{ "schemaVersion": 1, "currency": "MAJOR_COINS", "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:21:44+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "headline": "Major-coin options diverge as Bitcoin turns defensive and Solana stays call-rich", "standfirst": "Major-coin one-week RR25 dispersion widened by 0.78 volatility points to 5.44 points between Solana and Bitcoin. Solana one-week RR25 stood at 3.55%, leaving call-side volatility richer than put-side volatility, while Bitcoin one-week RR25 stood at -1.89%, leaving put-side volatility richer. One-week ATM IV levels remained highest for Solana at 56.08% and lowest for Bitcoin at 34.13%, although the Solana-Bitcoin one-week ATM IV level spread narrowed 1.87 points to 21.95 points.", "marketSummary": "The one-week RR25 gap between Solana and Bitcoin widened to 5.44 volatility points, separating a call-rich Solana surface from a put-rich Bitcoin surface.", "constituents": [ { "asset": "BTC", "reportDate": "2026-09-23", "artifactId": "sha256:99232cefc39eacb7af9b7bd86fabaf68cbd3a7bd17c28f9d7d9828a43b643e6b", "contentSha256": "442da9de2a426b4f6dd48229a5f21804d9cdbca6731874202d60b03f27779f2b", "currentSnapshotId": 456523, "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotId": 446573, "previousSnapshotAt": "2026-09-22T19:20:00+00:00" }, { "asset": "ETH", "reportDate": "2026-09-23", "artifactId": "sha256:75802c493d64b8fc2ae288d3b6d9a76f8ffe2bfe702a8692bea329631fe717a9", "contentSha256": "86d35639497afb87567b6e6336e5a4330eaaf6ee51d7802eaef12e0911610807", "currentSnapshotId": 456525, "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotId": 446575, "previousSnapshotAt": "2026-09-22T19:20:00+00:00" }, { "asset": "SOL", "reportDate": "2026-09-23", "artifactId": "sha256:40e640ae73ee3fd8aba350a243ebfefa704059306cd6e713b90dec107fd6f2d7", "contentSha256": "b2d174788611691fb2957e74031d64d389eb0ba6385dd7d7e138a1953607368b", "currentSnapshotId": 456528, "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotId": 446577, "previousSnapshotAt": "2026-09-22T19:20:00+00:00" } ], "rows": [ { "asset": "BTC", "report": { "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:20:49+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456523, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446573, "timestamp": "2026-09-22T19:20:00+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 1415 (98.2639% coverage); returns spanning missing minutes are excluded", "fitQuality": { "currentObjective": 0.10656393, "previousObjective": 0.08927158, "currentLiveError": 104.96926631, "previousLiveError": 97.56726332 }, "coverage": { "currentListedExpiries": 11, "previousListedExpiries": 11, "comparedListedExpiries": 10, "addedExpiries": [ "27SEP26" ], "removedExpiries": [ "23SEP26" ], "fixedTenors": [ "1W", "2W", "1M", "3M", "6M", "9M" ], "suppressedFixedTenors": [ "1Y" ] }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Bitcoin options turn defensive as one-week skew swings 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"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 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" } ], "events": [ { "event_cluster_id": "market-event-03e6b11f3a6e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00", "summary": "Bitcoin Magazine reported that bitcoin ETFs received $999 million in new investment on Monday, citing Farside Investors data.", "matchedTerms": [ "BTC", "BTC ETFs", "Bitcoin", "Farside Investors", "SEC", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 57, "quality": { "eligible": true, "score": 57.0, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5851, "signals": { "confidence": 0.69, "importance": 1.0, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5851, "effectiveSourceQuality": 0.5851, "catalystScore": 0.4037, "effectiveCatalystScore": 0.4037, "contentKind": "catalyst", "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 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" }, "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-03e6b11f3a6e", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "sourceId": "bitcoin_magazine", "publisher": "Bitcoin Magazine", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00", "summary": "Bitcoin Magazine reported that bitcoin ETFs received $999 million in new investment on Monday, citing Farside Investors data.", "matchedTerms": [ "BTC", "BTC ETFs", "Bitcoin", "Farside Investors", "SEC", "crypto_general" ], "topics": [ "market", "market_move" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 57, "quality": { "eligible": true, "score": 57.0, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.5851, "signals": { "confidence": 0.69, "importance": 1.0, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.5851, "effectiveSourceQuality": 0.5851, "catalystScore": 0.4037, "effectiveCatalystScore": 0.4037, "contentKind": "catalyst", "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 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD", "ATM IV 1W: down 2.46 points to 34.13%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 26SEP26: -2190.45 USD (-2.53%) to 84426.48 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "market-event-03e6b11f3a6e" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W RR25 moved 3.05 volatility points toward puts to -1.89%, leaving puts richer than calls; this was a large move at the 93rd percentile among 152 comparable historical observations. Front-end ATM IV averaged 34.55%, -1.97 points from the prior snapshot, while the long end averaged 38.84%, -0.49 points. 