{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:19:31+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "headline": "Major-coin options diverge as Solana volatility stays elevated", "standfirst": "The major-coin one-week ATM IV gap between Solana and Bitcoin widened 4.09 volatility points to 27.32 volatility points over the observation window, reaching the 87.5 percentile of the available historical comparison set. ATM IV is the implied volatility of at-the-money options, a measure of the volatility priced into contracts near the prevailing price.\n\nDerivasys data show Solana as the high end and Bitcoin as the low end of this one-week ATM IV comparison. One-week implied-versus-realised volatility data were unavailable for Bitcoin, Ether and Solana, and no qualifying news context was retained.", "marketSummary": "Derivasys data showed one-week ATM IV level dispersion of 27.32 volatility points between Solana and Bitcoin, after the Solana-versus-Bitcoin spread widened 4.09 volatility points. The one-week ATM IV change dispersion was 4.25 volatility points, spanning Solana’s 1.23-volatility-point rise and Ether’s 3.02-volatility-point decline.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-22", "artifactId": "sha256:ccd6b731e1f4689fd69e6c0918b49102ca1cf7a59b43f5b9c2a56f387e3e021a", "contentSha256": "3f6c07d5dc7c5dc8a1b4b007df940235462fc8b900aece0128b9809a9b6c9c3c", "currentSnapshotId": 446140, "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotId": 436218, "previousSnapshotAt": "2026-09-21T18:37:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-22", "artifactId": "sha256:60f5b9dbe57a11556a0da3c0d234b247a255ec70b0c859b879580ee4fb1d7a9a", "contentSha256": "8ab8e0e81ed5fba0ff76ca32802163aa256a346af5097c8e61e1639d7044b6bd", "currentSnapshotId": 446144, "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotId": 436219, "previousSnapshotAt": "2026-09-21T18:37:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-22", "artifactId": "sha256:e2d2b605ceee669b02533c4e05717c23f71de9b9a6f9173413bce0642394b658", "contentSha256": "da307c826dedea30138759dbd78f66633e24681b4fd2a094ec6c4d8c9cbfcd2e", "currentSnapshotId": 446141, "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotId": 436220, "previousSnapshotAt": "2026-09-21T18:37:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:18:40+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "sourceSnapshots": { "current": { "id": 446140, "timestamp": "2026-09-22T18:18:00+00:00" }, "previous": { "id": 436218, "timestamp": "2026-09-21T18:37:00+00:00" } }, "windowHours": 23.68, "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.07990592, "previousObjective": 0.53027486, "currentLiveError": 84.24763225, "previousLiveError": 117968.42628545 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "26SEP26" ], "removedExpiries": [ "22SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin’s two-week options convexity premium contracts sharply", "executiveSummary": "Derivasys data showed Bitcoin front-end ATM IV averaging 36.60%, down 1.14 volatility points across the 1W, 2W and 1M tenors. Bitcoin long-dated ATM IV averaged 39.36%, down 0.19 volatility points across the 6M and 1Y tenors.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "CoinDesk reported Bitcoin recovering from Asian-session lows as oil prices fell. Separately, Bitcoin Magazine reported that federal prosecutors were examining alleged Binance sanctions violations involving Iran.", "marketContextSummary": "The retained reports provide contemporaneous Bitcoin context, but neither includes measured options reactions that would connect it directly to the BF25 repricing.", "marketContext": [ { "title": "Bitcoin news and options repricing", "explanation": "The two news reports occurred within the observation window, but the available evidence does not establish that either report drove the Bitcoin two-week BF25 decline.", "relationship": "no-clear-link", "confidence": "low", "surfaceEvidenceIds": [ "bf25" ], "newsEvidenceIds": [ "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "cde60d9b-a5cf-47b2-bc4b-1711adc660a6" ] } ], "newsEvidenceIds": [ "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "cde60d9b-a5cf-47b2-bc4b-1711adc660a6" ], "takeaways": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV decreased, averaging -1.14 volatility points to 36.60% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.19 volatility points to 39.36% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.21 volatility points to -0.23% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.42 volatility points to 2.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.86 volatility points at 1W, to 36.50%.", "tenor": "1W", "value": -2.86 } ] }, "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": { 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the surface data does not establish a causal relationship.", "primary_article": { "id": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Feds Probing Binance Over Iran’s Bitcoin Use: Report", "url": "https://bitcoinmagazine.com/news/feds-probing-iran-use-of-binance", "publishedAt": "2026-09-22T16:52:26+00:00", "summary": "Bitcoin Magazine reported that federal prosecutors are examining whether Binance violated US sanctions involving Iran.", "matchedTerms": [ "BTC", "Binance", "Bitcoin", "Iran", "crypto_general", "stablecoins" ], "topics": [ "macro", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 48, "quality": { "eligible": true, "score": 47.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5851, "signals": { "confidence": 0.69, "importance": 0.75, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5851, "effectiveSourceQuality": 0.5851, "catalystScore": 0.1817, "effectiveCatalystScore": 0.1817, "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 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD", "ATM IV 1W: down 2.86 points to 36.50%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-76e7a6c32877" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market events", "events": [ { "event_cluster_id": "market-event-3975f7a19457", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD", "ATM IV 1W: down 2.86 points to 36.50%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Bitcoin recovers from Asian-session lows as falling oil price supports risk appetite", "url": "https://www.coindesk.com/markets/2026/09/22/bitcoin-recovers-from-asian-session-lows-as-falling-oil-price-supports-risk-appetite", "publishedAt": "2026-09-22T10:59:03+00:00", "summary": "Bitcoin recovered from Asian-session lows as oil prices fell, according to CoinDesk reporting.", "matchedTerms": [ "BTC", "Bitcoin" ], "topics": [ "market", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 37, "quality": { "eligible": true, "score": 36.7, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.47, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.0915, "effectiveCatalystScore": 0.0915, "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 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD", "ATM IV 1W: down 2.86 points to 36.50%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-3975f7a19457" }, "additional_coverage": [] }, { "event_cluster_id": "market-event-76e7a6c32877", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD", "ATM IV 1W: down 2.86 points to 36.50%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Feds Probing Binance Over Iran’s Bitcoin Use: Report", "url": "https://bitcoinmagazine.com/news/feds-probing-iran-use-of-binance", "publishedAt": "2026-09-22T16:52:26+00:00", "summary": "Bitcoin Magazine reported that federal prosecutors are examining whether Binance violated US sanctions involving Iran.", "matchedTerms": [ "BTC", "Binance", "Bitcoin", "Iran", "crypto_general", "stablecoins" ], "topics": [ "macro", "other" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 48, "quality": { "eligible": true, "score": 47.6, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5851, "signals": { "confidence": 0.69, "importance": 0.75, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5851, "effectiveSourceQuality": 0.5851, "catalystScore": 0.1817, "effectiveCatalystScore": 0.1817, "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 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD", "ATM IV 1W: down 2.86 points to 36.50%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +689.11 USD (+0.80%) to 86678.24 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-76e7a6c32877" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 2.86 volatility points to 36.50%, a notable move at the 76th percentile among 151 comparable historical observations. Front-end ATM IV averaged 36.60%, -1.14 points from the prior snapshot, while the long end averaged 39.36%, -0.19 points. 1W RR25 moved 1.27 volatility points toward calls to 0.56%, leaving calls richer than puts. 2W BF25 fell 0.79 volatility points to 1.70%. The nearest eligible forward, 25SEP26, rose $689.11 (+0.80%) to $86,678.24. 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 decreased, averaging -1.14 volatility points to 36.60% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.19 volatility points to 39.36% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards calls, averaging +0.21 volatility points to -0.23% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.42 volatility points to 2.02% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.86 volatility points at 1W, to 36.50%.", "tenor": "1W", "value": -2.86 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.74, "rr25Change": 0.21, "bf25Change": -0.42, "largestAtmMove": { "tenor": "1W", "current": 36.5, "previous": 39.36, "change": -2.86, "historicalSignificance": { "absoluteMove": 2.86, "movePercentile30d": 56.7, "movePercentileFullHistory": 75.5, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 75.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } }, "frontEndAverageAtm": { "current": 36.6, "previous": 37.74, "change": -1.14 }, "longEndAverageAtm": { "current": 39.36, "previous": 39.55, "change": -0.19 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": 0.56, "previous": -0.71, "change": 1.27, "historicalSignificance": { "absoluteMove": 1.27, "movePercentile30d": 53.3, "movePercentileFullHistory": 74.2, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 74.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "direction": "toward calls", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.7, "previous": 2.49, "change": -0.79, "historicalSignificance": { "absoluteMove": 0.79, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.7, "currentLevelPercentileFullHistory": 20.4, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 2.571, "current": 86678.24, "previous": 85989.13, "change": 689.11, "percentChange": 0.8 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790705880114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.5, "previous": 39.36, "change": -2.86, "percentChange": -7.27 }, "rr25": { "current": 0.56, "previous": -0.71, "change": 1.27, "percentChange": 178.87 }, "bf25": { "current": 1.96, "previous": 2.43, "change": -0.47, "percentChange": -19.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.86, "movePercentile30d": 56.7, "movePercentileFullHistory": 75.5, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 75.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 1.27, "movePercentile30d": 53.3, "movePercentileFullHistory": 74.2, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 74.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.47, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.4, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 83.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "2W", "targetExpiry": 1791310680114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.63, "previous": 37.47, "change": -0.84, "percentChange": -2.24 }, "rr25": { "current": 0.06, "previous": -0.17, "change": 0.23, "percentChange": 135.29 }, "bf25": { "current": 1.7, "previous": 2.49, "change": -0.79, "percentChange": -31.73 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.84, "movePercentile30d": 40.0, "movePercentileFullHistory": 39.1, "currentLevelPercentileFullHistory": 61.2, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 0.23, "movePercentile30d": 20.0, "movePercentileFullHistory": 21.9, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 21.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.79, "movePercentile30d": 100.0, "movePercentileFullHistory": 96.7, "currentLevelPercentileFullHistory": 20.4, "classificationPercentile": 100.0, "label": "exceptional", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "1M", "targetExpiry": 1792693080114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.68, "previous": 36.4, "change": 0.28, "percentChange": 0.77 }, "rr25": { "current": -0.47, "previous": -0.44, "change": -0.03, "percentChange": -6.82 }, "bf25": { "current": 1.91, "previous": 2.34, "change": -0.43, "percentChange": -18.38 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.28, "movePercentile30d": 20.0, "movePercentileFullHistory": 23.8, "currentLevelPercentileFullHistory": 51.3, "classificationPercentile": 23.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 0.03, "movePercentile30d": 10.0, "movePercentileFullHistory": 4.0, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 10.