, 53.9431, 53.7134, 53.5048, 53.3173, 53.151, 53.0061, 52.8825, 52.7803, 52.6992, 52.6394, 52.6005, 52.5823, 52.5847, 52.6073, 52.6498, 52.7119, 52.7932, 52.8932, 53.0114, 53.1476, 53.3011, 53.4714, 53.6581, 53.8606, 54.0784, 54.3109, 54.5577, 54.8181, 55.0915, 55.3776, 55.6757, 55.9853 ], "change": [ 1.1614, 1.1442, 1.1267, 1.1089, 1.0912, 1.0735, 1.056, 1.0388, 1.0219, 1.0055, 0.9898, 0.9747, 0.9604, 0.9471, 0.9346, 0.9232, 0.9128, 0.9037, 0.8956, 0.8888, 0.8833, 0.879, 0.8759, 0.8741, 0.8735, 0.874, 0.8758, 0.8789, 0.8828, 0.8879, 0.8941, 0.9011, 0.9091, 0.9178, 0.9274, 0.9376, 0.9484, 0.96, 0.972, 0.9845, 0.9974 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.922, "rotation": -0.096, "wingChange": 0.059, "rmsChange": 0.962 } }, { "label": "26MAR27", "expiry": 1806048000000, "tauYears": 0.50836761, "daysToExpiry": 185.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2809.75, "previous": 2689.26, "change": 120.49, "percentChange": 4.48 }, "atmIv": { "current": 54.92, "previous": 54.49, "change": 0.43, "percentChange": 0.79 }, "rr25": { "current": 1.66, "previous": 1.64, "change": 0.02, "percentChange": 1.22 }, "bf25": { "current": 3.36, "previous": 3.28, "change": 0.08, "percentChange": 2.44 }, "svi": { "a": { "current": -0.0207, "previous": -0.0159, "change": -0.0048, "percentChange": -30.24 }, "b": { "current": 0.2596, "previous": 0.2397, "change": 0.0199, "percentChange": 8.31 }, "rho": { "current": -0.3818, "previous": -0.3223, "change": -0.0595, "percentChange": -18.45 }, "m": { "current": -0.2973, "previous": -0.2489, "change": -0.0484, "percentChange": -19.46 }, "sigma": { "current": 0.7223, "previous": 0.7359, "change": -0.0136, "percentChange": -1.85 } }, "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": [ 57.3216, 57.0704, 56.8322, 56.6069, 56.3948, 56.1959, 56.0103, 55.838, 55.679, 55.5334, 55.401, 55.2819, 55.1758, 55.0829, 55.0028, 54.9354, 54.8806, 54.8382, 54.808, 54.7897, 54.7832, 54.7881, 54.8043, 54.8314, 54.8692, 54.9174, 54.9757, 55.0438, 55.1215, 55.2084, 55.3043, 55.4089, 55.5218, 55.6427, 55.7715, 55.9077, 56.0512, 56.2016, 56.3587, 56.5222, 56.6919 ], "previous": [ 56.7878, 56.551, 56.326, 56.1128, 55.9116, 55.7226, 55.5458, 55.3813, 55.2292, 55.0896, 54.9624, 54.8476, 54.7452, 54.6551, 54.5773, 54.5117, 54.4582, 54.4165, 54.3867, 54.3684, 54.3615, 54.3659, 54.3812, 54.4073, 54.444, 54.4909, 54.5479, 54.6146, 54.6909, 54.7764, 54.8708, 54.974, 55.0856, 55.2054, 55.333, 55.4682, 55.6108, 55.7604, 55.9168, 56.0798, 56.2491 ], "change": [ 0.5338, 0.5194, 0.5062, 0.4941, 0.4832, 0.4733, 0.4645, 0.4567, 0.4498, 0.4438, 0.4386, 0.4343, 0.4306, 0.4278, 0.4255, 0.4237, 0.4224, 0.4217, 0.4213, 0.4213, 0.4217, 0.4222, 0.4231, 0.4241, 0.4252, 0.4265, 0.4278, 0.4292, 0.4306, 0.432, 0.4335, 0.4349, 0.4362, 0.4373, 0.4385, 0.4395, 0.4404, 0.4412, 0.4419, 0.4424, 0.4428 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.431, "rotation": -0.005, "wingChange": 0.014, "rmsChange": 0.444 } }, { "label": "25JUN27", "expiry": 1813910400000, "tauYears": 0.75768268, "daysToExpiry": 276.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 2835.61, "previous": 2714.74, "change": 120.87, "percentChange": 4.45 }, "atmIv": { "current": 55.7, "previous": 55.61, "change": 0.09, "percentChange": 0.16 }, "rr25": { "current": 1.81, "previous": 1.98, "change": -0.17, "percentChange": -8.59 }, "bf25": { "current": 2.97, "previous": 2.84, "change": 0.13, "percentChange": 4.58 }, "svi": { "a": { "current": 0.0162, "previous": 0.0109, "change": 0.0052, "percentChange": 48.01 }, "b": { "current": 0.2882, "previous": 0.2998, "change": -0.0116, "percentChange": -3.86 }, "rho": { "current": -0.4221, "previous": -0.4582, "change": 0.0361, "percentChange": 7.88 }, "m": { "current": -0.3828, "previous": -0.4396, "change": 0.0569, "percentChange": 12.94 }, "sigma": { "current": 0.8317, "previous": 0.8344, "change": -0.0026, "percentChange": -0.32 } }, "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": [ 57.0951, 56.9379, 56.7891, 56.6488, 56.5169, 56.3934, 56.2783, 56.1716, 56.0732, 55.983, 55.9011, 55.8272, 55.7614, 55.7035, 55.6534, 55.6111, 55.5763, 55.5491, 55.5292, 55.5165, 55.5109, 55.5123, 55.5205, 55.5353, 55.5566, 55.5843, 55.6182, 55.6582, 55.704, 55.7556, 55.8128, 55.8755, 55.9434, 56.0165, 56.0945, 56.1774, 56.265, 56.3571, 56.4536, 56.5544, 56.6594 ], "previous": [ 56.8024, 56.654, 56.5143, 56.383, 56.2603, 56.146, 56.04, 55.9424, 55.8531, 55.7718, 55.6987, 55.6335, 55.5761, 55.5265, 55.4845, 55.45, 55.4229, 55.403, 55.3901, 55.3842, 55.3851, 55.3927, 55.4067, 55.4271, 55.4537, 55.4863, 55.5248, 55.569, 55.6188, 55.674, 55.7345, 55.8001, 55.8707, 55.9462, 56.0263, 56.1109, 56.2, 56.2933, 56.3907, 56.4921, 56.5974 ], "change": [ 0.2927, 0.2839, 0.2748, 0.2658, 0.2566, 0.2474, 0.2383, 0.2292, 0.2201, 0.2112, 0.2024, 0.1937, 0.1853, 0.177, 0.1689, 0.1611, 0.1534, 0.1461, 0.1391, 0.1323, 0.1258, 0.1196, 0.1138, 0.1082, 0.1029, 0.098, 0.0934, 0.0892, 0.0852, 0.0816, 0.0783, 0.0754, 0.0727, 0.0703, 0.0682, 0.0665, 0.065, 0.0638, 0.0629, 0.0623, 0.062 ], "classification": [ "parallel shift higher" ], "parallelShift": 0.136, "rotation": -0.124, "wingChange": 0.015, "rmsChange": 0.162 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "24SEP26", "value": 6.997, "score": 6.997, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 2.65, "score": 2.65, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1M", "value": 1.22, "score": 1.22, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": 0.22, "score": 0.22, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25SEP26", "value": 0.1062, "score": 0.1062, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "27NOV26", "value": 0.0866, "score": 0.0866, "unit": "parameter units" } ], "expiryEffects": [ { "label": "22SEP26", "daysToExpiry": 0.554, "metric": "Smile rotation", "value": 28.68, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "23SEP26", "daysToExpiry": 1.554, "metric": "Smile rotation", "value": 12.532, "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": 9.56178617, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "22SEP26", "expiry": 1790064000000, "value": 0.007742516604, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "22SEP26", "expiry": 1790064000000, "value": -18.54477129, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00168602, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -1.00883836, "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": "22SEP26", "values": [ 