1W ATM IV fell 2.46 volatility points to 34.13%. 2W BF25 rose 0.13 volatility points to 1.95%. The nearest eligible forward, 26SEP26, fell $2,190.45 (-2.53%) to $84,426.48. Relevant context found; no confirmed catalyst; the strongest assessed relationship has low causal confidence.", "wordCount": 89, "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 -1.97 volatility points to 34.55% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV decreased, averaging -0.49 volatility points to 38.84% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -1.34 volatility points to -1.28% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 was broadly unchanged, averaging +0.06 volatility points to 2.11% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.46 volatility points at 1W, to 34.13%.", "tenor": "1W", "value": -2.46 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -1.48, "rr25Change": -1.34, "bf25Change": 0.06, "largestAtmMove": { "tenor": "1W", "current": 34.13, "previous": 36.59, "change": -2.46, "historicalSignificance": { "absoluteMove": 2.46, "movePercentile30d": 56.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } }, "frontEndAverageAtm": { "current": 34.55, "previous": 36.52, "change": -1.97 }, "longEndAverageAtm": { "current": 38.84, "previous": 39.33, "change": -0.49 }, "oneYearMinusOneWeekAtmSlope": { "current": null, "previous": null, "change": null }, "largestRr25Move": { "tenor": "1W", "current": -1.89, "previous": 1.16, "change": -3.05, "historicalSignificance": { "absoluteMove": 3.05, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "direction": "toward puts", "currentSign": "put-rich" }, "largestBf25Move": { "tenor": "2W", "current": 1.95, "previous": 1.82, "change": 0.13, "historicalSignificance": { "absoluteMove": 0.13, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.1, "currentLevelPercentileFullHistory": 49.7, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } }, "nearestEligibleForwardMove": { "label": "26SEP26", "daysToExpiry": 2.528, "current": 84426.48, "previous": 86616.93, "change": -2190.45, "percentChange": -2.53 } }, "tenors": [ { "tenor": "1W", "targetExpiry": 1790796000076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.13, "previous": 36.59, "change": -2.46, "percentChange": -6.72 }, "rr25": { "current": -1.89, "previous": 1.16, "change": -3.05, "percentChange": -262.93 }, "bf25": { "current": 2.15, "previous": 2.04, "change": 0.11, "percentChange": 5.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 56.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 3.05, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 36.7, "movePercentileFullHistory": 40.8, "currentLevelPercentileFullHistory": 70.6, "classificationPercentile": 40.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "2W", "targetExpiry": 1791400800076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.57, "previous": 36.52, "change": -1.95, "percentChange": -5.34 }, "rr25": { "current": -1.41, "previous": 0.54, "change": -1.95, "percentChange": -361.11 }, "bf25": { "current": 1.95, "previous": 1.82, "change": 0.13, "percentChange": 7.14 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.95, "movePercentile30d": 66.7, "movePercentileFullHistory": 73.0, "currentLevelPercentileFullHistory": 32.7, "classificationPercentile": 73.0, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 1.95, "movePercentile30d": 90.0, "movePercentileFullHistory": 90.8, "currentLevelPercentileFullHistory": 78.4, "classificationPercentile": 90.8, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.13, "movePercentile30d": 46.7, "movePercentileFullHistory": 46.1, "currentLevelPercentileFullHistory": 49.7, "classificationPercentile": 46.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "1M", "targetExpiry": 1792783200076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.94, "previous": 36.45, "change": -1.51, "percentChange": -4.14 }, "rr25": { "current": -1.33, "previous": -0.31, "change": -1.02, "percentChange": -329.03 }, "bf25": { "current": 1.99, "previous": 1.91, "change": 0.08, "percentChange": 4.19 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.51, "movePercentile30d": 73.3, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 31.4, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 1.02, "movePercentile30d": 70.0, "movePercentileFullHistory": 80.3, "currentLevelPercentileFullHistory": 83.0, "classificationPercentile": 80.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.08, "movePercentile30d": 36.7, "movePercentileFullHistory": 42.8, "currentLevelPercentileFullHistory": 18.3, "classificationPercentile": 42.