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.43, "movePercentile30d": 96.7, "movePercentileFullHistory": 91.4, "currentLevelPercentileFullHistory": 8.6, "classificationPercentile": 96.7, "label": "large", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "3M", "targetExpiry": 1797963480114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.71, "previous": 38.78, "change": -0.07, "percentChange": -0.18 }, "rr25": { "current": -0.78, "previous": -0.38, "change": -0.4, "percentChange": -105.26 }, "bf25": { "current": 2.14, "previous": 2.4, "change": -0.26, "percentChange": -10.83 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.07, "movePercentile30d": 13.3, "movePercentileFullHistory": 6.6, "currentLevelPercentileFullHistory": 50.7, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 0.4, "movePercentile30d": 56.7, "movePercentileFullHistory": 61.6, "currentLevelPercentileFullHistory": 90.8, "classificationPercentile": 61.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.26, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 19.1, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "6M", "targetExpiry": 1805825880114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.36, "previous": 39.55, "change": -0.19, "percentChange": -0.48 }, "rr25": { "current": -0.53, "previous": -0.52, "change": -0.01, "percentChange": -1.92 }, "bf25": { "current": 2.37, "previous": 2.52, "change": -0.15, "percentChange": -5.95 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.19, "movePercentile30d": 40.0, "movePercentileFullHistory": 44.4, "currentLevelPercentileFullHistory": 6.6, "classificationPercentile": 44.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 0.01, "movePercentile30d": 0.0, "movePercentileFullHistory": 3.3, "currentLevelPercentileFullHistory": 92.1, "classificationPercentile": 3.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.15, "movePercentile30d": 86.7, "movePercentileFullHistory": 88.1, "currentLevelPercentileFullHistory": 14.5, "classificationPercentile": 88.1, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "9M", "targetExpiry": 1813688280114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.89, "previous": 40.21, "change": -0.32, "percentChange": -0.8 }, "rr25": { "current": -0.11, "previous": -0.4, "change": 0.29, "percentChange": 72.5 }, "bf25": { "current": 2.47, "previous": 2.54, "change": -0.07, "percentChange": -2.76 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.32, "movePercentile30d": 66.7, "movePercentileFullHistory": 70.2, "currentLevelPercentileFullHistory": 4.6, "classificationPercentile": 70.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 0.29, "movePercentile30d": 60.0, "movePercentileFullHistory": 76.2, "currentLevelPercentileFullHistory": 94.7, "classificationPercentile": 76.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.07, "movePercentile30d": 60.0, "movePercentileFullHistory": 60.3, "currentLevelPercentileFullHistory": 35.5, "classificationPercentile": 60.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } }, { "tenor": "1Y", "targetExpiry": 1821637080114, "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": "23SEP26", "expiry": 1790150400000, "tauYears": 0.00156395, "daysToExpiry": 0.571, "expiryClassification": "ultra-short", "rankingEligible": false, "forward": { "current": 86638.36, "previous": 85959.68, "change": 678.68, "percentChange": 0.79 }, "atmIv": { "current": 32.71, "previous": 39.29, "change": -6.58, "percentChange": -16.75 }, "rr25": { "current": 1.68, "previous": -0.15, "change": 1.83, "percentChange": 1220.0 }, "bf25": { "current": 1.36, "previous": 2.37, "change": -1.01, "percentChange": -42.62 }, "svi": { "a": { "current": -0.0218, "previous": -0.0616, "change": 0.0398, "percentChange": 64.6 }, "b": { "current": 0.0621, "previous": 0.1257, "change": -0.0636, "percentChange": -50.58 }, "rho": { "current": 0.0851, "previous": 0.0279, "change": 0.0572, "percentChange": 205.24 }, "m": { 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exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.", "days": [ { "reportDate": "2026-09-22", "headline": "Bitcoin news mixed during options reset", "summary": "CoinDesk reported a Bitcoin recovery from Asian-session lows, while Bitcoin Magazine reported a Binance inquiry.", "macro": { "summary": "Bitcoin Magazine reported a federal inquiry into alleged Binance sanctions violations involving Iran.", "events": [ { "eventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "title": "Feds Probing Binance Over Iran’s Bitcoin Use: Report", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/news/feds-probing-iran-use-of-binance", "publishedAt": "2026-09-22T16:52:26+00:00" } ] }, "crypto": { "summary": "CoinDesk reported Bitcoin recovering from Asian-session lows as oil prices fell.", "events": [ { "eventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "title": "Bitcoin recovers from Asian-session lows as falling oil price supports risk appetite", "publisher": "CoinDesk", "url": "https://www.coindesk.com/markets/2026/09/22/bitcoin-recovers-from-asian-session-lows-as-falling-oil-price-supports-risk-appetite", "publishedAt": "2026-09-22T10:59:03+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options lose two-week convexity premium as volatility cools", "standfirst": "Bitcoin two-week BF25 fell 0.79 volatility points to 1.70% over the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. BF25 measures the premium assigned to options away from the centre of the distribution. Separately, Bitcoin one-week ATM IV fell 2.86 points to 36.50%, while Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.80% to $86,678.24.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-21", "asOfTimestamp": "2026-09-21T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session BTC, SPX, and VIX-family context as of the requested evidence cutoff. The crypto-to-SPX realised-volatility ratio was 4.57, at the 83.6 percentile across 238 prior observations. The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 4.57, at the 83.6 percentile across 238 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.65, "vix": 14.869999885559082, "vix9d": 13.140000343322754, "vix3m": 18.079999923706055, "ivSpread": 21.780000114440917, "ivRatio": 2.464694033763406, "cryptoRealisedVol20d": 48.76622765488641, "spxRealisedVol20": 10.66022461111303, "rvSpread": 38.10600304377338, "rvRatio": 4.574596636927216, "rvSpreadPercentile": 80.67226890756302, "rvSpreadPercentileSampleCount": 238, "rvRatioPercentile": 83.61344537815125, "rvRatioPercentileSampleCount": 238, "returnCorrelation30": 0.3924802956164639, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.3296487008972292, "returnCorrelation60SampleCount": 60 }, "methodology": "Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790705880114, "availability": "available", "unavailableReason": null, "atmIv": { "current": 36.5, "previous": 39.36, "change": -2.86, "percentChange": -7.27 }, "rr25": { "current": 0.56, "previous": -0.71, "change": 1.27, "percentChange": 178.87 }, "bf25": { "current": 1.96, "previous": 2.43, "change": -0.47, "percentChange": -19.34 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.86, "movePercentile30d": 56.7, "movePercentileFullHistory": 75.5, "currentLevelPercentileFullHistory": 65.1, "classificationPercentile": 75.5, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "rr25": { "absoluteMove": 1.27, "movePercentile30d": 53.3, "movePercentileFullHistory": 74.2, "currentLevelPercentileFullHistory": 88.8, "classificationPercentile": 74.