43.0975, 40.5989, 38.043, 35.4284, 32.7537, 30.0177, 27.2202, 24.3611, 21.4422, 18.4673, 15.4437, 12.3852, 9.3157, 6.2772, 3.3422, 0.6337, -1.6475, -3.2018, -3.6566, -2.6999, -0.2847, 3.3051, 7.625, 12.286, 17.0402, 21.7621, 26.4024, 30.9505, 35.4124, 39.7997, 44.1242, 48.3964, 52.6248, 56.8158, 60.974, 65.1028, 69.2043, 73.2799, 77.33, 81.355, 85.3546 ] }, { "label": "23SEP26", "values": [ 10.6146, 9.7644, 8.9168, 8.0728, 7.2342, 6.4029, 5.5817, 4.7744, 3.9862, 3.224, 2.4978, 1.8208, 1.211, 0.6925, 0.2961, 0.0594, 0.0232, 0.2255, 0.6902, 1.4159, 2.3725, 3.5065, 4.7561, 6.0664, 7.3965, 8.7213, 10.0276, 11.3107, 12.5705, 13.8091, 15.0299, 16.236, 17.4308, 18.6168, 19.7965, 20.9717, 22.144, 23.3144, 24.484, 25.6534, 26.8231 ] }, { "label": "24SEP26", "values": [ 5.2414, 4.8789, 4.5221, 4.1722, 3.8307, 3.4997, 3.1814, 2.8791, 2.5964, 2.3377, 2.1089, 1.9168, 1.7694, 1.6764, 1.6478, 1.6944, 1.8256, 2.0477, 2.3623, 2.7644, 3.2423, 3.7791, 4.3566, 4.9574, 5.5674, 6.1772, 6.781, 7.3759, 7.9612, 8.5375, 9.1057, 9.6669, 10.2227, 10.7738, 11.3214, 11.8663, 12.4091, 12.9503, 13.4903, 14.0294, 14.5676 ] }, { "label": "25SEP26", "values": [ 0.5401, 0.5366, 0.547, 0.5724, 0.6138, 0.6724, 0.7497, 0.8469, 0.9657, 1.1072, 1.273, 1.4639, 1.6804, 1.9223, 2.188, 2.4745, 2.7774, 3.0904, 3.4057, 3.7154, 4.0111, 4.2863, 4.536, 4.7581, 4.9524, 5.1208, 5.2663, 5.3927, 5.5038, 5.6034, 5.6946, 5.7803, 5.8629, 5.9444, 6.026, 6.1092, 6.1949, 6.2836, 6.3762, 6.4727, 6.5736 ] }, { "label": "2OCT26", "values": [ 4.5444, 4.4475, 4.3485, 4.2476, 4.1452, 4.0416, 3.9373, 3.8326, 3.7281, 3.6244, 3.522, 3.4217, 3.3244, 3.2309, 3.142, 3.0587, 2.9823, 2.9135, 2.8535, 2.8031, 2.763, 2.7339, 2.7161, 2.7096, 2.7144, 2.7301, 2.7561, 2.7919, 2.8366, 2.8894, 2.9494, 3.0158, 3.0878, 3.1645, 3.2454, 3.3296, 3.4166, 3.5059, 3.5969, 3.6891, 3.7823 ] }, { "label": "9OCT26", "values": [ -0.4614, -0.4288, -0.3924, -0.3519, -0.3073, -0.2582, -0.2044, -0.1457, -0.0823, -0.0139, 0.0595, 0.1377, 0.2203, 0.3072, 0.3979, 0.4917, 0.5881, 0.6862, 0.7854, 0.8848, 0.9836, 1.081, 1.1762, 1.2687, 1.3579, 1.4433, 1.5247, 1.6016, 1.6743, 1.7423, 1.806, 1.8653, 1.9205, 1.9717, 2.019, 2.0626, 2.1029, 2.1401, 2.1743, 2.2057, 2.2347 ] }, { "label": "30OCT26", "values": [ -0.3374, -0.2805, -0.2212, -0.1593, -0.0948, -0.0279, 0.0415, 0.1133, 0.1874, 0.2636, 0.3419, 0.422, 0.5037, 0.5869, 0.6712, 0.7563, 0.8419, 0.9277, 1.0135, 1.0989, 1.1836, 1.2671, 1.3494, 1.4301, 1.509, 1.5857, 1.6603, 1.7324, 1.8019, 1.8688, 1.9329, 1.9941, 2.0525, 2.108, 2.1608, 2.2106, 2.2578, 2.3022, 2.344, 2.3832, 2.4199 ] }, { "label": "27NOV26", "values": [ 0.8295, 0.8713, 0.9093, 0.9436, 0.9741, 1.0007, 1.0236, 1.0428, 1.0584, 1.0703, 1.0789, 1.0841, 1.0861, 1.0852, 1.0814, 1.075, 1.0661, 1.0551, 1.042, 1.0272, 1.0107, 0.993, 0.9743, 0.9546, 0.9343, 0.9135, 0.8924, 0.8713, 0.8502, 0.8292, 0.8087, 0.7886, 0.7691, 0.7502, 0.7321, 0.7147, 0.6981, 0.6824, 0.6675, 0.6536, 0.6406 ] }, { "label": "25DEC26", "values": [ 1.1614, 1.1442, 1.1267, 1.1089, 1.0912, 1.0735, 1.056, 1.0388, 1.0219, 1.0055, 0.9898, 0.9747, 0.9604, 0.9471, 0.9346, 0.9232, 0.9128, 0.9037, 0.8956, 0.8888, 0.8833, 0.879, 0.8759, 0.8741, 0.8735, 0.874, 0.8758, 0.8789, 0.8828, 0.8879, 0.8941, 0.9011, 0.9091, 0.9178, 0.9274, 0.9376, 0.9484, 0.96, 0.972, 0.9845, 0.9974 ] }, { "label": "26MAR27", "values": [ 0.5338, 0.5194, 0.5062, 0.4941, 0.4832, 0.4733, 0.4645, 0.4567, 0.4498, 0.4438, 0.4386, 0.4343, 0.4306, 0.4278, 0.4255, 0.4237, 0.4224, 0.4217, 0.4213, 0.4213, 0.4217, 0.4222, 0.4231, 0.4241, 0.4252, 0.4265, 0.4278, 0.4292, 0.4306, 0.432, 0.4335, 0.4349, 0.4362, 0.4373, 0.4385, 0.4395, 0.4404, 0.4412, 0.4419, 0.4424, 0.4428 ] }, { "label": "25JUN27", "values": [ 0.2927, 0.2839, 0.2748, 0.2658, 0.2566, 0.2474, 0.2383, 0.2292, 0.2201, 0.2112, 0.2024, 0.1937, 0.1853, 0.177, 0.1689, 0.1611, 0.1534, 0.1461, 0.1391, 0.1323, 0.1258, 0.1196, 0.1138, 0.1082, 0.1029, 0.098, 0.0934, 0.0892, 0.0852, 0.0816, 0.0783, 0.0754, 0.0727, 0.0703, 0.0682, 0.0665, 0.065, 0.0638, 0.0629, 0.0623, 0.062 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Ether options turn more call-rich at the one-month tenor", "standfirst": "Ether one-month RR25 rose 1.22 volatility points to 2.03% over the observation window, making call-side volatility relatively richer than put-side volatility. Derivasys data show the one-week ATM IV increase was more routine: one-week ATM IV rose 2.65 volatility points to 51.27%. The 24SEP26 Ether forward-proxy price rose 4.36% to $2,750.27, while long-end ATM IV changed only modestly.", "days": [ { "reportDate": "2026-09-21", "headline": "Ether skew shifts toward calls", "summary": "Ether one-month RR25 became more call-rich while one-week ATM IV rose routinely.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options turn more call-rich at the one-month tenor", "standfirst": "Ether one-month RR25 rose 1.22 volatility points to 2.03% over the observation window, making call-side volatility relatively richer than put-side volatility. Derivasys data show the one-week ATM IV increase was more routine: one-week ATM IV rose 2.65 volatility points to 51.27%. The 24SEP26 Ether forward-proxy price rose 4.36% to $2,750.27, while long-end ATM IV changed only modestly.", "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 ETH context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790620920215, "availability": "available", "unavailableReason": null, "atmIv": { "current": 51.27, "previous": 48.62, "change": 2.65, "percentChange": 5.45 }, "rr25": { "current": 1.97, "previous": 1.48, "change": 0.49, "percentChange": 33.11 }, "bf25": { "current": 3.11, "previous": 2.98, "change": 0.13, "percentChange": 4.36 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.65, "movePercentile30d": 46.7, "movePercentileFullHistory": 50.0, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "rr25": { "absoluteMove": 0.49, "movePercentile30d": 26.7, "movePercentileFullHistory": 26.5, "currentLevelPercentileFullHistory": 75.7, "classificationPercentile": 26.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 10.0, "movePercentileFullHistory": 11.8, "currentLevelPercentileFullHistory": 64.9, "classificationPercentile": 11.