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "3M", "targetExpiry": 1798053600076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 37.61, "previous": 38.61, "change": -1.0, "percentChange": -2.59 }, "rr25": { "current": -1.22, "previous": -0.74, "change": -0.48, "percentChange": -64.86 }, "bf25": { "current": 2.12, "previous": 2.14, "change": -0.02, "percentChange": -0.93 }, "historicalSignificance": { "atmIv": { "absoluteMove": 1.0, "movePercentile30d": 73.3, "movePercentileFullHistory": 82.2, "currentLevelPercentileFullHistory": 26.8, "classificationPercentile": 82.2, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.48, "movePercentile30d": 66.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 84.3, "classificationPercentile": 66.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 13.3, "movePercentileFullHistory": 9.9, "currentLevelPercentileFullHistory": 17.6, "classificationPercentile": 13.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "6M", "targetExpiry": 1805916000076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 38.84, "previous": 39.33, "change": -0.49, "percentChange": -1.25 }, "rr25": { "current": -0.56, "previous": -0.34, "change": -0.22, "percentChange": -64.71 }, "bf25": { "current": 2.34, "previous": 2.36, "change": -0.02, "percentChange": -0.85 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.49, "movePercentile30d": 70.0, "movePercentileFullHistory": 79.6, "currentLevelPercentileFullHistory": 3.9, "classificationPercentile": 79.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.22, "movePercentile30d": 43.3, "movePercentileFullHistory": 53.3, "currentLevelPercentileFullHistory": 91.5, "classificationPercentile": 53.3, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.02, "movePercentile30d": 20.0, "movePercentileFullHistory": 13.8, "currentLevelPercentileFullHistory": 11.8, "classificationPercentile": 20.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "9M", "targetExpiry": 1813778400076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 39.54, "previous": 39.89, "change": -0.35, "percentChange": -0.88 }, "rr25": { "current": -0.38, "previous": -0.03, "change": -0.35, "percentChange": -1166.67 }, "bf25": { "current": 2.38, "previous": 2.47, "change": -0.09, "percentChange": -3.64 }, "historicalSignificance": { "atmIv": { "absoluteMove": 0.35, "movePercentile30d": 70.0, "movePercentileFullHistory": 74.3, "currentLevelPercentileFullHistory": 2.0, "classificationPercentile": 74.3, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 0.35, "movePercentile30d": 66.7, "movePercentileFullHistory": 79.6, "currentLevelPercentileFullHistory": 90.2, "classificationPercentile": 79.6, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.09, "movePercentile30d": 70.0, "movePercentileFullHistory": 70.4, "currentLevelPercentileFullHistory": 19.6, "classificationPercentile": 70.4, "label": "notable", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } }, { "tenor": "1Y", "targetExpiry": 1821727200076, "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, 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one-week skew swings toward puts", "standfirst": "Bitcoin one-week RR25 fell 3.05 volatility points to -1.89%, shifting relative volatility toward puts from a call-rich reading at the prior cutoff. Bitcoin one-week ATM IV fell 2.46 volatility points to 34.13%, while Bitcoin front-end ATM IV across one week to one month averaged 34.55%, down 1.97 points. The Bitcoin 26SEP26 forward price fell 2.53% to $84,426.48. One-minute realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Bitcoin skew shifts toward put protection", "summary": "Bitcoin one-week RR25 moved sharply lower while front-end ATM IV also declined across standard tenors.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Bitcoin Magazine reported $999 million of Monday inflows into bitcoin ETFs, citing Farside Investors data.", "events": [ { "eventId": "6109696a-c1e7-46cb-ae01-0d7b013365dc", "title": "Bitcoin Investors Buy Nearly $1B in BTC ETFs as Bull Market Returns", "publisher": "Bitcoin Magazine", "url": "https://bitcoinmagazine.com/news/bitcoin-etf-investors-buy-nearly-1-billion", "publishedAt": "2026-09-22T19:55:41+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Bitcoin options turn defensive as one-week skew swings toward puts", "standfirst": "Bitcoin one-week RR25 fell 3.05 volatility points to -1.89%, shifting relative volatility toward puts from a call-rich reading at the prior cutoff. Bitcoin one-week ATM IV fell 2.46 volatility points to 34.13%, while Bitcoin front-end ATM IV across one week to one month averaged 34.55%, down 1.97 points. The Bitcoin 26SEP26 forward price fell 2.53% to $84,426.48. One-minute realised-volatility comparisons were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "BTC", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-to-SPX realised-volatility ratio was 4.62, at the 83.7 percentile across 239 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 