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 }, "bf25": { "absoluteMove": 0.47, "movePercentile30d": 83.3, "movePercentileFullHistory": 83.4, "currentLevelPercentileFullHistory": 58.6, "classificationPercentile": 83.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 151, "levelObservationsFullHistory": 152 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:19:05+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "sourceSnapshots": { "current": { "id": 446144, "timestamp": "2026-09-22T18:18:00+00:00" }, "previous": { "id": 436219, "timestamp": "2026-09-21T18:37:00+00:00" } }, "windowHours": 23.68, "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.0512515, "previousObjective": 0.10724749, "currentLiveError": 5.83025487, "previousLiveError": 33027.17149325 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "26SEP26" ], "removedExpiries": [ "22SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Ether’s three-month convexity premium posts an exceptional decline", "executiveSummary": "Ether three-month BF25 fell 0.39 volatility points to 2.96%, while front-end ATM IV averaged 48.97%, down 1.60 points. The long-end ATM IV average also declined 1.05 points to 54.12%.", "evidenceIds": [ "bf25", "front-atm", "rr25" ], "newsSummary": "No qualifying news context was retained for Ether options.", "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 decreased, averaging -1.60 volatility points to 48.97% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -1.05 volatility points to 54.12% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.75 volatility points to 0.66% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.18 volatility points to 2.89% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": 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"wingChange": -0.015, "rmsChange": 0.298 } } ], "events": [ { "type": "rotation", "title": "Largest eligible smile rotation", "label": "25SEP26", "value": -5.095, "score": 5.095, "unit": "volatility points" }, { "type": "atmIv", "title": "Largest standard-tenor ATM IV move", "label": "1W", "value": -3.02, "score": 3.02, "unit": "volatility points" }, { "type": "rr25", "title": "Largest standard-tenor RR25 move", "label": "2W", "value": -1.21, "score": 1.21, "unit": "volatility points" }, { "type": "bf25", "title": "Largest standard-tenor BF25 move", "label": "3M", "value": -0.39, "score": 0.39, "unit": "volatility points" }, { "type": "sigma", "title": "Largest eligible SVI sigma move", "label": "25SEP26", "value": -0.1134, "score": 0.1134, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "26MAR27", "value": -0.1002, "score": 0.1002, "unit": "parameter units" } ], "expiryEffects": [ { "label": "23SEP26", "daysToExpiry": 0.571, "metric": "ATM IV change", "value": -5.85, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "24SEP26", "daysToExpiry": 1.571, "metric": "ATM IV change", "value": -4.88, "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": 9.600537, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "23SEP26", "expiry": 1790150400000, "value": 0.00795428336, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "23SEP26", "expiry": 1790150400000, "value": -17.52419326, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25JUN27", "expiry": 1813910400000, "value": 0.00168423, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25JUN27", "expiry": 1813910400000, "value": -0.99863399, "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": "23SEP26", "values": [ 52.7658, 49.7448, 46.7011, 43.6322, 40.5351, 37.4057, 34.2396, 31.0317, 27.7759, 24.4658, 21.0954, 17.6603, 14.1606, 10.6077, 7.0342, 3.5135, 0.1863, -2.7137, -4.8661, -5.952, -5.8116, -4.5408, -2.4164, 0.2575, 3.2429, 6.3852, 9.5934, 12.818, 16.0336, 19.2286, 22.3986, 25.5429, 28.663, 31.7608, 34.839, 37.8999, 40.9457, 43.9783, 46.9995, 50.0109, 53.0136 ] }, { "label": "24SEP26", "values": [ 23.7016, 22.3927, 21.0452, 19.6573, 18.227, 16.7525, 15.2317, 13.6633, 12.0462, 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-1.5995, -1.4419, -1.2825, -1.1225, -0.9625, -0.8031 ] }, { "label": "9OCT26", "values": [ 2.1878, 2.0712, 1.9515, 1.8287, 1.7027, 1.5735, 1.4409, 1.3053, 1.1668, 1.0255, 0.8819, 0.7364, 0.5897, 0.4422, 0.2951, 0.149, 0.0051, -0.1357, -0.2724, -0.4038, -0.5293, -0.6478, -0.7588, -0.8617, -0.9561, -1.042, -1.1192, -1.1879, -1.2484, -1.3009, -1.3461, -1.3841, -1.4157, -1.4412, -1.4612, -1.4762, -1.4866, -1.4931, -1.4958, -1.4953, -1.4918 ] }, { "label": "30OCT26", "values": [ 0.2336, 0.2076, 0.1797, 0.1497, 0.1178, 0.0842, 0.0487, 0.0116, -0.0271, -0.0673, -0.1087, -0.1513, -0.1949, -0.2392, -0.2842, -0.3294, -0.3749, -0.4203, -0.4656, -0.5103, -0.5545, -0.5977, -0.6401, -0.6813, -0.7211, -0.7597, -0.7968, -0.8323, -0.8662, -0.8984, -0.929, -0.9579, -0.9852, -1.0109, -1.0349, -1.0573, -1.0783, -1.0978, -1.1159, -1.1327, -1.1483 ] }, { "label": "27NOV26", "values": [ -0.8469, -0.8489, -0.8494, -0.8482, -0.8457, -0.842, -0.837, -0.8312, -0.8244, -0.817, -0.8092, -0.801, -0.7927, -0.7846, -0.7768, -0.7695, -0.7628, -0.757, -0.7523, -0.7488, -0.7467, -0.746, -0.7469, -0.7496, -0.7543, -0.7607, -0.7691, -0.7796, -0.7921, -0.8067, -0.8233, -0.8419, -0.8626, -0.8852, -0.9097, -0.9361, -0.9642, -0.9942, -1.0257, -1.0588, -1.0935 ] }, { "label": "25DEC26", "values": [ -0.5722, -0.5435, -0.5169, -0.4923, -0.4699, -0.4497, -0.4318, -0.416, -0.4024, -0.3912, -0.3823, -0.3756, -0.3712, -0.3689, -0.369, -0.3712, -0.3756, -0.3821, -0.3906, -0.401, -0.4135, -0.4278, -0.4439, -0.4617, -0.4812, -0.5022, -0.5247, -0.5486, -0.5738, -0.6003, -0.6279, -0.6566, -0.6863, -0.717, -0.7486, -0.7808, -0.8138, -0.8475, -0.8818, -0.9166, -0.9519 ] }, { "label": "26MAR27", "values": [ -1.061, -1.0686, -1.0749, -1.08, -1.084, -1.0869, -1.0889, -1.0898, -1.09, -1.0894, -1.0882, -1.0864, -1.0842, -1.0815, -1.0785, -1.0753, -1.0719, -1.0686, -1.0652, -1.0618, -1.0586, -1.0556, -1.0529, -1.0504, -1.0483, -1.0467, -1.0454, -1.0446, -1.0443, -1.0446, -1.0454, -1.0467, -1.0486, -1.0511, -1.054, -1.0577, -1.0619, -1.0666, -1.072, -1.0779, -1.0843 ] }, { "label": "25JUN27", "values": [ -0.243, -0.2438, -0.2445, -0.2452, -0.246, -0.2467, -0.2474, -0.2483, -0.2492, -0.2501, -0.2513, -0.2525, -0.254, -0.2556, -0.2574, -0.2595, -0.2618, -0.2644, -0.2673, -0.2704, -0.2738, -0.2775, -0.2817, -0.286, -0.2908, -0.2958, -0.3012, -0.307, -0.3132, -0.3196, -0.3264, -0.3337, -0.3412, -0.3491, -0.3573, -0.3659, -0.3748, -0.384, -0.3936, -0.4035, -0.4137 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-22T18:18:00+00:00", "window": { "startAt": "2026-09-21T18:37:00+00:00", "endAt": "2026-09-22T18:18:00+00:00", "endExclusive": true }, "headline": "Ether options shed three-month convexity premium as volatility eases", "standfirst": "Ether three-month BF25 fell 0.39 volatility points to 2.96% during the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. The fall reduced the premium in options away from the centre of the distribution. Ether one-week ATM IV also declined 3.02 points to 48.25%, while the nearest eligible forward proxy, 25SEP26, rose 0.20% to $2,757.46 in Derivasys data.", "days": [ { "reportDate": "2026-09-22", "headline": "Ether convexity premium contracts sharply", "summary": "Ether options repriced lower across maturities, with the three-month convexity premium leading the adjustment.", "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 shed three-month convexity premium as volatility eases", "standfirst": "Ether three-month BF25 fell 0.39 volatility points to 2.96% during the observation window, an exceptional move at the 100th percentile of the available 30-day comparison set. The fall reduced the premium in options away from the centre of the distribution. Ether one-week ATM IV also declined 3.02 points to 48.25%, while the nearest eligible forward proxy, 25SEP26, rose 0.20% to $2,757.46 in Derivasys data.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-21", "asOfTimestamp": "2026-09-21T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted completed common SPX/VIX-family session for ETH as of the collection end. The crypto-minus-SPX realised-volatility spread was 40.84 points, at the 37.0 percentile across 235 prior observations. The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 40.84 points, at the 37.0 percentile across 235 prior observations.", "The 60-session crypto-SPX return correlation was 0.26 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 51.15, "vix": 14.869999885559082, "vix9d": 13.140000343322754, "vix3m": 18.079999923706055, "ivSpread": 36.28000011444092, "ivRatio": 3.439811727885354, "cryptoRealisedVol20d": 51.500486048206575, "spxRealisedVol20": 10.66022461111303, "rvSpread": 40.840261437093545, "rvRatio": 4.831088267550999, "rvSpreadPercentile": 37.02127659574468, "rvSpreadPercentileSampleCount": 235, "rvRatioPercentile": 42.97872340425532, "rvRatioPercentileSampleCount": 235, "returnCorrelation30": 0.2764114461104352, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2642138635064833, "returnCorrelation60SampleCount": 60 }, "methodology": "Persisted Derivasys cross-asset context; crypto RV annualizes with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790705880561, "availability": "available", "unavailableReason": null, "atmIv": { "current": 48.25, "previous": 51.27, "change": -3.02, "percentChange": -5.89 }, "rr25": { "current": 0.59, "previous": 1.69, "change": -1.1, "percentChange": -65.09 }, "bf25": { "current": 2.83, "previous": 2.89, "change": -0.06, "percentChange": -2.08 }, "historicalSignificance": { "atmIv": { "absoluteMove": 3.02, "movePercentile30d": 56.7, "movePercentileFullHistory": 60.0, "currentLevelPercentileFullHistory": 57.9, "classificationPercentile": 60.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 }, "rr25": { "absoluteMove": 1.1, "movePercentile30d": 40.0, "movePercentileFullHistory": 37.1, "currentLevelPercentileFullHistory": 55.3, "classificationPercentile": 40.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 }, "bf25": { "absoluteMove": 0.06, "movePercentile30d": 6.7, "movePercentileFullHistory": 8.6, "currentLevelPercentileFullHistory": 50.0, "classificationPercentile": 8.6, "label": "routine", "observations30d": 30, "observationsFullHistory": 35, "levelObservationsFullHistory": 38 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-22", "generatedAt": "2026-09-22T18:19:31+00:00", "currentSnapshotAt": "2026-09-22T18:18:00+00:00", "previousSnapshotAt": "2026-09-21T18:37:00+00:00", "sourceSnapshots": { "current": { "id": 446141, "timestamp": "2026-09-22T18:18:00+00:00" }, "previous": { "id": 436220, "timestamp": "2026-09-21T18:37:00+00:00" } }, "windowHours": 23.68, "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 1420 (98.6111% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.02937788, "previousObjective": 0.0208901, "currentLiveError": 19.2332067, "previousLiveError": 306.74612119 }, "coverage": { "currentListedExpiries": 6, "previousListedExpiries": 6, "comparedListedExpiries": 5, "addedExpiries": [ "24SEP26" ], "removedExpiries": [ "22SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M" ], "suppressedFixedTenors": [ "6M", "9M", "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana’s front end rises as one-week convexity contracts", "executiveSummary": "Solana one-week BF25 fell 0.79 volatility points to 4.31%, while front-end ATM IV averaged 60.86%, up 1.09 points. 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"provenance": { "collectionArchitecture": "central-canonical-event-store", "mcpServersQueried": 1, "assetScopedQueries": 3, "macroQueries": 19, "canonicalEventsConsidered": 1, "publishersRepresented": 1, "discoveryEventsScanned": 923, "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": 5, "articlesPassingTimeFilter": 5, "articlesPassingSourceRelevanceRules": 1, "articlesPassingSelectionThreshold": 1, "storiesSelected": 1, "selectedPublishers": 1, "maximumStories": 3, "maximumStoriesPerPublisher": 2, "minimumSelectionScore": 0, "lockedEventSet": true, "qualityThresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "candidateAudit": [ { "eventId": "c0eb4714-7ae3-468f-bd1a-33319b2aed1b", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "cde60d9b-a5cf-47b2-bc4b-1711adc660a6", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { "eventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "selected": true, "eligible": true, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": true, "decision": "selected" }, { "eventId": "24d7ff29-14c1-4b79-bfa4-695bab54c156", "selected": false, "eligible": false, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "inWindow": true, "reportRelevant": false, "decision": "ineligible" }, { 