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 34, "levelObservationsFullHistory": 37 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-21", "generatedAt": "2026-09-21T18:43:38+00:00", "currentSnapshotAt": "2026-09-21T18:42:00+00:00", "previousSnapshotAt": "2026-09-20T18:42:00+00:00", "sourceSnapshots": { "current": { "id": 436257, "timestamp": "2026-09-21T18:42:00+00:00" }, "previous": { "id": 427786, "timestamp": "2026-09-20T18:42:00+00:00" } }, "windowHours": 24.0, "currency": "SOL", "methodology": { "source": "Derivasys proprietary historical SVI surface database", "comparison": "Nearest successful surface snapshots approximately 24 hours apart", "rrConvention": "25-delta call IV minus 25-delta put IV", "bfConvention": "Average 25-delta wing IV minus ATM forward IV", "greeks": "Black forward Greeks for a normalized one-SOL ATM-forward call, zero rate, fitted SVI IV", "commentary": "Metrics and takeaways are deterministic. Daily headlines and introductions may be model-assisted, constrained to the same stored facts; weekly prose is deterministic.", "fixedTenors": "Fixed-tenor measures are published only when listed expiries bracket the target at both comparison snapshots. Targets outside either observable range are suppressed, not extrapolated; headline rankings use only supported tenors.", "smileReconstruction": "Listed-expiry smiles are reconstructed from stored SVI total-variance parameters on a fixed log-moneyness grid.", "ultraShortExpiry": "Expiries with fewer than 2 full days remaining stay in detailed tables but are excluded from headline rankings. Settlement proximity, time decay, changing liquidity and fewer quotes can exaggerate their changes.", "causalClaims": "The report describes observed surface changes only and does not infer unsupported market drivers, spot moves, flows or forecasts." }, "realisedVolatilityUnavailableReason": "Canonical SOL index coverage for 24h is incomplete: expected 1440 one-minute returns, found 1211 (84.0972% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02785923, "previousObjective": 0.01590487, "currentLiveError": 19.57056366, "previousLiveError": 8.83098749 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "23SEP26" ], "removedExpiries": [ "21SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana one-week volatility rises sharply with call-rich skew", "executiveSummary": "Solana one-week ATM IV rose 5.85 volatility points to 63.31%, a notable move at the 75th percentile of 24 comparable observations. The front-end ATM IV average rose 4.15 volatility points to 60.19%, while one-week RR25 increased 3.16 volatility points to 3.29%, leaving call-side volatility relatively richer.", "evidenceIds": [ "largest-standard-tenor", "rr25", "back-atm" ], "newsSummary": "News check: no qualifying in-window context was retained for the Solana options repricing.", "marketContextSummary": "No retained news item supports an assessment of a driver for the Solana options move.", "marketContext": [], "newsEvidenceIds": [], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +4.15 volatility points to 60.19% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.92 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.28 volatility points to 4.96% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.85 volatility points at 1W, to 63.31%.", "tenor": "1W", "value": 5.85 } ] }, "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": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00+00:00", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00+00:00", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "feaefd594b24023b25f24b953cfd296ccc9adb68df0dd70f86e568bbaf7ee64e" } ] }, { "arguments": { "assets": [ "SOL" ], "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 2, "hasMore": false, "nextCursor": null, "resultSha256": "feaefd594b24023b25f24b953cfd296ccc9adb68df0dd70f86e568bbaf7ee64e" } ] }, { "arguments": { "content_kinds": [ "catalyst", "reporting" ], "end": "2026-09-21T18:42:00Z", "limit": 50, "min_confidence": 0, "min_importance": 0, "start": "2026-09-20T18:42:00Z", "statuses": [ "breaking", "developing", "confirmed" ] }, "complete": true, "pages": [ { "cursor": null, "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "fbc5f31af503245beeb5f601f912931a6d046c4593a331667459787452775bc4" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTY6Mjg6MzcuMDQzODk4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhmYjkyYzQ0LTk1MDMtNGU5MC04YmNmLTcxNWU2ODFjMWQwYiIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "6bf21d89b6cf770bef1f410f1f92bfea29d49e028297234cdf036857e180f755" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTM6NTg6MDcuNjMzNTU1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6Ijk2NjE1OTBlLTJkY2MtNGZjZi05YzUzLTRjYTU5Yzc0YmVlNyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "dd55d956e794ee2a46e709102884ad58cd04de1069783c2df37622f7470e3942" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMTE6MzY6MzYuNzkwNzc4KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjVlODI5ODI5LTdlNjEtNGUxMC05NmU2LTViOWEzZTE5MTg2YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "d9fad556528d9deab358265855383e0cb0d6369c9fe03cca77cce4999bd0e528" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDk6MjA6NDYuNTg5Mjc5KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjhiZGNkMGVmLTFjNWEtNDQwNS05MGUzLWIwMWJlNjFiNTQ3YyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "e1186901f7e058103580b0221293e464441b4dcbf6e42cd741c9e19ea414e4be" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjFUMDY6MDA6MTAuMjgzOTY0KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6ImFmNDY2OTkyLTFkZTUtNGI0Yy1iNDI4LTBlOWFlZjAwYjdkMCIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "c84532becf92e12dfab91e9dd45c49cd9eebccb026b96e610dc0ac80bdb861b2" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMjM6NTU6MjcuNDc3NjQ1KzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjcyZmFhODIwLWU1NTQtNDhmNi05OWJkLTE0ODBkOGNhNzQ5MyIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 50, "hasMore": true, "nextCursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "resultSha256": "232b74a835bedecdb96657f919d10ac5097eba2099b6ae2f8f12165b9ffd1045" }, { "cursor": "eyJhdCI6IjIwMjYtMDktMjBUMTk6MTU6MTMuNTM3NDMzKzAwOjAwIiwiZmlsdGVycyI6ImVhNWM3OTUxYzZlYzE2NmUiLCJpZCI6IjZjNGUwN2ZhLTQxZDEtNDE1Ni1iOGFjLTE2N2Q5MjcyNTQ4YSIsInNvcnQiOiJmaXJzdF9zZWVuX2F0OmRlc2MsZXZlbnRfaWQ6ZGVzYyIsInYiOjF9", "status": "succeeded", "returnedCount": 8, "hasMore": false, "nextCursor": null, "resultSha256": "4d085c3dfcfd8c66291d43967ee35eb588d43ff72128f6a0394e03045b2545c3" } ] } ], "upstreamIngestionHealth": "not-exposed" }, "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "coverage": { "configuredSources": 