4.62, at the 83.7 percentile across 239 prior observations.", "The 60-session crypto-SPX return correlation was 0.33 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 36.48, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 22.269999961853024, "ivRatio": 2.56720618593025, "cryptoRealisedVol20d": 48.89224664636829, "spxRealisedVol20": 10.588159948118781, "rvSpread": 38.30408669824951, "rvRatio": 4.617633931290873, "rvSpreadPercentile": 80.75313807531381, "rvSpreadPercentileSampleCount": 239, "rvRatioPercentile": 83.68200836820084, "rvRatioPercentileSampleCount": 239, "returnCorrelation30": 0.39307072814513866, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.33024531815045005, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys market-context-v1 observations and common-session alignment." }, "btcVolContext": { "schemaVersion": 1, "source": "market-context-mcp", "type": "btc_volatility_context_latest", "asset": "BTC", "asOfTimestamp": "2026-09-23T19:20:00+00:00", "status": "available", "ds30": { "value": 40.33086952828956, "units": "volatility_points", "sourceTimestamp": "2026-09-23T19:20:00+00:00", "observedAt": null, "ingestedAt": null, "freshness": { "status": "fresh", "ageSeconds": 0.0, "evaluatedAt": "2026-09-23T19:20:00+00:00" }, "availability": null, "methodology": "Derivasys model-free 30-calendar-day implied volatility from fitted BTC SVI slices" }, "bviv": { "value": 38.762095491952, "units": "volatility_points", "sourceTimestamp": "2026-09-23T19:18:59+00:00", "observedAt": "2026-09-23T19:19:00+00:00", "ingestedAt": "2026-09-23T19:19:00+00:00", "freshness": { "status": "fresh", "ageSeconds": 61.0, "evaluatedAt": "2026-09-23T19:20:00+00:00" }, "availability": "streaming", "methodology": "Bitfinex BVIV reference price from the status channel" }, "bvivMinusDs30": { "value": -1.5687740363375582, "units": "volatility_points", "status": "available", "methodology": "BVIV minus independently selected latest eligible DS30 at or before the requested cutoff" } } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790796000076, "availability": "available", "unavailableReason": null, "atmIv": { "current": 34.13, "previous": 36.59, "change": -2.46, "percentChange": -6.72 }, "rr25": { "current": -1.89, "previous": 1.16, "change": -3.05, "percentChange": -262.93 }, "bf25": { "current": 2.15, "previous": 2.04, "change": 0.11, "percentChange": 5.39 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.46, "movePercentile30d": 56.7, "movePercentileFullHistory": 66.4, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 66.4, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "rr25": { "absoluteMove": 3.05, "movePercentile30d": 93.3, "movePercentileFullHistory": 93.4, "currentLevelPercentileFullHistory": 71.9, "classificationPercentile": 93.4, "label": "large", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 }, "bf25": { "absoluteMove": 0.11, "movePercentile30d": 36.7, "movePercentileFullHistory": 40.8, "currentLevelPercentileFullHistory": 70.6, "classificationPercentile": 40.8, "label": "routine", "observations30d": 30, "observationsFullHistory": 152, "levelObservationsFullHistory": 153 } } } }, { "asset": "ETH", "report": { "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:21:17+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456525, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446575, "timestamp": "2026-09-22T19:20:00+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. 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"reportRelevant": false, "decision": "ineligible" } ], "planRationale": "The Ondo item is tagged ETH but does not establish a sufficiently direct, reader-useful relationship to ETH options positioning; the quantum and broader tokenization items are single-source or weakly relevant. No context item is 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 fell 2.28 volatility points to 46.21%, a routine move at the 37th percentile among 30 comparable historical observations. Front-end ATM IV averaged 48.02%, -0.91 points from the prior snapshot, while the long end averaged 54.59%, +0.18 points. 1W RR25 moved 1.32 volatility points toward puts to -0.77%, leaving puts richer than calls. 3M BF25 rose 0.31 volatility points to 3.27%. The nearest eligible forward, 26SEP26, fell $93.40 (-3.38%) to $2,670.31. 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 decreased, averaging -0.91 volatility points to 48.02% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV increased, averaging +0.18 volatility points to 54.59% across 6M and 1Y." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.68 volatility points to 0.07% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 increased, averaging +0.19 volatility points to 3.06% across the six headline tenors." }, { "id": "largest-standard-tenor", "label": "Largest standard-tenor move", "text": "The largest standard-tenor ATM IV move was -2.28 volatility points at 1W, to 46.21%.", "tenor": "1W", "value": -2.28 } ], "summaryMetrics": { "basis": "Fixed-tenor endpoint comparison", "unit": "volatility points", "atmIvChange": -0.54, "rr25Change": -0.68, "bf25Change": 0.19, "largestAtmMove": { "tenor": "1W", "current": 46.21, "previous": 48.49, "change": -2.28, "historicalSignificance": { "absoluteMove": 2.28, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.1, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 36, "levelObservationsFullHistory": 39 } }, "frontEndAverageAtm": { "current": 48.02, "previous": 48.93, "change": -0.91 }, "longEndAverageAtm": { "current": 54.59, "previous": 54.41, "change": 0.18 }, 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BF25 measures the relative richness of wings versus at-the-money options. The rise contrasted with Ether one-week ATM IV, which fell 2.28 volatility points to 46.21%, while Ether front-end ATM IV across one week to one month averaged 48.02%, down 0.91 points. The Ether 26SEP26 forward price fell 3.38% to $2,670.31. One-minute realised-volatility comparisons were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Ether convexity rises at three months", "summary": "Ether three-month BF25 increased as one-week ATM IV and aggregate front-end ATM IV declined.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying crypto context was retained for Ether options.", "events": [] } } ] }, "newsStatus": "no-relevant-catalyst", "headline": "Ether options show deeper three-month convexity despite softer front end", "standfirst": "In Ether options, three-month BF25 rose 0.31 volatility points to 3.27%, a large move at the 90th percentile of comparable recent observations in Derivasys data. BF25 measures the relative richness of wings versus at-the-money options. The rise contrasted with Ether one-week ATM IV, which fell 2.28 volatility points to 46.21%, while Ether front-end ATM IV across one week to one month averaged 48.02%, down 0.91 points. The Ether 26SEP26 forward price fell 3.38% to $2,670.31. One-minute realised-volatility comparisons were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "ETH", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-minus-SPX realised-volatility spread was 40.60 points, at the 38.1 percentile across 236 prior observations. The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations.", "regimeInsights": [ "The crypto-minus-SPX realised-volatility spread was 40.60 points, at the 38.1 percentile across 236 prior observations.", "The 60-session crypto-SPX return correlation was 0.27 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 49.56, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 35.34999996185303, "ivRatio": 3.487684719701294, "cryptoRealisedVol20d": 51.18898657457777, "spxRealisedVol20": 10.588159948118781, "rvSpread": 40.60082662645899, "rvRatio": 4.834549801419709, "rvSpreadPercentile": 38.13559322033898, "rvSpreadPercentileSampleCount": 236, "rvRatioPercentile": 43.644067796610166, "rvRatioPercentileSampleCount": 236, "returnCorrelation30": 0.27670792779924125, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.2650340081822947, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys market-context-v1 observations and common-session alignment." } }, "oneWeek": { "tenor": "1W", "targetExpiry": 1790796000335, "availability": "available", "unavailableReason": null, "atmIv": { "current": 46.21, "previous": 48.49, "change": -2.28, "percentChange": -4.7 }, "rr25": { "current": -0.77, "previous": 0.55, "change": -1.32, "percentChange": -240.0 }, "bf25": { "current": 2.95, "previous": 2.83, "change": 0.12, "percentChange": 4.24 }, "historicalSignificance": { "atmIv": { "absoluteMove": 2.28, "movePercentile30d": 36.7, "movePercentileFullHistory": 36.1, "currentLevelPercentileFullHistory": 33.3, "classificationPercentile": 36.7, "label": "routine", "observations30d": 30, "observationsFullHistory": 36, "levelObservationsFullHistory": 39 }, "rr25": { "absoluteMove": 1.32, "movePercentile30d": 50.0, "movePercentileFullHistory": 47.2, "currentLevelPercentileFullHistory": 25.6, "classificationPercentile": 50.0, "label": "routine", "observations30d": 30, "observationsFullHistory": 36, "levelObservationsFullHistory": 39 }, "bf25": { "absoluteMove": 0.12, "movePercentile30d": 13.3, "movePercentileFullHistory": 13.9, "currentLevelPercentileFullHistory": 56.4, "classificationPercentile": 13.9, "label": "routine", "observations30d": 30, "observationsFullHistory": 36, "levelObservationsFullHistory": 39 } } } }, { "asset": "SOL", "report": { "schemaVersion": 3, "reportDate": "2026-09-23", "generatedAt": "2026-09-23T19:21:44+00:00", "currentSnapshotAt": "2026-09-23T19:20:00+00:00", "previousSnapshotAt": "2026-09-22T19:20:00+00:00", "sourceSnapshots": { "current": { "id": 456528, "timestamp": "2026-09-23T19:20:00+00:00" }, "previous": { "id": 446577, "timestamp": "2026-09-22T19:20:00+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. 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causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" } ], "events": [ { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00", "summary": "CoinDesk reported that Solana began testing an upgrade that could reduce finality from 12.8 seconds to 150 milliseconds.