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Its primary-market status notice is directly operationally relevant and high quality; unavailable SOL reaction metrics mean it is retained as context, not a possible driver.", "eventsSelected": 1 }, "items": [ { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" } ], "events": [ { "event_cluster_id": "market-event-02c0c3161599", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" }, "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-02c0c3161599", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "sourceId": "coinbase_status", "publisher": "Coinbase", "title": "Delayed Sends/Receives - Solana", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00", "summary": "Coinbase published a status incident reporting delayed Solana sends and receives.", "matchedTerms": [ "Coinbase", "SOL", "Solana" ], "topics": [ "market", "other" ], "sourceKind": "primary_market", "rightsStatus": "link-and-summary", "selectionScore": 62, "quality": { "eligible": true, "score": 62.1, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.8988, "signals": { "confidence": 0.87, "importance": 0.59, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.8988, "effectiveSourceQuality": 0.8988, "catalystScore": 0.2768, "effectiveCatalystScore": 0.2768, "contentKind": "reporting", "status": "confirmed" }, "thresholds": { "minimumConfidence": null, "minimumImportance": null, "minimumSourceQuality": 0.58, "minimumCatalystScore": null, "minimumMediaReliability": 0.6 }, "policy": "source-backed-context-v1", "role": "context", "attributionRequired": false }, "relevanceReasons": [ "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD", "ATM IV 2W: up 1.38 points to 60.47%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 25SEP26: +0.87 USD (+0.74%) to 118.22 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-02c0c3161599" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "2W ATM IV rose 1.38 volatility points to 60.47%, a routine move at the 48th percentile among 25 comparable historical observations. Front-end ATM IV averaged 60.86%, +1.09 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 3M RR25 moved 0.62 volatility points toward puts to 4.19%, leaving calls richer than puts. 1W BF25 fell 0.79 volatility points to 4.31%. The nearest eligible forward, 25SEP26, rose $0.87 (+0.74%) to $118.22. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 91, "source": "deterministic structured report facts", "evidenceFields": [ "summaryMetrics.largestAtmMove", "summaryMetrics.frontEndAverageAtm", "summaryMetrics.largestRr25Move", "summaryMetrics.largestBf25Move", "summaryMetrics.nearestEligibleForwardMove", "newsContext.outcome", "newsContext.highest_causal_confidence" ] }, "facts": [ { "id": "front-atm", "label": "Front end", "text": "Front-end ATM IV increased, averaging +1.09 volatility points to 60.86% 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 +0.10 volatility points to 4.05% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.55 volatility points to 4.38% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was +1.38 volatility points at 2W, to 60.47%.", "tenor": "2W", "value": 1.38 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": 0.7, "rr25Change": 0.1, "bf25Change": -0.55, "largestAtmMove": { "tenor": "2W", "current": 60.47, "previous": 59.09, "change": 1.38, "historicalSignificance": { "absoluteMove": 1.38, "movePercentile30d": 48.0, "movePercentileFullHistory": 48.0, "currentLevelPercentileFullHistory": 84.6, "classificationPercentile": 48.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 } }, "frontEndAverageAtm": { "current": 60.86, "previous": 59.78, "change": 1.09 }, "longEndAverageAtm": { "current": null, "previous": null, "change": null }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "3M", "current": 4.19, "previous": 4.81, "change": -0.62, "historicalSignificance": { "absoluteMove": 0.62, "movePercentile30d": 44.0, "movePercentileFullHistory": 44.0, "currentLevelPercentileFullHistory": 88.5, "classificationPercentile": 44.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 }, "direction": "toward puts", "currentSign": "call-rich" }, "largestBf25Move": { "tenor": "1W", "current": 4.31, "previous": 5.1, "change": -0.79, "historicalSignificance": { "absoluteMove": 0.79, "movePercentile30d": 84.0, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 53.8, "classificationPercentile": 84.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 } }, "nearestEligibleForwardMove": { "label": "25SEP26", "daysToExpiry": 2.571, "current": 118.22, "previous": 117.35, "change": 0.87, "percentChange": 0.74 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790705880270, "availability": "available", "unavailableReason": null, "atmIv": { "current": 63.82, "previous": 62.59, "change": 1.23, "percentChange": 1.97 }, "rr25": { "current": 3.83, "previous": 3.52, "change": 0.31, "percentChange": 8.81 }, "bf25": { "current": 4.31, "previous": 5.1, "change": -0.79, "percentChange": -15.49 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.23, "movePercentile30d": 24.0, "movePercentileFullHistory": 24.0, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 24.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 16.0, "movePercentileFullHistory": 16.0, "currentLevelPercentileFullHistory": 76.9, "classificationPercentile": 16.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.79, "movePercentile30d": 84.0, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 53.8, "classificationPercentile": 84.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 } } }, { "tenor": "2W", "targetExpiry": 1791310680270, "availability": "available", "unavailableReason": null, "atmIv": { "current": 60.47, "previous": 59.09, "change": 1.38, "percentChange": 2.34 }, "rr25": { "current": 3.93, "previous": 3.61, "change": 0.32, "percentChange": 8.86 }, "bf25": { "current": 4.13, "previous": 4.89, "change": -0.76, "percentChange": -15.54 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.38, "movePercentile30d": 48.0, "movePercentileFullHistory": 48.0, "currentLevelPercentileFullHistory": 84.6, "classificationPercentile": 48.