1, "successfulSources": 1, "failedSources": 0 }, "provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 4, "macroQueries": 18, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 1140, "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": 7, "articlesPassingTimeFilter": 7, "articlesPassingSourceRelevanceRules": 1, "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": "8239be5f-867d-4c94-94a3-c038ff264ca9", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c7007b2d-2313-45ec-9539-92a1b94ef328", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "298cf57d-cb84-4f9b-ae2d-9f29d9a11f12", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "8bdcd0ef-1c5a-4405-90e3-b01be61b547c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "5e829829-7e61-4e10-96e6-5b9a3e19186c", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "selected": false, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "editorial-selection" } ], "planRationale": "ZetaChain’s proposed migration concerns ZETA’s network transition, not a demonstrated SOL options catalyst; it is excluded for insufficient direct relevance. No eligible context selected.", "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 5.85 volatility points to 63.31%, a notable move at the 75th percentile among 24 comparable historical observations. Front-end ATM IV averaged 60.19%, +4.15 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 3.16 volatility points toward calls to 3.29%, leaving calls richer than puts. 1W BF25 rose 0.60 volatility points to 5.13%. The nearest eligible forward, 25SEP26, rose $7.39 (+6.72%) to $117.38. 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 +4.15 volatility points to 60.19% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +1.92 volatility points to 3.83% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.28 volatility points to 4.96% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +5.85 volatility points at 1W, to 63.31%.", "tenor": "1W", "value": 5.85 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 3.51, "rr25Change": 1.92, "bf25Change": 0.29, "largestAtmMove": { "tenor": "1W", "current": 63.31, "previous": 57.46, "change": 5.85, "historicalSignificance": { "absoluteMove": 5.85, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } }, "frontEndAverageAtm": { "current": 60.19, "previous": 56.04, "change": 4.15 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 3.29, "previous": 0.13, "change": 3.16, "historicalSignificance": { "absoluteMove": 3.16, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 5.13, "previous": 4.53, "change": 0.6, "historicalSignificance": { "absoluteMove": 0.6, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 3.554, "current": 117.38, "previous": 109.99, "change": 7.39, "percentChange": 6.72 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790620920450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 63.31, "previous": 57.46, "change": 5.85, "percentChange": 10.18 }, "rr25": { "current": 3.29, "previous": 0.13, "change": 3.16, "percentChange": 2430.77 }, "bf25": { "current": 5.13, "previous": 4.53, "change": 0.6, "percentChange": 13.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.85, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 3.16, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.6, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } }, { "tenor": "2W", "targetExpiry": 1791225720450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 59.47, "previous": 55.78, "change": 3.69, "percentChange": 6.62 }, "rr25": { "current": 3.36, "previous": 0.98, "change": 2.38, "percentChange": 242.86 }, "bf25": { "current": 4.9, "previous": 4.32, "change": 0.58, "percentChange": 13.43 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.69, "movePercentile30d": 70.8, "movePercentileFullHistory": 70.8, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 70.8, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 2.38, "movePercentile30d": 58.3, "movePercentileFullHistory": 58.3, "currentLevelPercentileFullHistory": 72.0, "classificationPercentile": 58.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.58, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } }, { "tenor": "1M", "targetExpiry": 1792608120450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 57.79, "previous": 54.88, "change": 2.91, "percentChange": 5.3 }, "rr25": { "current": 3.73, "previous": 2.75, "change": 0.98, "percentChange": 35.64 }, "bf25": { "current": 4.33, "previous": 4.41, "change": -0.08, "percentChange": -1.81 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.91, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 0.98, "movePercentile30d": 33.3, "movePercentileFullHistory": 33.3, "currentLevelPercentileFullHistory": 88.0, "classificationPercentile": 33.3, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 20.8, "movePercentileFullHistory": 20.8, "currentLevelPercentileFullHistory": 48.0, "classificationPercentile": 20.8, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } }, { "tenor": "3M", "targetExpiry": 1797878520450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 56.47, "previous": 54.89, "change": 1.58, "percentChange": 2.88 }, "rr25": { "current": 4.92, "previous": 3.78, "change": 1.14, "percentChange": 30.16 }, "bf25": { "current": 5.5, "previous": 5.46, "change": 0.04, "percentChange": 0.73 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.58, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 1.14, "movePercentile30d": 70.8, "movePercentileFullHistory": 70.8, "currentLevelPercentileFullHistory": 100.0, "classificationPercentile": 70.8, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.04, "movePercentile30d": 12.5, "movePercentileFullHistory": 12.5, "currentLevelPercentileFullHistory": 68.0, "classificationPercentile": 12.5, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } }, { "tenor": "6M", "targetExpiry": 1805740920450, "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": 1813603320450, "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": 1821552120450, "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": "22SEP26", "expiry": 1790064000000, "tauYears": 0.00151829, "daysToExpiry": 0.554, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 117.32, "previous": 109.98, "change": 7.34, "percentChange": 6.67 }, "atmIv": { "current": 78.94, "previous": 63.61, "change": 15.33, "percentChange": 24.1 }, "rr25": { "current": 6.84, "previous": 3.25, "change": 3.59, "percentChange": 