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "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 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ] }, "newsContext": { "outcome": "Relevant context found; no confirmed catalyst", "highest_causal_confidence": "low", "section_heading": "Relevant market event", "events": [ { "event_cluster_id": "crypto-regulation-2026-09", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "primary_article": { "id": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "sourceId": "coindesk", "publisher": "CoinDesk", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00", "summary": "CoinDesk reported that Solana began testing an upgrade that could reduce finality from 12.8 seconds to 150 milliseconds.", "matchedTerms": [ "SOL", "Solana" ], "topics": [ "protocol", "protocol_upgrade" ], "sourceKind": "media", "rightsStatus": "link-and-summary", "selectionScore": 35, "quality": { "eligible": true, "score": 34.8, "checks": { "verifiedSourceMetadata": true, "contentKind": true, "status": true }, "sourceCount": 1, "sourceQuality": 0.6125, "signals": { "confidence": 0.53, "importance": 0.39, "novelty": 1.0, "corroboration": 0.0, "sourceQuality": 0.6125, "effectiveSourceQuality": 0.6125, "catalystScore": 0.076, "effectiveCatalystScore": 0.076, "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 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship." ], "selectionReason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "canonicalEventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "status": "selected", "relevance": "broader crypto", "relationship": "neutral", "causal_confidence": "low", "matched_signals": [ "Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD", "ATM IV 1W: down 4.33 points to 56.08%" ], "selection_reason": "Retained as contemporaneous price context alongside Forward 2OCT26: -4.16 USD (-3.51%) to 114.36 USD; the surface data does not establish a causal relationship.", "event_cluster_id": "crypto-regulation-2026-09" }, "additional_coverage": [] } ], "coverage_status": "healthy", "coverage_basis": "monitored-source-search" }, "marketRead": { "text": "1W ATM IV fell 4.33 volatility points to 56.08%, a routine move at the 62nd percentile among 26 comparable historical observations. Front-end ATM IV averaged 56.16%, -2.51 points from the prior snapshot. Long-dated fixed tenors were suppressed because listed expiries did not bracket them. 1W RR25 moved 1.66 volatility points toward puts to 3.55%, leaving calls richer than puts. 3M BF25 fell 0.30 volatility points to 4.90%. The nearest eligible forward, 2OCT26, fell $4.16 (-3.51%) to $114.36. 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 decreased, averaging -2.51 volatility points to 56.16% across 1W, 2W and 1M." }, { "id": "back-atm", "label": "Long end", "text": "Long-dated ATM IV is unavailable because comparable observations were not present at both snapshots." }, { "id": "rr25", "label": "Skew", "text": "RR25 moved towards puts, averaging -0.98 volatility points to 3.57% across the six headline tenors." }, { "id": "bf25", "label": "Convexity", "text": "BF25 decreased, averaging -0.10 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0.0933, "unit": "parameter units" }, { "type": "rho", "title": "Largest eligible SVI rho move", "label": "2OCT26", "value": 0.053, "score": 0.053, "unit": "parameter units" } ], "expiryEffects": [ { "label": "25SEP26", "daysToExpiry": 1.528, "metric": "ATM IV change", "value": -4.55, "unit": "volatility points", "context": "Excluded from headline rankings because the contract has fewer than the configured full days to expiry." }, { "label": "24SEP26", "daysToExpiry": 0.528, "metric": "ATM IV change", "value": -3.95, "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": "25DEC26", "expiry": 1798185600000, "value": 0.22881735, "metric": "vega", "availability": "available" }, "highestGamma": { "label": "24SEP26", "expiry": 1790236800000, "value": 0.154695465923, "metric": "gamma", "availability": "available" }, 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0.412, 0.3475, 0.2793, 0.208, 0.1344, 0.0596, -0.0157, -0.0905, -0.164, -0.2353, -0.3038, -0.3688, -0.4298, -0.4864, -0.5382, -0.5851, -0.6271, -0.6642, -0.6967, -0.7247, -0.7484, -0.7684, -0.7848, -0.7983, -0.8091, -0.8177, -0.8245, -0.8299, -0.8343, -0.8378, -0.841, -0.8441, -0.8472, -0.8507 ] }, { "label": "25DEC26", "values": [ -0.759, -0.7442, -0.7276, -0.7091, -0.6888, -0.667, -0.6439, -0.6196, -0.5943, -0.5683, -0.5418, -0.515, -0.4882, -0.4616, -0.4355, -0.4101, -0.3855, -0.362, -0.3396, -0.3188, -0.2993, -0.2814, -0.265, -0.2503, -0.2373, -0.2259, -0.2161, -0.2078, -0.201, -0.1956, -0.1913, -0.1884, -0.1864, -0.1855, -0.1853, -0.186, -0.1873, -0.1891, -0.1914, -0.1941, -0.1969 ] } ] }, "marketDiary": { "schemaVersion": 1, "source": "local-news-mcp", "generatedAt": "2026-09-23T19:20:00+00:00", "window": { "startAt": "2026-09-22T19:20:00+00:00", "endAt": "2026-09-23T19:20:00+00:00", "endExclusive": true }, "headline": "Solana options compress as one-week volatility falls while calls remain richer", "standfirst": "Solana one-week ATM IV fell 4.33 volatility points to 56.08%, the largest absolute one-week ATM IV move among the major coins in Derivasys data. Front-end ATM IV across one week to one month averaged 56.16%, down 2.51 points. Solana one-week RR25 fell 1.66 volatility points to 3.55%, but remained positive, meaning call-side volatility was still richer than put-side volatility. The nearest forward proxy, 2OCT26, fell 3.51% to $114.36. One-minute realised-volatility comparisons were unavailable, and long-dated fixed-tenor observations were unavailable.", "days": [ { "reportDate": "2026-09-23", "headline": "Solana front-end volatility compresses", "summary": "Solana one-week ATM IV posted the largest major-coin decline while one-week call-side skew remained positive.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "Derivasys data showed a lower Solana one-week options-volatility reading over the window. CoinDesk reported on testing of a Solana protocol upgrade.", "events": [ { "eventId": "83b4bff8-c48b-4fbb-b4e2-8eb33d27b6d7", "title": "Solana starts testing upgrade that could cut finality from 12.8 seconds to 150 milliseconds", "publisher": "CoinDesk", "url": "https://www.coindesk.com/tech/2026/09/23/solana-starts-testing-upgrade-that-could-cut-finality-from-12-8-seconds-to-150-milliseconds", "publishedAt": "2026-09-23T05:16:22+00:00" } ] } } ] }, "newsStatus": "context", "headline": "Solana options compress as one-week volatility falls while calls remain richer", "standfirst": "Solana one-week ATM IV fell 4.33 volatility points to 56.08%, the largest absolute one-week ATM IV move among the major coins in Derivasys data. Front-end ATM IV across one week to one month averaged 56.16%, down 2.51 points. Solana one-week RR25 fell 1.66 volatility points to 3.55%, but remained positive, meaning call-side volatility was still richer than put-side volatility. The nearest forward proxy, 2OCT26, fell 3.51% to $114.36. One-minute realised-volatility comparisons were unavailable, and long-dated fixed-tenor observations were unavailable.", "crossAssetMarketContext": { "schemaVersion": 1, "source": "market-context-mcp", "status": "available", "asset": "SOL", "sessionDate": "2026-09-22", "asOfTimestamp": "2026-09-22T20:00:00+00:00", "summary": "Previous session (latest completed): Persisted Derivasys common benchmark session context. The crypto-to-SPX realised-volatility ratio was 6.99, at the 65.7 percentile across 233 prior observations. The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations.", "regimeInsights": [ "The crypto-to-SPX realised-volatility ratio was 6.99, at the 65.7 percentile across 233 prior observations.", "The 60-session crypto-SPX return correlation was 0.32 from 60 aligned observations." ], "metrics": { "cryptoAtmIv30d": 57.26, "vix": 14.210000038146973, "vix9d": 12.130000114440918, "vix3m": 17.610000610351562, "ivSpread": 43.049999961853025, "ivRatio": 4.029556639428896, "cryptoRealisedVol20d": 74.01819598042113, "spxRealisedVol20": 10.588159948118781, "rvSpread": 63.43003603230235, "rvRatio": 6.990657143744045, "rvSpreadPercentile": 48.927038626609445, "rvSpreadPercentileSampleCount": 233, "rvRatioPercentile": 65.66523605150215, "rvRatioPercentileSampleCount": 233, "returnCorrelation30": 0.40237255965917634, "returnCorrelation30SampleCount": 30, "returnCorrelation60": 0.32414633922878966, "returnCorrelation60SampleCount": 60 }, "methodology": "Preserved Derivasys 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"value": 46.21 }, { "asset": "SOL", "value": 56.08 } ], "previousSpread": 23.82, "spreadChange": -1.87, "dispersionDirection": "compressing" }, "atmIvChange": { "leader": "ETH", "laggard": "SOL", "highest": -2.28, "lowest": -4.33, "spread": 2.05, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -4.33, "values": [ { "asset": "BTC", "value": -2.46 }, { "asset": "ETH", "value": -2.28 }, { "asset": "SOL", "value": -4.33 } ] }, "rr25Level": { "leader": "SOL", "laggard": "BTC", "highest": 3.55, "lowest": -1.89, "spread": 5.44, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.55, "values": [ { "asset": "BTC", "value": -1.89 }, { "asset": "ETH", "value": -0.77 }, { "asset": "SOL", "value": 3.55 } ], "previousSpread": 4.66, "spreadChange": 0.78, "dispersionDirection": "widening" }, "rr25Change": { "leader": "ETH", "laggard": "BTC", "highest": -1.32, "lowest": -3.05, "spread": 1.73, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "BTC", "largestAbsoluteMoveValue": -3.05, "values": [ { "asset": "BTC", "value": -3.05 }, { "asset": "ETH", "value": -1.32 }, { "asset": "SOL", "value": -1.66 } ] } }, "relativeVolatilityLeader": { "asset": "SOL", "metric": "absolute 1W ATM IV change", "value": -4.33 }, "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": 56.08, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": 46.21, "previousRank": 2, "rankChange": 0 }, { "rank": 