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 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"value": 0.0482, "score": 0.0482, "unit": "parameter units" } ], "expiryEffects": [ { "label": "23SEP26", "daysToExpiry": 0.571, "metric": "Smile rotation", "value": 22.15, "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": 0.23839826, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "23SEP26", "expiry": 1790150400000, "value": 0.113091852752, "metric": "gamma", "availability": "available" }, "highestThetaDecay": { "label": "23SEP26", "expiry": 1790150400000, "value": -1.2323873, "metric": "theta", "availability": "available" }, "highestVanna": { "label": "25DEC26", "expiry": 1798185600000, "value": 0.00099982, "metric": "vanna", "availability": "available" }, "highestVolga": { "label": "25DEC26", "expiry": 1798185600000, "value": -0.00857144, "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": "23SEP26", "values": [ -11.6266, -11.8476, -12.0236, -12.1513, -12.2263, -12.2435, -12.1965, -12.0772, -11.8758, -11.5799, -11.1751, -10.6438, -9.9669, -9.1246, -8.1007, -6.8869, -5.4898, -3.9365, -2.2765, -0.5761, 1.0935, 2.6703, 4.1112, 5.3958, 6.5233, 7.5059, 8.3634, 9.118, 9.7918, 10.4047, 10.9745, 11.5162, 12.0422, 12.5632, 13.0879, 13.6233, 14.1753, 14.7486, 15.347, 15.9735, 16.6306 ] }, { "label": "25SEP26", "values": [ 10.1611, 9.5902, 9.0231, 8.4606, 7.9042, 7.3555, 6.8167, 6.2903, 5.7798, 5.2894, 4.8243, 4.3907, 3.9962, 3.6494, 3.3597, 3.1371, 2.991, 2.9299, 2.9599, 3.0835, 3.3001, 3.6052, 3.9913, 4.4494, 4.9691, 5.5405, 6.1546, 6.8032, 7.4797, 8.1786, 8.8955, 9.627, 10.3705, 11.1239, 11.8854, 12.6538, 13.428, 14.2071, 14.9904, 15.7774, 16.5674 ] }, { "label": "2OCT26", "values": [ -2.6728, -2.4224, -2.1584, -1.8815, -1.5929, -1.2941, -0.987, -0.6739, -0.3574, -0.0405, 0.2731, 0.5794, 0.8743, 1.1531, 1.4113, 1.6444, 1.8482, 2.0194, 2.1552, 2.2542, 2.3156, 2.3404, 2.3303, 2.288, 2.217, 2.1213, 2.005, 1.8725, 1.7277, 1.5747, 1.4168, 1.2573, 1.0988, 0.9437, 0.7937, 0.6507, 0.5158, 0.39, 0.2739, 0.1683, 0.0734 ] }, { "label": "30OCT26", "values": [ -0.368, -0.3315, -0.2917, -0.249, -0.2038, -0.1564, -0.1074, -0.057, -0.006, 0.0454, 0.0967, 0.1473, 0.1968, 0.245, 0.2911, 0.3352, 0.3767, 0.4155, 0.4514, 0.4842, 0.5139, 0.5405, 0.564, 0.5844, 0.6019, 0.6167, 0.629, 0.639, 0.6469, 0.6529, 0.6574, 0.6606, 0.6627, 0.6641, 0.6649, 0.6654, 0.6659, 0.6663, 0.6672, 0.6685, 0.6704 ] }, { "label": "25DEC26", "values": [ -0.5378, -0.5048, -0.4722, -0.4405, -0.4102, -0.3817, -0.3554, -0.3317, -0.3112, -0.2941, -0.2806, -0.2711, -0.2658, -0.2647, -0.2679, -0.2753, -0.2866, -0.3019, -0.3207, -0.3427, -0.3675, -0.3946, -0.4235, -0.4538, -0.4849, -0.5163, -0.5474, -0.5778, -0.607, -0.6346, -0.66, -0.6831, -0.7033, -0.7205, -0.7345, -0.7449, -0.7517, -0.7547, -0.754, -0.7492, -0.7405 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-22T18:18:00+00:00", "window": { "startAt": "2026-09-21T18:37:00+00:00", "endAt": "2026-09-22T18:18:00+00:00", "endExclusive": true }, "headline": "Solana options pair higher volatility with lower convexity premium", "standfirst": "Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.", "days": [ { "reportDate": "2026-09-22", "headline": "Solana options reprice amid coinbase incident", "summary": "Coinbase reported delayed Solana sends and receives during a session of higher implied volatility.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Coinbase reported delayed Solana sends and receives during the observation window.", "events": [ { "eventId": "f4f582fe-de9e-4ee2-99e1-95d2c642f4e6", "title": "Delayed Sends/Receives - Solana", "publisher": "Coinbase", "url": "https://status.coinbase.com/incidents/p2b1prp7xcbx", "publishedAt": "2026-09-22T01:28:22+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options pair higher volatility with lower convexity premium", "standfirst": "Solana one-week BF25 fell 0.79 volatility points to 4.31% over the observation window, while Solana two-week ATM IV rose 1.38 points to 60.47%. The combination left front-end ATM IV averaging 60.86%, up 1.09 points, even as the premium for one-week options away from the centre of the distribution contracted. Derivasys data showed the nearest eligible forward proxy, 25SEP26, up 0.74% to $118.22.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-21", "asOfTimestamp": "2026-09-21T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted common-session SOL, SPX, and VIX-family context as of the requested evidence cutoff. The crypto-to-SPX realised-volatility ratio was 6.96, at the 65.5 percentile across 232 prior observations. The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.96, at the 65.5 percentile across 232 prior observations.", "The 60-session crypto-SPX return correlation was 0.30 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 57.77, "vix": 14.869999885559082, "vix9d": 13.140000343322754, "vix3m": 18.079999923706055, "ivSpread": 42.90000011444092, "ivRatio": 3.885003392374133, "cryptoRealisedVol20d": 74.1871794050276, "spxRealisedVol20": 10.66022461111303, "rvSpread": 63.52695479391458, "rvRatio": 6.959251058152118, "rvSpreadPercentile": 49.13793103448276, "rvSpreadPercentileSampleCount": 232, "rvRatioPercentile": 65.51724137931035, "rvRatioPercentileSampleCount": 232, "returnCorrelation30": 0.40143674065277485, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.29763373504649526, "returnCorrelation60SampleCount": 60 }, "methodology": "Returned persisted Derivasys context; crypto RV annualised with sqrt(365), SPX RV with sqrt(252)." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790705880270, "availability": "available", "unavailableReason": null, "atmIv": { "current": 63.82, "previous": 62.59, "change": 1.23, "percentChange": 1.97 }, "rr25": { "current": 3.83, "previous": 3.52, "change": 0.31, "percentChange": 8.81 }, "bf25": { "current": 4.31, "previous": 5.1, "change": -0.79, "percentChange": -15.49 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.23, "movePercentile30d": 24.0, "movePercentileFullHistory": 24.0, "currentLevelPercentileFullHistory": 80.8, "classificationPercentile": 24.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 }, "rr25": { "absoluteMove": 0.31, "movePercentile30d": 16.0, "movePercentileFullHistory": 16.0, "currentLevelPercentileFullHistory": 76.9, "classificationPercentile": 16.0, "label": "routine", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 }, "bf25": { "absoluteMove": 0.79, "movePercentile30d": 84.0, "movePercentileFullHistory": 84.0, "currentLevelPercentileFullHistory": 53.8, "classificationPercentile": 84.0, "label": "notable", "observations30d": 25, "observationsFullHistory": 25, "levelObservationsFullHistory": 26 } } } } ], "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": 63.82, "lowest": 36.5, "spread": 27.32, "highestToLowestRatio": 1.7485, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 63.82, "values": [ { "asset": "BTC", "value": 36.5 }, { "asset": "ETH", "value": 48.25 }, { "asset": "SOL", "value": 63.82 } ], "previousSpread": 23.23, "spreadChange": 4.09, "dispersionDirection": "widening" }, "atmIvChange": { "leader": "SOL", "laggard": "ETH", "highest": 1.23, "lowest": -3.02, "spread": 