110.46 }, "bf25": { "current": 4.76, "previous": 7.21, "change": -2.45, "percentChange": -33.98 }, "svi": { "a": { "current": -0.0581, "previous": -0.0435, "change": -0.0146, "percentChange": -33.55 }, "b": { "current": 0.1217, "previous": 0.1436, "change": -0.0219, "percentChange": -15.27 }, "rho": { "current": 0.1273, "previous": 0.0324, "change": 0.0949, "percentChange": 293.12 }, "m": { "current": 0.0481, "previous": 0.005, "change": 0.0431, "percentChange": 857.64 }, "sigma": { "current": 0.4893, "previous": 0.3152, "change": 0.1741, "percentChange": 55.23 } }, "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": [ 250.6663, 239.7837, 228.8384, 217.8417, 206.8078, 195.7544, 184.7037, 173.6842, 162.7318, 151.8929, 141.2279, 130.8153, 120.759, 111.196, 102.3068, 94.3254, 87.5441, 82.3025, 78.9479, 77.7602, 78.8669, 82.1979, 87.5154, 94.4937, 102.7989, 112.1351, 122.2609, 132.9872, 144.1686, 155.6932, 167.475, 179.4466, 191.555, 203.7577, 216.0205, 228.3152, 240.6185, 252.9111, 265.1767, 277.4018, 289.5747 ], "previous": [ 205.8582, 197.6588, 189.358, 180.9611, 172.4759, 163.913, 155.2868, 146.6159, 137.9255, 129.2482, 120.627, 112.1189, 103.7986, 95.7653, 88.1499, 81.1237, 74.9055, 69.7616, 65.9874, 63.861, 63.5711, 65.1526, 68.4739, 73.2861, 79.2967, 86.2272, 93.8413, 101.9503, 110.4083, 119.1037, 127.9516, 136.8869, 145.8601, 154.8329, 163.7759, 172.6667, 181.4877, 190.226, 198.8716, 207.4172, 215.8577 ], "change": [ 44.8081, 42.1249, 39.4804, 36.8806, 34.3319, 31.8414, 29.4169, 27.0683, 24.8063, 22.6447, 20.6009, 18.6964, 16.9604, 15.4307, 14.1569, 13.2017, 12.6386, 12.5409, 12.9605, 13.8992, 15.2958, 17.0453, 19.0415, 21.2076, 23.5022, 25.9079, 28.4196, 31.0369, 33.7603, 36.5895, 39.5234, 42.5597, 45.6949, 48.9248, 52.2446, 55.6485, 59.1308, 62.6851, 66.3051, 69.9846, 73.717 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 25.14, "rotation": 18.922, "wingChange": 14.766, "rmsChange": 37.161 } }, { "label": "25SEP26", "expiry": 1790323200000, "tauYears": 0.00973747, "daysToExpiry": 3.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 117.38, "previous": 109.99, "change": 7.39, "percentChange": 6.72 }, "atmIv": { "current": 70.86, "previous": 59.22, "change": 11.64, "percentChange": 19.66 }, "rr25": { "current": 3.66, "previous": -0.09, "change": 3.75, "percentChange": 4166.67 }, "bf25": { "current": 4.92, "previous": 4.85, "change": 0.07, "percentChange": 1.44 }, "svi": { "a": { "current": -0.1113, "previous": -0.0746, "change": -0.0367, "percentChange": -49.18 }, "b": { "current": 0.1856, "previous": 0.1656, "change": 0.02, "percentChange": 12.06 }, "rho": { "current": -0.1138, "previous": -0.1048, "change": -0.009, "percentChange": -8.57 }, "m": { "current": -0.0871, "previous": -0.048, "change": -0.0391, "percentChange": -81.56 }, "sigma": { "current": 0.6298, "previous": 0.4794, "change": 0.1503, "percentChange": 31.35 } }, "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": [ 130.5567, 125.8304, 121.1639, 116.5692, 112.0602, 107.6527, 103.3644, 99.2153, 95.2279, 91.4274, 87.8415, 84.5008, 81.4381, 78.6876, 76.2845, 74.263, 72.6548, 71.4868, 70.7787, 70.5419, 70.7775, 71.4769, 72.6218, 74.1863, 76.1388, 78.4443, 81.0663, 83.9686, 87.1166, 90.4778, 94.0228, 97.7249, 101.5604, 105.5082, 109.5501, 113.6699, 117.8535, 122.0887, 126.3647, 130.6723, 135.0034 ], "previous": [ 124.9805, 120.4444, 115.9243, 111.4297, 106.9717, 102.5628, 98.2178, 93.9537, 89.7904, 85.7505, 81.8602, 78.1493, 74.6517, 71.405, 68.4503, 65.8316, 63.5935, 61.7794, 60.428, 59.5696, 59.223, 59.3933, 60.0704, 61.2311, 62.8408, 64.8577, 67.2359, 69.9293, 72.8931, 76.0858, 79.4702, 83.0129, 86.6852, 90.4621, 94.3222, 98.2471, 102.2213, 106.2316, 110.2667, 114.317, 118.3746 ], "change": [ 5.5762, 5.386, 5.2396, 5.1395, 5.0885, 5.0899, 5.1466, 5.2616, 5.4375, 5.6769, 5.9813, 6.3515, 6.7864, 7.2826, 7.8342, 8.4314, 9.0613, 9.7074, 10.3507, 10.9723, 11.5545, 12.0836, 12.5514, 12.9552, 13.298, 13.5866, 13.8304, 14.0393, 14.2235, 14.392, 14.5526, 14.712, 14.8752, 15.0461, 15.2279, 15.4228, 15.6322, 15.8571, 16.098, 16.3553, 16.6288 ], "classification": [ "rotation towards calls", "wing flattening" ], "parallelShift": 10.696, "rotation": 8.571, "wingChange": -1.288, "rmsChange": 11.479 } }, { "label": "2OCT26", "expiry": 1790928000000, "tauYears": 0.02891555, "daysToExpiry": 10.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 117.48, "previous": 110.05, "change": 7.43, "percentChange": 6.75 }, "atmIv": { "current": 60.47, "previous": 56.13, "change": 4.34, "percentChange": 7.73 }, "rr25": { "current": 3.15, "previous": 0.29, "change": 2.86, "percentChange": 986.21 }, "bf25": { "current": 5.23, "previous": 4.29, "change": 0.94, "percentChange": 21.91 }, "svi": { "a": { "current": -0.0831, "previous": -0.0855, "change": 0.0023, "percentChange": 2.7 }, "b": { "current": 0.1856, "previous": 0.1749, "change": 0.0107, "percentChange": 6.11 }, "rho": { "current": -0.1137, "previous": -0.0461, "change": -0.0676, "percentChange": -146.74 }, "m": { "current": -0.0736, "previous": -0.0223, "change": -0.0514, "percentChange": -230.89 }, "sigma": { "current": 0.5078, "previous": 0.5461, "change": -0.0383, "percentChange": -7.01 } }, "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": [ 92.6575, 89.9712, 87.3303, 84.7434, 82.2196, 79.7689, 77.4024, 75.1319, 72.9701, 70.9306, 69.0272, 67.2746, 65.6873, 64.2795, 63.0647, 62.0553, 61.2617, 60.6922, 60.3522, 60.2442, 60.3673, 60.7177, 61.2882, 62.0693, 63.0493, 64.2149, 65.5517, 67.045, 68.6798, 70.4414, 72.3158, 74.2897, 76.3508, 78.4874, 80.6893, 82.9468, 85.2514, 87.5954, 89.9718, 92.3746, 94.7983 ], "previous": [ 86.9994, 84.6348, 82.3034, 80.0116, 77.7661, 75.5748, 73.4458, 71.3882, 69.4117, 67.527, 65.7452, 64.0779, 62.5373, 61.1355, 59.8849, 58.7972, 57.8832, 57.1526, 56.6134, 56.2717, 56.131, 56.1923, 56.4542, 56.9125, 57.5608, 58.3907, 59.3921, 60.5539, 61.864, 63.31, 64.8797, 66.5608, 68.3416, 70.211, 72.1585, 74.1746, 76.2503, 78.3774, 80.5485, 82.757, 84.9968 ], "change": [ 5.6581, 5.3364, 5.0269, 4.7318, 4.4535, 4.1941, 3.9566, 3.7437, 3.5584, 3.4036, 3.282, 3.1967, 3.15, 3.144, 3.1798, 3.2581, 3.3785, 3.5396, 3.7388, 3.9725, 4.2363, 4.5254, 4.834, 5.1568, 5.4885, 5.8242, 6.1596, 6.4911, 6.8158, 7.1314, 7.4361, 7.7289, 8.0092, 8.2764, 8.5308, 8.7722, 9.0011, 9.218, 9.4233, 9.6176, 9.8015 ], "classification": [ "rotation towards calls", "wing steepening" ], "parallelShift": 4.985, "rotation": 4.154, "wingChange": 1.123, "rmsChange": 6.019 } }, { "label": "30OCT26", "expiry": 1793347200000, "tauYears": 0.10562788, "daysToExpiry": 38.