3, "asset": "BTC", "value": 34.13, "previousRank": 3, "rankChange": 0 } ], "oneWeekAtmIvChange": [ { "rank": 1, "asset": "ETH", "value": -2.28, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.46, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "SOL", "value": -4.33, "previousRank": null, "rankChange": null } ], "oneWeekAtmIvAbsoluteMove": [ { "rank": 1, "asset": "SOL", "value": -4.33, "previousRank": null, "rankChange": null }, { "rank": 2, "asset": "BTC", "value": -2.46, "previousRank": null, "rankChange": null }, { "rank": 3, "asset": "ETH", "value": -2.28, "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": 3.55, "previousRank": 1, "rankChange": 0 }, { "rank": 2, "asset": "ETH", "value": -0.77, "previousRank": 3, "rankChange": 1 }, { "rank": 3, "asset": "BTC", "value": -1.89, "previousRank": 2, "rankChange": -1 } ], "oneWeekRr25PutRichness": [ { "rank": 1, "asset": "BTC", "value": -1.89, "previousRank": 2, "rankChange": 1 }, { "rank": 2, "asset": "ETH", "value": -0.77, "previousRank": 1, "rankChange": -1 }, { "rank": 3, "asset": "SOL", "value": 3.55, "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": -4.33, "groupMedian": -2.46, "distanceFromMedian": -1.87 }, { "metric": "1W ATM IV level", "asset": "BTC", "value": 34.13, "groupMedian": 46.21, "distanceFromMedian": -12.08 }, { "metric": "1W RR25 level", "asset": "SOL", "value": 3.55, "groupMedian": -0.77, "distanceFromMedian": 4.32 } ], "relativeValueObservation": null, "historicalContext": { "minimumObservations": 20, "observations": 25, "oneWeekAtmIvLevelDispersionPercentile": 76.0, "oneWeekAtmIvChangeDispersionPercentile": 28.0, "oneWeekRr25LevelDispersionPercentile": 96.0, "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": "ETH", "laggard": "SOL", "highest": -2.28, "lowest": -4.33, "spread": 2.05, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": -4.33, "values": [ { "asset": "BTC", "value": -2.46 }, { "asset": "ETH", "value": -2.28 }, { "asset": "SOL", "value": -4.33 } ] }, { "id": "majors-cross-1w-atm-level-dispersion", "metric": "1W ATM IV level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 56.08, "lowest": 34.13, "spread": 21.95, "highestToLowestRatio": 1.6431, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 56.08, "values": [ { "asset": "BTC", "value": 34.13 }, { "asset": "ETH", "value": 46.21 }, { "asset": "SOL", "value": 56.08 } ], "previousSpread": 23.82, "spreadChange": -1.87, "dispersionDirection": "compressing" }, { "id": "majors-cross-1w-rr25-dispersion", "metric": "1W RR25 level dispersion", "unit": "volatility points", "leader": "SOL", "laggard": "BTC", "highest": 3.55, "lowest": -1.89, "spread": 5.44, "highestToLowestRatio": null, "largestAbsoluteMoveAsset": "SOL", "largestAbsoluteMoveValue": 3.55, "values": [ { "asset": "BTC", "value": -1.89 }, { "asset": "ETH", "value": -0.77 }, { "asset": "SOL", "value": 3.55 } ], "previousSpread": 4.66, "spreadChange": 0.78, "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": "2026-09-23T19:20:00+00:00", "window": { "startAt": "2026-09-22T19:20:00+00:00", "endAt": "2026-09-23T19:20:00+00:00", "endExclusive": true }, "headline": "Major-coin options diverge as Bitcoin turns defensive and Solana stays call-rich", "standfirst": "Major-coin one-week RR25 dispersion widened by 0.78 volatility points to 5.44 points between Solana and Bitcoin. Solana one-week RR25 stood at 3.55%, leaving call-side volatility richer than put-side volatility, while Bitcoin one-week RR25 stood at -1.89%, leaving put-side volatility richer. One-week ATM IV levels remained highest for Solana at 56.08% and lowest for Bitcoin at 34.13%, although the Solana-Bitcoin one-week ATM IV level spread narrowed 1.87 points to 21.95 points.", "days": [ { "reportDate": "2026-09-23", "headline": "Major-coin skew divergence widens", "summary": "Bitcoin became the least call-rich major while Solana retained the strongest one-week call-side skew.", "macro": { "summary": "No qualifying macro context was retained.", "events": [] }, "crypto": { "summary": "No qualifying cross-major crypto context was retained.", "events": [] } } ] }, "summaryMetrics": { "basis": "Equal-weight average across BTC, ETH and SOL headline metrics", "unit": "volatility points", "atmIvChange": -1.3266666666666667, "rr25Change": -1.0, "bf25Change": 0.049999999999999996 }, "commentary": { "source": "codex", "model": "gpt-5.6-terra", "headline": "Major-coin options diverge as Bitcoin turns defensive and Solana stays call-rich", "executiveSummary": "The one-week RR25 gap between Solana and Bitcoin widened to 5.44 volatility points, separating a call-rich Solana surface from a put-rich Bitcoin surface.", "evidenceIds": [ "majors-cross-1w-rr25-dispersion", "majors-cross-1w-atm-level-dispersion", "majors-cross-1w-atm-change-dispersion" ], "newsSummary": "No qualifying news context was retained for the cross-major options comparison.", "marketContextSummary": "No retained news item directly assesses the relative options repricing across Bitcoin, Ether and Solana.", "marketContext": [], "newsEvidenceIds": [] } }