4.25, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.02, "values": [ { "asset": "BTC", "value": -2.86 }, { "asset": "ETH", "value": -3.02 }, { "asset": "SOL", "value": 1.23 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 3.83, "lowest": 0.56, "spread": 3.27, "highestToLowestRatio": 6.8393, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.83, "values": [ { "asset": "BTC", "value": 0.56 }, { "asset": "ETH", "value": 0.59 }, { "asset": "SOL", "value": 3.83 } ], "previousSpread": 4.23, "spreadChange": -0.96, "dispersionDirection": "compressing" }, "rr25Change": { "leader": "BTC", "laggard": "ETH", "highest": 1.27, "lowest": -1.1, "spread": 2.37, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": 1.27, "values": [ { "asset": "BTC", "value": 1.27 }, { "asset": "ETH", "value": -1.1 }, { "asset": "SOL", "value": 0.31 } ] } }, "relativeVolatilityLeader": { "asset": "ETH", "metric": "absolute 1W ATM IV change", "value": -3.02 }, "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": 63.82, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 48.25, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 36.5, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "SOL", "value": 1.23, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.86, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -3.02, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "ETH", "value": -3.02, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.86, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": 1.23, "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": 3.83, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 0.59, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 0.56, "previousRank": 3, "rankChange": 0 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": 0.56, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 0.59, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "SOL", "value": 3.83, "previousRank": 3, "rankChange": 0 } ], "termStructureSlope": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "termStructureSlopeChange": [ { "rank": null, "asset": "BTC", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "ETH", "value": null, "previousRank": null, "rankChange": null }, { "rank": null, "asset": "SOL", "value": null, "previousRank": null, "rankChange": null } ], "spotPerformance24h": [ { "rank": 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": "SOL", "value": 1.23, "groupMedian": -2.86, "distanceFromMedian": 4.09 }, { "metric": "1W ATM IV level", "asset": "SOL", "value": 63.82, "groupMedian": 48.25, "distanceFromMedian": 15.57 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 3.83, "groupMedian": 0.59, "distanceFromMedian": 3.24 } ], "relativeValueObservation": null, "historicalContext": { "minimumObservations": 20, "observations": 24, "oneWeekAtmIvLevelDispersionPercentile": 87.5, "oneWeekAtmIvChangeDispersionPercentile": 66.7, "oneWeekRr25LevelDispersionPercentile": 62.5, "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": 1.23, "lowest": -3.02, "spread": 4.25, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "ETH", "largestAbsoluteMoveValue": -3.02, "values": [ { "asset": "BTC", "value": -2.86 }, { "asset": "ETH", "value": -3.02 }, { "asset": "SOL", "value": 1.23 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 63.82, "lowest": 36.5, "spread": 27.32, "highestToLowestRatio": 1.7485, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 63.82, "values": [ { "asset": "BTC", "value": 36.5 }, { "asset": "ETH", "value": 48.25 }, { "asset": "SOL", "value": 63.82 } ], "previousSpread": 23.23, "spreadChange": 4.09, "dispersionDirection": "widening" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 3.83, "lowest": 0.56, "spread": 3.27, "highestToLowestRatio": 6.8393, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.83, "values": [ { "asset": "BTC", "value": 0.56 }, { "asset": "ETH", "value": 0.59 }, { "asset": "SOL", "value": 3.83 } ], "previousSpread": 4.23, "spreadChange": -0.96, "dispersionDirection": "compressing" }, { "id": "majors-cross-term-structure-divergence", "metric": "1Y minus 1W ATM IV slope dispersion", "unit": "volatility points", "leader": null, "laggard": null, "highest": null, "lowest": null, "spread": null, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": null, "largestAbsoluteMoveValue": null, "values": [ { "asset": "BTC", "value": null }, { "asset": "ETH", "value": null }, { "asset": "SOL", "value": null } ], "previousSpread": null, "spreadChange": null, "dispersionDirection": "unavailable" }, { "id": "majors-cross-iv-minus-realised-dispersion", "metric": "1W IV minus 7D realised volatility dispersion", "unit": "volatility points", "leader": 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": "2026-09-22T18:18:00+00:00", "window": { "startAt": "2026-09-21T18:37:00+00:00", "endAt": "2026-09-22T18:18:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Solana volatility stays elevated", "standfirst": "The major-coin one-week ATM IV gap between Solana and Bitcoin widened 4.09 volatility points to 27.32 volatility points over the observation window, reaching the 87.5 percentile of the available historical comparison set. ATM IV is the implied volatility of at-the-money options, a measure of the volatility priced into contracts near the prevailing price.\n\nDerivasys data show Solana as the high end and Bitcoin as the low end of this one-week ATM IV comparison. One-week implied-versus-realised volatility data were unavailable for Bitcoin, Ether and Solana, and no qualifying news context was retained.", "days": [ { "reportDate": "2026-09-22", "headline": "Solana widens the major-coin volatility gap", "summary": "Solana retained the highest one-week implied volatility as Bitcoin and Ether moved lower.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -0.43333333333333335, "rr25Change": -0.14666666666666667, "bf25Change": -0.3833333333333333 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Solana extends the major-coin one-week volatility gap", "executiveSummary": "Derivasys data showed one-week ATM IV level dispersion of 27.32 volatility points between Solana and Bitcoin, after the Solana-versus-Bitcoin spread widened 4.09 volatility points. The one-week ATM IV change dispersion was 4.25 volatility points, spanning Solana’s 1.23-volatility-point rise and Ether’s 3.02-volatility-point decline.", "evidenceIds": [ "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "No qualifying news context was retained for the major-coin options comparison.", "marketContextSummary": "No retained news item supports an assessment of a driver for the major-coin volatility divergence.", "marketContext": [], "newsEvidenceIds": [] } }