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 117.67, "previous": 110.22, "change": 7.45, "percentChange": 6.76 }, "atmIv": { "current": 57.46, "previous": 54.69, "change": 2.77, "percentChange": 5.06 }, "rr25": { "current": 3.8, "previous": 3.14, "change": 0.66, "percentChange": 21.02 }, "bf25": { "current": 4.22, "previous": 4.42, "change": -0.2, "percentChange": -4.52 }, "svi": { "a": { "current": -0.0782, "previous": -0.0627, "change": -0.0155, "percentChange": -24.69 }, "b": { "current": 0.1912, "previous": 0.1801, "change": 0.0111, "percentChange": 6.17 }, "rho": { "current": -0.1366, "previous": -0.0728, "change": -0.0638, "percentChange": -87.68 }, "m": { "current": -0.1217, "previous": -0.0654, "change": -0.0563, "percentChange": -86.22 }, "sigma": { "current": 0.5942, "previous": 0.5278, "change": 0.0664, "percentChange": 12.58 } }, "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": [ 65.3431, 64.4796, 63.6527, 62.8648, 62.1181, 61.415, 60.7577, 60.1484, 59.5891, 59.0817, 58.6279, 58.2293, 57.887, 57.6023, 57.3759, 57.2082, 57.0996, 57.0498, 57.0587, 57.1254, 57.2493, 57.4289, 57.6631, 57.9501, 58.2882, 58.6755, 59.1098, 59.5891, 60.111, 60.6734, 61.2739, 61.9103, 62.5801, 63.2813, 64.0116, 64.769, 65.5512, 66.3565, 67.1828, 68.0284, 68.8916 ], "previous": [ 64.0089, 63.0908, 62.204, 61.3512, 60.5352, 59.7588, 59.0247, 58.336, 57.6952, 57.1052, 56.5685, 56.0874, 55.6642, 55.3009, 54.999, 54.76, 54.5848, 54.4741, 54.4281, 54.4468, 54.5295, 54.6755, 54.8835, 55.152, 55.479, 55.8626, 56.3004, 56.7899, 57.3284, 57.9134, 58.542, 59.2114, 59.9188, 60.6616, 61.4369, 62.2423, 63.0752, 63.9332, 64.814, 65.7153, 66.6353 ], "change": [ 1.3342, 1.3888, 1.4487, 1.5136, 1.5829, 1.6562, 1.733, 1.8124, 1.8939, 1.9765, 2.0594, 2.1419, 2.2228, 2.3014, 2.3769, 2.4482, 2.5148, 2.5757, 2.6306, 2.6786, 2.7198, 2.7534, 2.7796, 2.7981, 2.8092, 2.8129, 2.8094, 2.7992, 2.7826, 2.76, 2.7319, 2.6989, 2.6613, 2.6197, 2.5747, 2.5267, 2.476, 2.4233, 2.3688, 2.3131, 2.2563 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 2.504, "rotation": 0.672, "wingChange": -0.324, "rmsChange": 2.379 } }, { "label": "25DEC26", "expiry": 1798185600000, "tauYears": 0.25905254, "daysToExpiry": 94.554, "expiryClassification": "standard", "rankingEligible": true, "forward": { "current": 118.12, "previous": 110.67, "change": 7.45, "percentChange": 6.73 }, "atmIv": { "current": 56.44, "previous": 54.9, "change": 1.54, "percentChange": 2.81 }, "rr25": { "current": 4.96, "previous": 3.81, "change": 1.15, "percentChange": 30.18 }, "bf25": { "current": 5.54, "previous": 5.49, "change": 0.05, "percentChange": 0.91 }, "svi": { "a": { "current": -0.0026, "previous": -0.0039, "change": 0.0013, "percentChange": 34.15 }, "b": { "current": 0.1959, "previous": 0.1902, "change": 0.0057, "percentChange": 3.01 }, "rho": { "current": -0.1242, "previous": -0.0821, "change": -0.0421, "percentChange": -51.35 }, "m": { "current": -0.1009, "previous": -0.063, "change": -0.0379, "percentChange": -60.09 }, "sigma": { "current": 0.4291, "previous": 0.4321, "change": -0.003, "percentChange": -0.69 } }, "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": [ 60.5362, 60.0357, 59.5569, 59.1012, 58.6701, 58.2651, 57.8877, 57.5391, 57.2207, 56.9337, 56.6791, 56.4577, 56.2704, 56.1177, 56.0, 55.9175, 55.8701, 55.8577, 55.88, 55.9362, 56.0258, 56.1478, 56.3012, 56.485, 56.6978, 56.9384, 57.2055, 57.4977, 57.8135, 58.1516, 58.5105, 58.8889, 59.2854, 59.6988, 60.1277, 60.571, 61.0275, 61.4961, 61.9757, 62.4654, 62.9642 ], "previous": [ 59.7579, 59.2532, 58.7669, 58.3003, 57.8549, 57.4322, 57.0336, 56.6605, 56.3143, 55.9963, 55.7078, 55.45, 55.2239, 55.0303, 54.87, 54.7437, 54.6516, 54.594, 54.5709, 54.5821, 54.6274, 54.7061, 54.8176, 54.9611, 55.1355, 55.3397, 55.5727, 55.833, 56.1194, 56.4306, 56.7651, 57.1215, 57.4985, 57.8946, 58.3087, 58.7392, 59.1851, 59.645, 60.1178, 60.6025, 61.0979 ], "change": [ 0.7783, 0.7825, 0.79, 0.8009, 0.8152, 0.8329, 0.8541, 0.8786, 0.9064, 0.9374, 0.9713, 1.0077, 1.0465, 1.0874, 1.13, 1.1738, 1.2185, 1.2637, 1.3091, 1.3541, 1.3984, 1.4417, 1.4836, 1.5239, 1.5623, 1.5987, 1.6328, 1.6647, 1.6941, 1.721, 1.7454, 1.7674, 1.7869, 1.8042, 1.819, 1.8318, 1.8424, 1.8511, 1.8579, 1.8629, 1.8663 ], "classification": [ "parallel shift higher", "rotation towards calls" ], "parallelShift": 1.372, "rotation": 0.774, "wingChange": -0.04, "rmsChange": 1.413 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": 8.571, "score": 8.571, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": 5.85, "score": 5.85, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "1W", "value": 3.16, "score": 3.16, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "1W", "value": 0.6, "score": 0.6, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25SEP26", "value": 0.1503, "score": 0.1503, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "2OCT26", "value": -0.0676, "score": 0.0676, "unit": "parameter units" } ], "expiryEffects": [ { "label": "22SEP26", "daysToExpiry": 0.554, "metric": "Smile rotation", "value": 18.922, "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": 0.23738193, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "22SEP26", "expiry": 1790064000000, "value": 0.110538045801, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "22SEP26", "expiry": 1790064000000, "value": -1.29875513, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00100483, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00867686, "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": "22SEP26", "values": [ 44.8081, 42.1249, 39.4804, 36.8806, 34.3319, 31.8414, 29.4169, 27.0683, 24.8063, 22.6447, 20.6009, 18.6964, 16.9604, 15.4307, 14.1569, 13.2017, 12.6386, 12.5409, 12.9605, 13.8992, 15.2958, 17.0453, 19.0415, 21.2076, 23.5022, 25.9079, 28.4196, 31.0369, 33.7603, 36.5895, 39.5234, 42.5597, 45.6949, 48.9248, 52.2446, 55.6485, 59.1308, 62.6851, 66.3051, 69.9846, 73.717 ] }, { "label": "25SEP26", "values": [ 5.5762, 5.386, 5.2396, 5.1395, 5.0885, 5.0899, 5.1466, 5.2616, 5.4375, 5.6769, 5.9813, 6.3515, 6.7864, 7.2826, 7.8342, 8.4314, 9.0613, 9.7074, 10.3507, 10.9723, 11.5545, 12.0836, 12.5514, 12.9552, 13.298, 13.5866, 13.8304, 14.0393, 14.2235, 14.392, 14.5526, 14.712, 14.8752, 15.0461, 15.2279, 15.4228, 15.6322, 15.8571, 16.098, 16.3553, 16.6288 ] }, { "label": "2OCT26", "values": [ 5.6581, 5.3364, 5.0269, 4.7318, 4.4535, 4.1941, 3.9566, 3.7437, 3.5584, 3.4036, 3.282, 3.1967, 3.15, 3.144, 3.1798, 3.2581, 3.3785, 3.5396, 3.7388, 3.9725, 4.2363, 4.5254, 4.834, 5.1568, 5.4885, 5.8242, 6.1596, 6.4911, 6.8158, 7.1314, 7.4361, 7.7289, 8.0092, 8.2764, 8.5308, 8.7722, 9.0011, 9.218, 9.4233, 9.6176, 9.8015 ] }, { "label": "30OCT26", "values": [ 1.3342, 1.3888, 1.4487, 1.5136, 1.5829, 1.6562, 1.733, 1.8124, 1.8939, 1.9765, 2.0594, 2.1419, 2.2228, 2.3014, 2.3769, 2.4482, 2.5148, 2.5757, 2.6306, 2.6786, 2.7198, 2.7534, 2.7796, 2.7981, 2.8092, 2.8129, 2.8094, 2.7992, 2.7826, 2.76, 2.7319, 2.6989, 2.6613, 2.6197, 2.5747, 2.5267, 2.476, 2.4233, 2.3688, 2.3131, 2.2563 ] }, { "label": "25DEC26", "values": [ 0.7783, 0.7825, 0.79, 0.8009, 0.8152, 0.8329, 0.8541, 0.8786, 0.9064, 0.9374, 0.9713, 1.0077, 1.0465, 1.0874, 1.13, 1.1738, 1.2185, 1.2637, 1.3091, 1.3541, 1.3984, 1.4417, 1.4836, 1.5239, 1.5623, 1.5987, 1.6328, 1.6647, 1.6941, 1.721, 1.7454, 1.7674, 1.7869, 1.8042, 1.819, 1.8318, 1.8424, 1.8511, 1.8579, 1.8629, 1.8663 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Solana options reprice sharply as short-term volatility rises", "standfirst": "Solana one-week ATM IV rose 5.85 volatility points to 63.31% over the observation window, a notable repricing at the 75th percentile of comparable history. The 25SEP26 Solana forward-proxy price rose 6.72% to $117.38. Derivasys data show one-week RR25 rose 3.16 volatility points to 3.29%, making call-side volatility relatively richer, but unavailable long-dated tenors prevent a full curve reading.", "days": [ { "reportDate": "2026-09-21", "headline": "Solana front-end volatility jumps", "summary": "Solana one-week ATM IV and call-rich skew both rose sharply at the cutoff.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Solana options reprice sharply as short-term volatility rises", "standfirst": "Solana one-week ATM IV rose 5.85 volatility points to 63.31% over the observation window, a notable repricing at the 75th percentile of comparable history. The 25SEP26 Solana forward-proxy price rose 6.72% to $117.38. Derivasys data show one-week RR25 rose 3.16 volatility points to 3.29%, making call-side volatility relatively richer, but unavailable long-dated tenors prevent a full curve reading.", "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 SOL context returned for the requested cutoff. 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": "Cross-asset metrics use the persisted 2026-09-18 common US session; crypto realised volatility is annualised using sqrt(365) and SPX realised volatility using sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790620920450, "availability": "available", "unavailableReason": null, "atmIv": { "current": 63.31, "previous": 57.46, "change": 5.85, "percentChange": 10.18 }, "rr25": { "current": 3.29, "previous": 0.13, "change": 3.16, "percentChange": 2430.77 }, "bf25": { "current": 5.13, "previous": 4.53, "change": 0.6, "percentChange": 13.25 }, "historicalSignificance": { "atmIv": { "absoluteMove": 5.85, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 84.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "rr25": { "absoluteMove": 3.16, "movePercentile30d": 75.0, "movePercentileFullHistory": 75.0, "currentLevelPercentileFullHistory": 76.0, "classificationPercentile": 75.0, "label": "notable", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 }, "bf25": { "absoluteMove": 0.6, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.7, "currentLevelPercentileFullHistory": 92.0, "classificationPercentile": 66.7, "label": "routine", "observations30d": 24, "observationsFullHistory": 24, "levelObservationsFullHistory": 25 } } } } ], "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": 63.31, "lowest": 38.96, "spread": 24.35, "highestToLowestRatio": 1.625, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 63.31, "values": [ { "asset": "BTC", "value": 38.96 }, { "asset": "ETH", "value": 51.27 }, { "asset": "SOL", "value": 63.31 } ], "previousSpread": 23.26, "spreadChange": 1.09, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "ETH", "highest": 5.85, "lowest": 2.65, "spread": 3.2, "highestToLowestRatio": 2.2075, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 5.85, "values": [ { "asset": "BTC", "value": 4.76 }, { "asset": "ETH", "value": 2.65 }, { "asset": "SOL", "value": 5.85 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 3.29, "lowest": -0.22, "spread": 3.51, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.29, "values": [ { "asset": "BTC", "value": -0.22 }, { "asset": "ETH", "value": 1.97 }, { "asset": "SOL", "value": 3.29 } ], "previousSpread": 2.09, "spreadChange": 1.42, "dispersionDirection": "widening" }, "rr25Change": { "leader": "SOL", "laggard": "BTC", "highest": 3.16, "lowest": 0.39, "spread": 2.77, "highestToLowestRatio": 8.1026, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.16, "values": [ { "asset": "BTC", "value": 0.39 }, { "asset": "ETH", "value": 0.49 }, { "asset": "SOL", "value": 3.16 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": 5.85 }, "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": 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 } ] }, "spotPerformance24h": { "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 } ] } }, "rankings": { "oneWeekAtmIvLevel": [ { "rank": 1, "asset": "SOL", "value": 63.31, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 51.27, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 38.96, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": 5.85, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 4.76, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 2.65, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": 5.85, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": 4.76, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": 2.65, "previousRank": null, "rankChange": null } ], "ivMinusRealised7d": [ { "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 } ], "oneWeekRr25CallRichness": [ { "rank": 1, "asset": "SOL", "value": 3.29, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": 1.97, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "BTC", "value": -0.22, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -0.22, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 1.97, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "SOL", "value": 3.29, "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": 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 } ] }, "outliers": [ { "metric": "1W ATM IV change", "asset": "ETH", "value": 2.65, "groupMedian": 4.76, "distanceFromMedian": -2.11 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 38.96, "groupMedian": 51.27, "distanceFromMedian": -12.31 }, { "metric": "1W RR25 level", "asset": "BTC", "value": -0.22, "groupMedian": 1.97, "distanceFromMedian": -2.19 } ], "relativeValueObservation": null, "historicalContext": { "minimumObservations": 20, "observations": 23, "oneWeekAtmIvLevelDispersionPercentile": 87.0, "oneWeekAtmIvChangeDispersionPercentile": 56.5, "oneWeekRr25LevelDispersionPercentile": 73.9, "termStructureDispersionPercentile": null, "ivMinusRealisedDispersionPercentile": null, "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": 5.85, "lowest": 2.65, "spread": 3.2, "highestToLowestRatio": 2.2075, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 5.85, "values": [ { "asset": "BTC", "value": 4.76 }, { "asset": "ETH", "value": 2.65 }, { "asset": "SOL", "value": 5.85 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 63.31, "lowest": 38.96, "spread": 24.35, "highestToLowestRatio": 1.625, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 63.31, "values": [ { "asset": "BTC", "value": 38.96 }, { "asset": "ETH", "value": 51.27 }, { "asset": "SOL", "value": 63.31 } ], "previousSpread": 23.26, "spreadChange": 1.09, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 3.29, "lowest": -0.22, "spread": 3.51, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.29, "values": [ { "asset": "BTC", "value": -0.22 }, { "asset": "ETH", "value": 1.97 }, { "asset": "SOL", "value": 3.29 } ], "previousSpread": 2.09, "spreadChange": 1.42, "dispersionDirection": "widening" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": 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 } ] }, { "id": "majors-cross-spot-performance", "metric": "24H spot performance dispersion", "unit": "percentage 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 } ] }, { "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": "2026-09-21T18:42:00+00:00", "window": { "startAt": "2026-09-20T18:42:00+00:00", "endAt": "2026-09-21T18:42:00+00:00", "endExclusive": true }, "headline": "Major-coin options show one-week relative volatility level dispersion between Solana and Bitcoin", "standfirst": "Major-coin one-week ATM IV dispersion widened by 1.09 volatility points to 24.35 points, with Solana at 63.31% and Bitcoin at 38.96% at the cutoff. Derivasys data show Solana also posted the largest one-week ATM IV increase, 5.85 volatility points, while Ether’s 2.65-point increase was smallest. The one-week RR25 gap widened as Solana became more call-rich relative to Bitcoin.", "days": [ { "reportDate": "2026-09-21", "headline": "Major-coin volatility gap widens", "summary": "Solana retained the highest one-week ATM IV while Bitcoin remained the lowest.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Bitcoin, Ether and Solana each had retained market-related reporting.", "events": [ { "eventId": "8239be5f-867d-4c94-94a3-c038ff264ca9", "title": "Bitcoin Reaches Its Highest Level Since January as Crude Sinks 8%", "publisher": "The Defiant", "url": "https://thedefiant.io/news/markets/bitcoin-highest-since-january-crude-sinks-sep-21-2026", "publishedAt": "2026-09-21T15:40:09+00:00" }, { "eventId": "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "title": "Tom Lee's Bitmine Adds $74M in Ethereum, Declares a Crypto Bull Market 'Underway'", "publisher": "Decrypt", "url": "https://decrypt.co/378754/tom-lee-bitmine-adds-ethereum-crypto-bull-market", "publishedAt": "2026-09-21T15:00:49+00:00" }, { "eventId": "c1dd7af1-d958-4408-b067-7916b6cd3722", "title": "ZetaChain holders approve plan to wind down L1, move ZETA to Solana", "publisher": "Cointelegraph", "url": "https://cointelegraph.com/news/zetachain-shutdown-zeta-solana-migration", "publishedAt": "2026-09-21T07:31:47+00:00" } ] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": 2.53, "rr25Change": 0.9966666666666666, "bf25Change": 0.22666666666666666 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana-to-Bitcoin one-week volatility dispersion widens", "executiveSummary": "Solana’s 63.31% one-week ATM IV exceeded Bitcoin’s 38.96% by 24.35 volatility points, widening the cross-major gap by 1.09 points. Solana’s 5.85-point one-week ATM IV increase led Bitcoin’s 4.76-point move and Ether’s 2.65-point move.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-rr25-dispersion", "majors-cross-1w-atm-change-dispersion", "btc-daily", "eth-daily", "sol-daily" ], "newsSummary": "News check: The Defiant reported Bitcoin’s January-high print; Decrypt reported Bitmine added $74 million in Ether; and Cointelegraph reported ZetaChain’s planned migration of ZETA to Solana. These reports provide constituent context, not a demonstrated explanation for the widening cross-major options dispersion.", "marketContextSummary": "Retained constituent news coincided with the reporting window, but no measured reactions connect it directly to the widening gap between Solana and Bitcoin one-week ATM IV.", "marketContext": [ { "title": "Bitcoin market report and major-coin dispersion", "explanation": "Solana one-week ATM IV exceeded Bitcoin one-week ATM IV by 24.35 volatility points. Bitcoin’s reported January-high print does not establish a cause of that cross-asset gap.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "8239be5f-867d-4c94-94a3-c038ff264ca9" ] }, { "title": "Ether treasury report and major-coin dispersion", "explanation": "The cross-major one-week ATM IV gap widened, while Decrypt reported Bitmine’s Ether purchase. The evidence does not demonstrate a direct connection.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-level-dispersion" ], "news_evidence_ids": [ "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3" ] }, { "title": "Solana migration report and major-coin dispersion", "explanation": "Solana led one-week ATM IV changes at 5.85 volatility points. Cointelegraph’s ZetaChain migration report is contextual, with no measured reaction establishing causation.", "relationship": "no-clear-link", "confidence": "low", "surface_evidence_ids": [ "majors-cross-1w-atm-change-dispersion" ], "news_evidence_ids": [ "c1dd7af1-d958-4408-b067-7916b6cd3722" ] } ], "newsEvidenceIds": [ "8239be5f-867d-4c94-94a3-c038ff264ca9", "39d8d1b3-70a8-4672-aa62-6d5a3e7a57f3", "c1dd7af1-d958-4408-b067-7916b6cd3722" ] } }